// -------------------------------------------------------------------------
public void coverage() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
TermDepositCurveNode test2 =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofMonths(1), CONVENTION),
QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
// -----------------------------------------------------------------------
// create a vanilla fixed vs libor 3m swap
private static Trade createVanillaFixedVsLibor3mSwap() {
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg =
RateCalculationSwapLeg.builder()
.payReceive(PayReceive.PAY)
.accrualSchedule(
PeriodicSchedule.builder()
.startDate(LocalDate.of(2014, 9, 12))
.endDate(LocalDate.of(2021, 9, 12))
.frequency(Frequency.P6M)
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY))
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(Frequency.P6M)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(notional)
.calculation(FixedRateCalculation.of(0.015, DayCounts.THIRTY_U_360))
.build();
SwapLeg receiveLeg =
RateCalculationSwapLeg.builder()
.payReceive(PayReceive.RECEIVE)
.accrualSchedule(
PeriodicSchedule.builder()
.startDate(LocalDate.of(2014, 9, 12))
.endDate(LocalDate.of(2021, 9, 12))
.frequency(Frequency.P3M)
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY))
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(Frequency.P3M)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(notional)
.calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M))
.build();
return SwapTrade.builder()
.product(Swap.of(payLeg, receiveLeg))
.info(
TradeInfo.builder()
.addAttribute(TradeAttributeType.DESCRIPTION, "Fixed vs Libor 3m")
.counterparty(StandardId.of("example", "A"))
.settlementDate(LocalDate.of(2014, 9, 12))
.build())
.build();
}
/** Test {@link SecurityPosition}. */
@Test
public class SecurityPositionTest {
private static final PositionInfo POSITION_INFO = PositionInfo.of(StandardId.of("A", "B"));
private static final SecurityId SECURITY_ID = SecurityId.of("OG-Test", "Id");
private static final SecurityId SECURITY_ID2 = SecurityId.of("OG-Test", "Id2");
private static final double LONG_QUANTITY = 300;
private static final double LONG_QUANTITY2 = 350;
private static final double SHORT_QUANTITY = 200;
private static final double SHORT_QUANTITY2 = 150;
private static final double QUANTITY = 100;
// -------------------------------------------------------------------------
public void test_ofNet_noInfo() {
SecurityPosition test = SecurityPosition.ofNet(SECURITY_ID, QUANTITY);
assertEquals(test.getInfo(), PositionInfo.empty());
assertEquals(test.getSecurityId(), SECURITY_ID);
assertEquals(test.getLongQuantity(), QUANTITY);
assertEquals(test.getShortQuantity(), 0d);
assertEquals(test.getQuantity(), QUANTITY);
}
public void test_ofNet_withInfo_positive() {
SecurityPosition test = SecurityPosition.ofNet(POSITION_INFO, SECURITY_ID, 100d);
assertEquals(test.getInfo(), POSITION_INFO);
assertEquals(test.getSecurityId(), SECURITY_ID);
assertEquals(test.getLongQuantity(), 100d);
assertEquals(test.getShortQuantity(), 0d);
assertEquals(test.getQuantity(), 100d);
}
public void test_ofNet_withInfo_zero() {
SecurityPosition test = SecurityPosition.ofNet(POSITION_INFO, SECURITY_ID, 0d);
assertEquals(test.getInfo(), POSITION_INFO);
assertEquals(test.getSecurityId(), SECURITY_ID);
assertEquals(test.getLongQuantity(), 0d);
assertEquals(test.getShortQuantity(), 0d);
assertEquals(test.getQuantity(), 0d);
}
public void test_ofNet_withInfo_negative() {
SecurityPosition test = SecurityPosition.ofNet(POSITION_INFO, SECURITY_ID, -100d);
assertEquals(test.getInfo(), POSITION_INFO);
assertEquals(test.getSecurityId(), SECURITY_ID);
assertEquals(test.getLongQuantity(), 0d);
assertEquals(test.getShortQuantity(), 100d);
assertEquals(test.getQuantity(), -100d);
}
public void test_ofLongShort_noInfo() {
SecurityPosition test =
SecurityPosition.ofLongShort(SECURITY_ID, LONG_QUANTITY, SHORT_QUANTITY);
assertEquals(test.getInfo(), PositionInfo.empty());
assertEquals(test.getSecurityId(), SECURITY_ID);
assertEquals(test.getLongQuantity(), LONG_QUANTITY);
assertEquals(test.getShortQuantity(), SHORT_QUANTITY);
assertEquals(test.getQuantity(), QUANTITY);
}
public void test_ofLongShort_withInfo() {
SecurityPosition test =
SecurityPosition.ofLongShort(POSITION_INFO, SECURITY_ID, LONG_QUANTITY, SHORT_QUANTITY);
assertEquals(test.getInfo(), POSITION_INFO);
assertEquals(test.getSecurityId(), SECURITY_ID);
assertEquals(test.getLongQuantity(), LONG_QUANTITY);
assertEquals(test.getShortQuantity(), SHORT_QUANTITY);
assertEquals(test.getQuantity(), QUANTITY);
}
public void test_builder() {
SecurityPosition test = sut();
assertEquals(test.getInfo(), POSITION_INFO);
assertEquals(test.getSecurityId(), SECURITY_ID);
assertEquals(test.getLongQuantity(), LONG_QUANTITY);
assertEquals(test.getShortQuantity(), SHORT_QUANTITY);
assertEquals(test.getQuantity(), QUANTITY);
}
// -------------------------------------------------------------------------
public void coverage() {
coverImmutableBean(sut());
coverBeanEquals(sut(), sut2());
}
public void test_serialization() {
assertSerialization(sut());
}
// -------------------------------------------------------------------------
static SecurityPosition sut() {
return SecurityPosition.builder()
.info(POSITION_INFO)
.securityId(SECURITY_ID)
.longQuantity(LONG_QUANTITY)
.shortQuantity(SHORT_QUANTITY)
.build();
}
static SecurityPosition sut2() {
return SecurityPosition.builder()
.info(PositionInfo.empty())
.securityId(SECURITY_ID2)
.longQuantity(LONG_QUANTITY2)
.shortQuantity(SHORT_QUANTITY2)
.build();
}
}
/** Test {@link TermDepositCurveNode}. */
@Test
public class TermDepositCurveNodeTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate VAL_DATE = date(2015, 6, 30);
private static final BusinessDayAdjustment BDA_MOD_FOLLOW =
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA);
private static final DaysAdjustment PLUS_TWO_DAYS = DaysAdjustment.ofBusinessDays(2, EUTA);
private static final TermDepositConvention CONVENTION = TermDepositConventions.EUR_DEPOSIT_T2;
private static final Period DEPOSIT_PERIOD = Period.ofMonths(3);
private static final TermDepositTemplate TEMPLATE =
TermDepositTemplate.of(DEPOSIT_PERIOD, CONVENTION);
private static final QuoteId QUOTE_ID = QuoteId.of(StandardId.of("OG-Ticker", "Deposit1"));
private static final double SPREAD = 0.0015;
private static final String LABEL = "Label";
private static final String LABEL_AUTO = "3M";
public void test_builder() {
TermDepositCurveNode test =
TermDepositCurveNode.builder()
.label(LABEL)
.template(TEMPLATE)
.rateId(QUOTE_ID)
.additionalSpread(SPREAD)
.date(CurveNodeDate.LAST_FIXING)
.build();
assertEquals(test.getLabel(), LABEL);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
assertEquals(test.getDate(), CurveNodeDate.LAST_FIXING);
}
public void test_builder_defaults() {
TermDepositCurveNode test =
TermDepositCurveNode.builder()
.label(LABEL)
.template(TEMPLATE)
.rateId(QUOTE_ID)
.additionalSpread(SPREAD)
.build();
assertEquals(test.getLabel(), LABEL);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
assertEquals(test.getDate(), CurveNodeDate.END);
}
public void test_of_noSpread() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID);
assertEquals(test.getLabel(), LABEL_AUTO);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), 0.0d);
assertEquals(test.getTemplate(), TEMPLATE);
}
public void test_of_withSpread() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertEquals(test.getLabel(), LABEL_AUTO);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
}
public void test_of_withSpreadAndLabel() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
assertEquals(test.getLabel(), LABEL);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
}
public void test_requirements() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
Set<ObservableId> set = test.requirements();
Iterator<ObservableId> itr = set.iterator();
assertEquals(itr.next(), QUOTE_ID);
assertFalse(itr.hasNext());
}
public void test_trade() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
TermDepositTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(VAL_DATE, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(DEPOSIT_PERIOD);
TermDeposit depositExpected =
TermDeposit.builder()
.buySell(BuySell.BUY)
.currency(EUR)
.dayCount(ACT_360)
.startDate(startDateExpected)
.endDate(endDateExpected)
.notional(1.0d)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.rate(rate + SPREAD)
.build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(VAL_DATE).build();
assertEquals(trade.getProduct(), depositExpected);
assertEquals(trade.getInfo(), tradeInfoExpected);
}
public void test_trade_noMarketData() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
MarketData marketData = MarketData.empty(valuationDate);
assertThrows(() -> node.trade(1d, marketData, REF_DATA), MarketDataNotFoundException.class);
}
public void test_initialGuess() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate);
assertEquals(
node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), Math.exp(-rate * 0.25), 1.0e-12);
}
public void test_metadata_end() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata) metadata).getDate(), LocalDate.of(2015, 4, 27));
assertEquals(((TenorDateParameterMetadata) metadata).getTenor(), Tenor.TENOR_3M);
}
public void test_metadata_fixed() {
LocalDate nodeDate = VAL_DATE.plusMonths(1);
TermDepositCurveNode node =
TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.of(nodeDate));
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.getDate(), nodeDate);
assertEquals(metadata.getLabel(), node.getLabel());
}
public void test_metadata_last_fixing() {
TermDepositCurveNode node =
TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
assertThrowsWithCause(
() -> node.metadata(VAL_DATE, REF_DATA), UnsupportedOperationException.class);
}
// -------------------------------------------------------------------------
public void coverage() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
TermDepositCurveNode test2 =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofMonths(1), CONVENTION),
QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
public void test_serialization() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}
}