/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.bond.method;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.interestrate.PresentValueCalculator;
import com.opengamma.analytics.financial.interestrate.TestsDataSetsBond;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
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.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.yield.SimpleYieldConvention;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the discounting method for bond security.
* @deprecated This class tests deprecated functionality
*/
@Deprecated
public class BondSecurityDEDiscountingMethodTest {
// Calculators
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
private static final BondSecurityDiscountingMethod METHOD = BondSecurityDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-8;
// To derivatives
private static final String[] CURVES_NAME = TestsDataSetsBond.nameCurvesBondEURDE();
private static final YieldCurveBundle CURVES = TestsDataSetsBond.createCurvesBondEURDE();
private static final Currency EUR = Currency.EUR;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT_ACTACTICMA = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ICMA");
private static final BusinessDayConvention BUSINESS_DAY_FIXED = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final boolean IS_EOM_FIXED = true;
// DBR 1 1/2 02/15/23 - ISIN: DE0001102309
private static final String ISSUER_DE = "BUNDESREPUB. DEUTSCHLAND";
private static final YieldConvention YIELD_CONVENTION_GERMANY = SimpleYieldConvention.GERMAN_BOND;
private static final int SETTLEMENT_DAYS_DE = 3;
private static final Period PAYMENT_TENOR_DE = Period.ofMonths(12);
private static final int COUPON_PER_YEAR_DE = 1;
private static final ZonedDateTime BOND_MATURITY_DE = DateUtils.getUTCDate(2023, 2, 15);
private static final ZonedDateTime BOND_START_DE = DateUtils.getUTCDate(2013, 1, 18);
private static final ZonedDateTime BOND_FIRSTCPN_DE = DateUtils.getUTCDate(2014, 2, 15);
private static final double RATE_DE = 0.0150;
private static final BondFixedSecurityDefinition BOND_DE_SECURITY_DEFINITION = BondFixedSecurityDefinition.from(EUR, BOND_START_DE, BOND_FIRSTCPN_DE, BOND_MATURITY_DE, PAYMENT_TENOR_DE, RATE_DE,
SETTLEMENT_DAYS_DE, CALENDAR, DAY_COUNT_ACTACTICMA, BUSINESS_DAY_FIXED, YIELD_CONVENTION_GERMANY, IS_EOM_FIXED, ISSUER_DE);
private static final ZonedDateTime REFERENCE_DATE_DE_1 = DateUtils.getUTCDate(2013, 5, 13);
private static final ZonedDateTime SPOT_DATE_DE_1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_DE_1, SETTLEMENT_DAYS_DE, CALENDAR);
private static final BondFixedSecurity BOND_DE_SECURITY_1 = BOND_DE_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
@Test
public void presentValueFixedMiddle() {
final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_DE_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
final AnnuityCouponFixed coupon = BOND_DE_SECURITY_DEFINITION.getCoupons().trimBefore(SPOT_DATE_DE_1).toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
final double pvNominal = nominal.accept(PVC, CURVES);
final double pvCoupon = coupon.accept(PVC, CURVES);
final double pv = METHOD.presentValue(BOND_DE_SECURITY_1, CURVES);
assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
}
@Test
public void dirtyPriceFromYieldGerman() {
final double yield = 0.02;
final double dirtyPrice = METHOD.dirtyPriceFromYield(BOND_DE_SECURITY_1, yield);
final double dirtyPriceExpected = 0.9619145229504982; // To be check with another source.
assertEquals("Fixed coupon bond security: dirty price from yield", dirtyPriceExpected, dirtyPrice, TOLERANCE_PRICE);
}
@Test
public void cleanPriceFromYieldGerman() {
final double yield = 0.02;
final double dirtyPrice = METHOD.dirtyPriceFromYield(BOND_DE_SECURITY_1, yield);
final double cleanPriceExpected = METHOD.cleanPriceFromDirtyPrice(BOND_DE_SECURITY_1, dirtyPrice);
final double cleanPrice = METHOD.cleanPriceFromYield(BOND_DE_SECURITY_1, yield);
assertEquals("Fixed coupon bond security: dirty price from yield", cleanPriceExpected, cleanPrice, TOLERANCE_PRICE);
}
@Test
public void dirtyPriceFromYieldGermanLastPeriod() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2022, 5, 15); // In last period
final BondFixedSecurity bondSecurity = BOND_DE_SECURITY_DEFINITION.toDerivative(referenceDate, CURVES_NAME);
final double yield = 0.02;
final double dirtyPrice = METHOD.dirtyPriceFromYield(bondSecurity, yield);
final double dirtyPriceExpected = (1 + RATE_DE / COUPON_PER_YEAR_DE) / (1 + bondSecurity.getAccrualFactorToNextCoupon() * yield / COUPON_PER_YEAR_DE);
assertEquals("Fixed coupon bond security: dirty price from yield German bond - last period", dirtyPriceExpected, dirtyPrice, TOLERANCE_PRICE);
}
}