/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.cash.derivative.Cash;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.yield.SimpleYieldConvention;
import com.opengamma.util.money.Currency;
/**
* @deprecated This class tests deprecated functionality.
*/
@Deprecated
public class ParRateCalculatorTest {
private static final ParRateCalculator PRC = ParRateCalculator.getInstance();
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
private static final String FIVE_PC_CURVE_NAME = "5%";
private static final String ZERO_PC_CURVE_NAME = "0%";
private static final YieldCurveBundle CURVES;
private static final Currency CUR = Currency.EUR;
static {
YieldAndDiscountCurve curve = YieldCurve.from(ConstantDoublesCurve.from(0.05));
CURVES = new YieldCurveBundle();
CURVES.setCurve(FIVE_PC_CURVE_NAME, curve);
curve = YieldCurve.from(ConstantDoublesCurve.from(0.0));
CURVES.setCurve(ZERO_PC_CURVE_NAME, curve);
}
@Test
public void testCash() {
final double t = 7 / 365.0;
final double tradeTime = 2.0 / 365.0;
final double yearFrac = 5.0 / 360.0;
Cash cash = new Cash(CUR, tradeTime, t, 1, 0, yearFrac, FIVE_PC_CURVE_NAME);
final double rate = cash.accept(PRC, CURVES);
cash = new Cash(CUR, tradeTime, t, 1, rate, yearFrac, FIVE_PC_CURVE_NAME);
assertEquals(0.0, cash.accept(PVC, CURVES), 1e-12);
}
@Test
public void testFRA() {
final double paymentTime = 0.5;
final double paymentYearFraction = 30. / 360;
final double fixingTime = paymentTime - 2. / 365;
final double fixingPeriodStartTime = paymentTime;
final double fixingPeriodEndTime = 7. / 12;
final double fixingYearFraction = 31. / 365;
final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true);
ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, FIVE_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
fixingYearFraction, 0, FIVE_PC_CURVE_NAME);
final double rate = fra.accept(PRC, CURVES);
fra = new ForwardRateAgreement(CUR, paymentTime, FIVE_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime, fixingYearFraction, rate,
FIVE_PC_CURVE_NAME);
assertEquals(0.0, fra.accept(PVC, CURVES), 1e-12);
}
// @Test
// public void testFutures() {
// final IborIndex iborIndex = new IborIndex(CUR, Period.ofMonths(3), 2, new MondayToFridayCalendar("A"), DayCountFactory.INSTANCE.getDayCount("Actual/360"),
// BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true);
// final double lastTradingTime = 1.453;
// final double fixingPeriodStartTime = lastTradingTime;
// final double fixingPeriodEndTime = 1.75;
// final double fixingPeriodAccrualFactor = 0.267;
// final double notional = 1000000;
// final double paymentAccrualFactor = 0.25;
// final int quantity = 123;
// final double referencePrice = 0.0; // TODO CASE - Future refactor - referencePrice = 0.0
// final String name = "name";
// final InterestRateFutureTransaction ir = new InterestRateFutureTransaction(lastTradingTime, iborIndex, fixingPeriodStartTime, fixingPeriodEndTime, fixingPeriodAccrualFactor, referencePrice, notional,
// paymentAccrualFactor, quantity, name, FIVE_PC_CURVE_NAME, FIVE_PC_CURVE_NAME);
// final double rate = ir.accept(PRC, CURVES);
// final double price = 1 - rate;
// //final InterestRateFutureTransaction traded = new InterestRateFutureTransaction(ir, 1, price);
// final double pvExpected = price * notional * paymentAccrualFactor * quantity;
// final double pv = ir.accept(PVC, CURVES);
// assertEquals(pvExpected, pv, 1e-12);
// }
@Test
public void testBond() {
final int n = 20;
final double tau = 0.5;
final double yearFrac = 180 / 365.0;
final double[] yearFracs = new double[n];
final double[] paymentTimes = new double[n];
for (int i = 0; i < n; i++) {
paymentTimes[i] = tau * (i + 1);
yearFracs[i] = yearFrac;
}
final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, 11, 1, FIVE_PC_CURVE_NAME)});
AnnuityCouponFixed coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, 1}, 0.03, FIVE_PC_CURVE_NAME, false);
BondFixedSecurity bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
final double rate = bond.accept(PRC, CURVES);
coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, 1}, rate, FIVE_PC_CURVE_NAME, false);
bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
assertEquals(1.0, bond.accept(PVC, CURVES), 1e-12);
}
}