public virtual void test_QUARTERLY_IMM()
{
DateSequence test = DateSequences.QUARTERLY_IMM;
assertEquals(test.Name, "Quarterly-IMM");
assertEquals(test.ToString(), "Quarterly-IMM");
assertEquals(test.dateMatching(YearMonth.of(2013, 3)), LocalDate.of(2013, 3, 20));
}
/// <summary>
/// Parses a year-month from the input string.
/// <para>
/// Parsing is case insensitive.
/// It accepts formats 'yyyy-MM', 'yyyyMM', 'MMM-yyyy' or 'MMMyyyy'.
/// Some formats also accept two-digits years (use is not recommended): 'MMM-yy' or 'MMMyy'.
///
/// </para>
/// </summary>
/// <param name="str"> the string to parse </param>
/// <returns> the parsed value </returns>
/// <exception cref="IllegalArgumentException"> if the string cannot be parsed </exception>
public static YearMonth parseYearMonth(string str)
{
try
{
// yyyy-MM
if (str.Length == 7 && str[4] == '-')
{
return(YearMonth.parse(str, YYYY_MM_DASH));
}
// MMM-yy
// MMM-yyyy
// MMMyy
// MMMyyyy
if (str.Length >= 5 && !char.IsDigit(str[0]))
{
return(YearMonth.parse(str, MMM_YEAR));
}
// d/M/yyyy - handle Excel converting YearMonth to date
if (str.Length >= 8 && (str[1] == '/' || str[2] == '/'))
{
LocalDate date = LocalDate.parse(str, D_M_YEAR_SLASH);
if (date.DayOfMonth == 1)
{
return(YearMonth.of(date.Year, date.Month));
}
throw new System.ArgumentException("Found Excel-style date but day-of-month was not set to 1:" + str);
}
// yyyyMM
return(YearMonth.parse(str, YYYYMM));
}
catch (DateTimeParseException)
{
throw new System.ArgumentException("Unknown date format, must be formatted as 'yyyy-MM', 'yyyyMM', " + "'MMM-yyyy', 'MMMyyyy', 'MMM-yy' or 'MMMyy' but was: " + str);
}
}
//-------------------------------------------------------------------------
public virtual void createFutureAutoId()
{
EtdFutureSecurity security = FUTURE_CONTRACT.createFuture(YearMonth.of(2015, 6), EtdVariant.MONTHLY);
assertThat(security.SecurityId).isEqualTo(SecurityId.of(EtdIdUtils.ETD_SCHEME, "F-ECAG-FOO-201506"));
assertThat(security.Expiry).isEqualTo(YearMonth.of(2015, 6));
assertThat(security.ContractSpecId).isEqualTo(FUTURE_CONTRACT.Id);
assertThat(security.Variant).isEqualTo(EtdVariant.MONTHLY);
assertThat(security.Info.PriceInfo).isEqualTo(FUTURE_CONTRACT.PriceInfo);
}
//-------------------------------------------------------------------------
public virtual void createOptionWithUnderlyingAutoId()
{
EtdOptionSecurity security = OPTION_CONTRACT.createOption(YearMonth.of(2015, 6), EtdVariant.MONTHLY, 0, PutCall.CALL, 123.45, YearMonth.of(2015, 9));
assertThat(security.SecurityId).isEqualTo(SecurityId.of(EtdIdUtils.ETD_SCHEME, "O-IFEN-BAR-201506-C123.45-U201509"));
assertThat(security.Expiry).isEqualTo(YearMonth.of(2015, 6));
assertThat(security.ContractSpecId).isEqualTo(OPTION_CONTRACT.Id);
assertThat(security.Variant).isEqualTo(EtdVariant.MONTHLY);
assertThat(security.PutCall).isEqualTo(PutCall.CALL);
assertThat(security.StrikePrice).isEqualTo(123.45);
assertThat(security.UnderlyingExpiryMonth).hasValue(YearMonth.of(2015, 9));
assertThat(security.Info.PriceInfo).isEqualTo(OPTION_CONTRACT.PriceInfo);
}
public virtual void test_parseYearMonth()
{
assertEquals(LoaderUtils.parseYearMonth("2012-06"), YearMonth.of(2012, 6));
assertEquals(LoaderUtils.parseYearMonth("201206"), YearMonth.of(2012, 6));
assertEquals(LoaderUtils.parseYearMonth("Jun-2012"), YearMonth.of(2012, 6));
assertEquals(LoaderUtils.parseYearMonth("Jun-12"), YearMonth.of(2012, 6));
assertEquals(LoaderUtils.parseYearMonth("Jun2012"), YearMonth.of(2012, 6));
assertEquals(LoaderUtils.parseYearMonth("Jun12"), YearMonth.of(2012, 6));
assertEquals(LoaderUtils.parseYearMonth("1/6/2012"), YearMonth.of(2012, 6));
assertEquals(LoaderUtils.parseYearMonth("01/6/2012"), YearMonth.of(2012, 6));
assertEquals(LoaderUtils.parseYearMonth("1/06/2012"), YearMonth.of(2012, 6));
assertEquals(LoaderUtils.parseYearMonth("01/06/2012"), YearMonth.of(2012, 6));
assertThrowsIllegalArg(() => LoaderUtils.parseYearMonth("2/6/2012"));
assertThrowsIllegalArg(() => LoaderUtils.parseYearMonth("1/6/12"));
assertThrowsIllegalArg(() => LoaderUtils.parseYearMonth("Jun1"));
assertThrowsIllegalArg(() => LoaderUtils.parseYearMonth("12345678"));
assertThrowsIllegalArg(() => LoaderUtils.parseYearMonth("Rubbish"));
}
public virtual void test_wrongMonthOrder()
{
assertThrowsIllegalArg(() => InflationInterpolatedRateComputation.of(GB_HICP, END_MONTH_FIRST, START_MONTH_FIRST, WEIGHT));
assertThrowsIllegalArg(() => InflationInterpolatedRateComputation.meta().builder().set(InflationInterpolatedRateComputation.meta().startObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 1))).set(InflationInterpolatedRateComputation.meta().startSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 1))).set(InflationInterpolatedRateComputation.meta().endObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationInterpolatedRateComputation.meta().endSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 8))).set(InflationInterpolatedRateComputation.meta().weight(), WEIGHT).build());
assertThrowsIllegalArg(() => InflationInterpolatedRateComputation.meta().builder().set(InflationInterpolatedRateComputation.meta().startObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 1))).set(InflationInterpolatedRateComputation.meta().startSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 2))).set(InflationInterpolatedRateComputation.meta().endObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationInterpolatedRateComputation.meta().endSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationInterpolatedRateComputation.meta().weight(), WEIGHT).build());
assertThrowsIllegalArg(() => InflationInterpolatedRateComputation.meta().builder().set(InflationInterpolatedRateComputation.meta().startObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 8))).set(InflationInterpolatedRateComputation.meta().startSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 9))).set(InflationInterpolatedRateComputation.meta().endObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationInterpolatedRateComputation.meta().endSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 8))).set(InflationInterpolatedRateComputation.meta().weight(), WEIGHT).build());
}
public virtual void createOptionFromFutureContractSpec()
{
assertThatThrownBy(() => FUTURE_CONTRACT.createOption(YearMonth.of(2015, 6), EtdVariant.MONTHLY, 0, PutCall.CALL, 123.45)).isInstanceOf(typeof(System.InvalidOperationException)).hasMessage("Cannot create an EtdOptionSecurity from a contract specification of type 'Future'");
}
internal static EtdFutureSecurity sut2()
{
return(EtdFutureSecurity.builder().info(SecurityInfo.of(SecurityId.of("B", "C"), SecurityPriceInfo.of(Currency.EUR, 10))).contractSpecId(EtdContractSpecId.of("test", "234")).expiry(YearMonth.of(2017, 9)).variant(EtdVariant.ofWeekly(2)).build());
}
//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
InflationRateSensitivity a1 = InflationRateSensitivity.of(GB_HICP_OBS, 32d);
InflationRateSensitivity a2 = InflationRateSensitivity.of(GB_HICP_OBS, 32d);
InflationRateSensitivity b = InflationRateSensitivity.of(CH_CPI_OBS, 32d);
InflationRateSensitivity c = InflationRateSensitivity.of(GB_HICP_OBS, USD, 32d);
InflationRateSensitivity d = InflationRateSensitivity.of(PriceIndexObservation.of(GB_HICP, YearMonth.of(2015, 10)), 32d);
ZeroRateSensitivity other = ZeroRateSensitivity.of(GBP, 2d, 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) > 0, true);
assertEquals(b.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
public virtual void createFutureFromOptionContractSpec()
{
assertThatThrownBy(() => OPTION_CONTRACT.createFuture(YearMonth.of(2015, 6), EtdVariant.MONTHLY)).isInstanceOf(typeof(System.InvalidOperationException)).hasMessage("Cannot create an EtdFutureSecurity from a contract specification of type 'Option'");
}
//-------------------------------------------------------------------------
public virtual void test_parse_future()
{
EtdContractSpecId specId = EtdContractSpecId.of("OG-ETD", "F-ECAG-FGBL");
EtdContractSpec contract = EtdContractSpec.builder().id(specId).type(EtdType.FUTURE).exchangeId(ExchangeIds.ECAG).contractCode(FGBL).description("Dummy").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build();
ReferenceData refData = ImmutableReferenceData.of(specId, contract);
PositionCsvLoader test = PositionCsvLoader.of(refData);
ValueWithFailures <IList <EtdFuturePosition> > trades = test.parse(ImmutableList.of(FILE.CharSource), typeof(EtdFuturePosition));
IList <EtdFuturePosition> filtered = trades.Value;
assertEquals(filtered.Count, 4);
EtdFuturePosition expected1 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123421")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofMonthly())).longQuantity(15d).shortQuantity(2d).build();
assertBeanEquals(expected1, filtered[0]);
EtdFuturePosition expected2 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123422")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofFlexFuture(13, EtdSettlementType.CASH))).longQuantity(0d).shortQuantity(13d).build();
assertBeanEquals(expected2, filtered[1]);
EtdFuturePosition expected3 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123423")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofWeekly(2))).longQuantity(0d).shortQuantity(20d).build();
assertBeanEquals(expected3, filtered[2]);
EtdFuturePosition expected4 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123424")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofDaily(3))).longQuantity(30d).shortQuantity(0d).build();
assertBeanEquals(expected4, filtered[3]);
}
//-------------------------------------------------------------------------
public virtual void test_parseLightweight()
{
PositionCsvLoader test = PositionCsvLoader.standard();
ValueWithFailures <IList <SecurityPosition> > trades = test.parseLightweight(ImmutableList.of(FILE.CharSource));
IList <SecurityPosition> filtered = trades.Value;
assertEquals(filtered.Count, 10);
assertBeanEquals(SECURITY1, filtered[0]);
assertBeanEquals(SECURITY2, filtered[1]);
assertBeanEquals(SECURITY3, filtered[2]);
SecurityPosition expected3 = SecurityPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123421")).build()).securityId(EtdIdUtils.futureId(ExchangeIds.ECAG, FGBL, YearMonth.of(2017, 6), EtdVariant.ofMonthly())).longQuantity(15d).shortQuantity(2d).build();
assertBeanEquals(expected3, filtered[3]);
SecurityPosition expected4 = SecurityPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123422")).build()).securityId(EtdIdUtils.futureId(ExchangeIds.ECAG, FGBL, YearMonth.of(2017, 6), EtdVariant.ofFlexFuture(13, EtdSettlementType.CASH))).longQuantity(0d).shortQuantity(13d).build();
assertBeanEquals(expected4, filtered[4]);
SecurityPosition expected5 = SecurityPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123423")).build()).securityId(EtdIdUtils.futureId(ExchangeIds.ECAG, FGBL, YearMonth.of(2017, 6), EtdVariant.ofWeekly(2))).longQuantity(0d).shortQuantity(20d).build();
assertBeanEquals(expected5, filtered[5]);
SecurityPosition expected6 = SecurityPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123424")).build()).securityId(EtdIdUtils.futureId(ExchangeIds.ECAG, FGBL, YearMonth.of(2017, 6), EtdVariant.ofDaily(3))).longQuantity(30d).shortQuantity(0d).build();
assertBeanEquals(expected6, filtered[6]);
SecurityPosition expected7 = SecurityPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123431")).build()).securityId(EtdIdUtils.optionId(ExchangeIds.ECAG, OGBL, YearMonth.of(2017, 6), EtdVariant.ofMonthly(), 0, PutCall.PUT, 3d, YearMonth.of(2017, 9))).longQuantity(15d).shortQuantity(2d).build();
assertBeanEquals(expected7, filtered[7]);
SecurityPosition expected8 = SecurityPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123432")).build()).securityId(EtdIdUtils.optionId(ExchangeIds.ECAG, OGBL, YearMonth.of(2017, 6), EtdVariant.ofFlexOption(13, EtdSettlementType.CASH, EtdOptionType.AMERICAN), 0, PutCall.CALL, 4d)).longQuantity(0d).shortQuantity(13d).build();
assertBeanEquals(expected8, filtered[8]);
SecurityPosition expected9 = SecurityPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123433")).build()).securityId(EtdIdUtils.optionId(ExchangeIds.ECAG, OGBL, YearMonth.of(2017, 6), EtdVariant.ofWeekly(2), 0, PutCall.PUT, 5.1d)).longQuantity(0d).shortQuantity(20d).build();
assertBeanEquals(expected9, filtered[9]);
}
public virtual void test_futureId_flex()
{
SecurityId test = EtdIdUtils.futureId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofFlexFuture(26, EtdSettlementType.DERIVATIVE));
assertEquals(test.StandardId, StandardId.of("OG-ETD", "F-ECAG-FGBS-20170626D"));
}
//-------------------------------------------------------------------------
internal static EtdFutureSecurity sut()
{
return(EtdFutureSecurity.builder().info(SecurityInfo.of(SecurityId.of("A", "B"), SecurityPriceInfo.of(Currency.GBP, 100))).contractSpecId(EtdContractSpecId.of("test", "123")).expiry(YearMonth.of(2017, 6)).build());
}
//-------------------------------------------------------------------------
public virtual void test_futureId_monthly()
{
SecurityId test = EtdIdUtils.futureId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), MONTHLY);
assertEquals(test.StandardId, StandardId.of("OG-ETD", "F-ECAG-FGBS-201706"));
}
public virtual void test_futureId_daily()
{
SecurityId test = EtdIdUtils.futureId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofDaily(2));
assertEquals(test.StandardId, StandardId.of("OG-ETD", "F-ECAG-FGBS-20170602"));
}
public virtual void test_optionIdUnderlying_daily9_version()
{
SecurityId test = EtdIdUtils.optionId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofDaily(9), 3, PutCall.PUT, 12.34, YearMonth.of(2017, 9));
assertEquals(test.StandardId, StandardId.of("OG-ETD", "O-ECAG-FGBS-20170609-V3-P12.34-U201709"));
}
internal static EtdOptionSecurity sut2()
{
return(EtdOptionSecurity.builder().info(SecurityInfo.of(SecurityId.of("B", "C"), SecurityPriceInfo.of(Currency.EUR, 10))).contractSpecId(EtdContractSpecId.of("test", "234")).expiry(YearMonth.of(2017, 9)).variant(EtdVariant.ofWeekly(2)).version(4).putCall(PutCall.CALL).strikePrice(3).underlyingExpiryMonth(YearMonth.of(2017, 12)).build());
}
//-------------------------------------------------------------------------
internal static EtdOptionSecurity sut()
{
return(EtdOptionSecurity.builder().info(SecurityInfo.of(SecurityId.of("A", "B"), SecurityPriceInfo.of(Currency.GBP, 100))).contractSpecId(EtdContractSpecId.of("test", "123")).expiry(YearMonth.of(2017, 6)).putCall(PutCall.PUT).strikePrice(2).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
InflationInterpolatedRateComputation test1 = InflationInterpolatedRateComputation.of(GB_HICP, START_MONTH_FIRST, END_MONTH_FIRST, WEIGHT);
coverImmutableBean(test1);
InflationInterpolatedRateComputation test2 = InflationInterpolatedRateComputation.of(CH_CPI, YearMonth.of(2010, 1), YearMonth.of(2010, 7), WEIGHT + 0.1d);
coverBeanEquals(test1, test2);
}
public virtual void test_optionId_weekly()
{
SecurityId test = EtdIdUtils.optionId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofWeekly(3), 0, PutCall.CALL, -1.45);
assertEquals(test.StandardId, StandardId.of("OG-ETD", "O-ECAG-FGBS-201706W3-CM1.45"));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
InflationEndMonthRateComputation test1 = InflationEndMonthRateComputation.of(GB_HICP, START_INDEX, END_MONTH);
coverImmutableBean(test1);
InflationEndMonthRateComputation test2 = InflationEndMonthRateComputation.of(CH_CPI, 2324d, YearMonth.of(2015, 4));
coverBeanEquals(test1, test2);
}
public virtual void test_optionId_daily21_version()
{
SecurityId test = EtdIdUtils.optionId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofDaily(21), 11, PutCall.PUT, 12.34);
assertEquals(test.StandardId, StandardId.of("OG-ETD", "O-ECAG-FGBS-20170621-V11-P12.34"));
}
//-------------------------------------------------------------------------
public virtual void test_parse_option()
{
EtdContractSpecId specId = EtdContractSpecId.of("OG-ETD", "O-ECAG-OGBL");
EtdContractSpec contract = EtdContractSpec.builder().id(specId).type(EtdType.OPTION).exchangeId(ExchangeIds.ECAG).contractCode(OGBL).description("Dummy").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build();
ReferenceData refData = ImmutableReferenceData.of(specId, contract);
PositionCsvLoader test = PositionCsvLoader.of(refData);
ValueWithFailures <IList <EtdOptionPosition> > trades = test.parse(ImmutableList.of(FILE.CharSource), typeof(EtdOptionPosition));
IList <EtdOptionPosition> filtered = trades.Value;
assertEquals(filtered.Count, 3);
EtdOptionPosition expected1 = EtdOptionPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123431")).build()).security(EtdOptionSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofMonthly(), 0, PutCall.PUT, 3d, YearMonth.of(2017, 9))).longQuantity(15d).shortQuantity(2d).build();
assertBeanEquals(expected1, filtered[0]);
EtdOptionPosition expected2 = EtdOptionPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123432")).build()).security(EtdOptionSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofFlexOption(13, EtdSettlementType.CASH, EtdOptionType.AMERICAN), 0, PutCall.CALL, 4d)).longQuantity(0d).shortQuantity(13d).build();
assertBeanEquals(expected2, filtered[1]);
EtdOptionPosition expected3 = EtdOptionPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123433")).build()).security(EtdOptionSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofWeekly(2), 0, PutCall.PUT, 5.1d)).longQuantity(0d).shortQuantity(20d).build();
assertBeanEquals(expected3, filtered[2]);
}
public virtual void test_wrongMonthOrder()
{
assertThrowsIllegalArg(() => InflationEndInterpolatedRateComputation.meta().builder().set(InflationEndInterpolatedRateComputation.meta().startIndexValue(), START_INDEX).set(InflationEndInterpolatedRateComputation.meta().endObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationEndInterpolatedRateComputation.meta().endSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationEndInterpolatedRateComputation.meta().weight(), WEIGHT).build());
}
//-------------------------------------------------------------------------
public virtual void test_optionId_monthly()
{
SecurityId test = EtdIdUtils.optionId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), MONTHLY, 0, PutCall.PUT, 12.34);
assertEquals(test.StandardId, StandardId.of("OG-ETD", "O-ECAG-FGBS-201706-P12.34"));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
YearMonthDateParameterMetadata test = YearMonthDateParameterMetadata.of(DATE, JAN2015);
coverImmutableBean(test);
YearMonthDateParameterMetadata test2 = YearMonthDateParameterMetadata.of(date(2014, 1, 1), YearMonth.of(2016, 2));
coverBeanEquals(test, test2);
}
