/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.equity.future;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertNull;
import org.testng.annotations.Test;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.equity.future.derivative.EquityIndexDividendFuture;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class EquityIndexDividendFutureTest {
private static final double PRICE = 95.0;
private static final double timeToSettlement = 1.45;
private static final double timeToFixing = 1.44;
private static final ZonedDateTime FIXING_DATE = DateUtils.getUTCDate(2011, 1, 3);
private static final ZonedDateTime[] FIXING_DATES = {FIXING_DATE, FIXING_DATE.plusYears(1), DateUtils.getDateOffsetWithYearFraction(FIXING_DATE, 1.0) };
private static final double[] FIXINGS = {98d, 99., 100.0 };
private static final DoubleTimeSeries<ZonedDateTime> FIXING_TS = ImmutableZonedDateTimeDoubleTimeSeries.of(FIXING_DATES, FIXINGS, ZoneOffset.UTC);
@Test
public void test() {
final EquityIndexDividendFuture theFuture = new EquityIndexDividendFuture(timeToFixing, timeToSettlement, PRICE, Currency.CAD, 10.);
assertEquals(theFuture.getTimeToSettlement(), timeToSettlement, 0);
assertFalse(Double.compare(theFuture.getTimeToExpiry(), timeToSettlement) == 0);
}
@Test
public void testTimeSeries() {
final ZonedDateTime lastCloseDate = FIXING_DATE;
final double lastClose = FIXING_TS.getValue(lastCloseDate);
assertEquals(lastClose, 98, 0);
final double latestFixing = FIXING_TS.getLatestValue();
assertEquals(latestFixing, 100, 0);
final ZonedDateTime HighNoon = lastCloseDate.plusHours(12);
assertNull("ArrayZonedDateTimeDoubleTimeSeries.getValue has not returned a null value for a time missing from the series", FIXING_TS.getValue(HighNoon));
// BLOOMBERG_TICKER~Z H1 Index
}
}