OvernightIndexTest.java

/**
 * Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.basics.index;

import static com.opengamma.basics.currency.Currency.GBP;
import static com.opengamma.basics.currency.Currency.USD;
import static com.opengamma.basics.date.DayCounts.ACT_360;
import static com.opengamma.basics.date.DayCounts.ACT_365F;
import static com.opengamma.basics.date.HolidayCalendars.GBLO;
import static com.opengamma.basics.date.HolidayCalendars.NYFD;
import static com.opengamma.basics.date.Tenor.TENOR_1D;
import static com.opengamma.collect.TestHelper.assertJodaConvert;
import static com.opengamma.collect.TestHelper.assertSerialization;
import static com.opengamma.collect.TestHelper.assertThrows;
import static com.opengamma.collect.TestHelper.coverImmutableBean;
import static com.opengamma.collect.TestHelper.coverPrivateConstructor;
import static com.opengamma.collect.TestHelper.date;
import static org.testng.Assert.assertEquals;

import org.testng.annotations.DataProvider;
import org.testng.annotations.Test;

import com.google.common.collect.ImmutableMap;
import com.opengamma.basics.currency.Currency;

/**
 * Test Overnight Index.
 */
@Test
public class OvernightIndexTest {

  public void test_null() {
    OvernightIndex test = OvernightIndex.of("GBP-SONIA");
    assertThrows(() -> test.calculatePublicationFromFixing(null), IllegalArgumentException.class);
    assertThrows(() -> test.calculateEffectiveFromFixing(null), IllegalArgumentException.class);
    assertThrows(() -> test.calculateFixingFromEffective(null), IllegalArgumentException.class);
    assertThrows(() -> test.calculateMaturityFromEffective(null), IllegalArgumentException.class);
  }

  public void test_gbpSonia() {
    OvernightIndex test = OvernightIndex.of("GBP-SONIA");
    assertEquals(test.getCurrency(), GBP);
    assertEquals(test.getName(), "GBP-SONIA");
    assertEquals(test.getTenor(), TENOR_1D);
    assertEquals(test.getFixingCalendar(), GBLO);
    assertEquals(test.getPublicationDateOffset(), 0);
    assertEquals(test.getEffectiveDateOffset(), 0);
    assertEquals(test.getDayCount(), ACT_365F);
    assertEquals(test.toString(), "GBP-SONIA");
  }

  public void test_gbpSonia_dates() {
    OvernightIndex test = OvernightIndex.of("GBP-SONIA");
    assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 13)), date(2014, 10, 13));
    assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13)), date(2014, 10, 13));
    assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13)), date(2014, 10, 13));
    assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13)), date(2014, 10, 14));
    // weekend
    assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10)), date(2014, 10, 10));
    assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10)), date(2014, 10, 10));
    assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10)), date(2014, 10, 10));
    assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10)), date(2014, 10, 13));
    // input date is Sunday
    assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12)), date(2014, 10, 13));
    assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12)), date(2014, 10, 13));
    assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12)), date(2014, 10, 13));
    assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12)), date(2014, 10, 14));
  }

  public void test_usdFedFund3m() {
    OvernightIndex test = OvernightIndex.of("USD-FED-FUND");
    assertEquals(test.getCurrency(), USD);
    assertEquals(test.getName(), "USD-FED-FUND");
    assertEquals(test.getTenor(), TENOR_1D);
    assertEquals(test.getFixingCalendar(), NYFD);
    assertEquals(test.getPublicationDateOffset(), 1);
    assertEquals(test.getEffectiveDateOffset(), 0);
    assertEquals(test.getDayCount(), ACT_360);
    assertEquals(test.toString(), "USD-FED-FUND");
  }

  public void test_usdFedFund_dates() {
    OvernightIndex test = OvernightIndex.of("USD-FED-FUND");
    assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 27)), date(2014, 10, 28));
    assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27)), date(2014, 10, 27));
    assertEquals(test.calculateFixingFromEffective(date(2014, 10, 27)), date(2014, 10, 27));
    assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 27)), date(2014, 10, 28));
    // weekend and US holiday
    assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10)), date(2014, 10, 14));
    assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10)), date(2014, 10, 10));
    assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10)), date(2014, 10, 10));
    assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10)), date(2014, 10, 14));
    // input date is Sunday, 13th is US holiday
    assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12)), date(2014, 10, 15));
    assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12)), date(2014, 10, 14));
    assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12)), date(2014, 10, 14));
    assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12)), date(2014, 10, 15));
  }

  //-------------------------------------------------------------------------
  @DataProvider(name = "name")
  static Object[][] data_name() {
    return new Object[][] {
        {OvernightIndices.GBP_SONIA, "GBP-SONIA"},
        {OvernightIndices.CHF_TOIS, "CHF-TOIS"},
        {OvernightIndices.EUR_EONIA, "EUR-EONIA"},
        {OvernightIndices.JPY_TONAR, "JPY-TONAR"},
        {OvernightIndices.USD_FED_FUND, "USD-FED-FUND"},
    };
  }

  @Test(dataProvider = "name")
  public void test_name(OvernightIndex convention, String name) {
    assertEquals(convention.getName(), name);
  }

  @Test(dataProvider = "name")
  public void test_toString(OvernightIndex convention, String name) {
    assertEquals(convention.toString(), name);
  }

  @Test(dataProvider = "name")
  public void test_of_lookup(OvernightIndex convention, String name) {
    assertEquals(OvernightIndex.of(name), convention);
  }

  @Test(dataProvider = "name")
  public void test_extendedEnum(OvernightIndex convention, String name) {
    ImmutableMap<String, OvernightIndex> map = OvernightIndex.extendedEnum().lookupAll();
    assertEquals(map.get(name), convention);
  }

  public void test_of_lookup_notFound() {
    assertThrows(() -> OvernightIndex.of("Rubbish"), IllegalArgumentException.class);
  }

  public void test_of_lookup_null() {
    assertThrows(() -> OvernightIndex.of(null), IllegalArgumentException.class);
  }

  //-------------------------------------------------------------------------
  public void test_equals() {
    ImmutableOvernightIndex a = ImmutableOvernightIndex.builder()
        .currency(Currency.GBP)
        .name("OGIBOR")
        .fixingCalendar(GBLO)
        .publicationDateOffset(0)
        .effectiveDateOffset(0)
        .dayCount(ACT_360)
        .build();
    OvernightIndex b = a.toBuilder().name("Rubbish").build();
    assertEquals(a.equals(b), false);
  }

  //-------------------------------------------------------------------------
  public void coverage() {
    ImmutableOvernightIndex index = ImmutableOvernightIndex.builder()
        .currency(Currency.GBP)
        .name("OGONIA")
        .fixingCalendar(GBLO)
        .publicationDateOffset(0)
        .effectiveDateOffset(0)
        .dayCount(ACT_360)
        .build();
    coverImmutableBean(index);
    coverPrivateConstructor(OvernightIndices.class);
    coverPrivateConstructor(StandardOvernightIndices.class);
  }

  public void test_jodaConvert() {
    assertJodaConvert(OvernightIndex.class, OvernightIndices.GBP_SONIA);
  }

  public void test_serialization() {
    OvernightIndex index = ImmutableOvernightIndex.builder()
        .currency(Currency.GBP)
        .name("OGONIA")
        .fixingCalendar(GBLO)
        .publicationDateOffset(0)
        .effectiveDateOffset(0)
        .dayCount(ACT_360)
        .build();
    assertSerialization(index);
  }

}