Java tutorial
/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.web.analytics.blotter; import static org.testng.AssertJUnit.assertEquals; import static org.testng.AssertJUnit.assertFalse; import static org.testng.AssertJUnit.assertNotNull; import static org.testng.AssertJUnit.assertTrue; import java.math.BigDecimal; import org.apache.commons.lang.ArrayUtils; import org.testng.annotations.BeforeMethod; import org.testng.annotations.Test; import org.threeten.bp.LocalDate; import org.threeten.bp.LocalDateTime; import org.threeten.bp.LocalTime; import org.threeten.bp.OffsetTime; import org.threeten.bp.ZoneOffset; import org.threeten.bp.ZonedDateTime; import com.google.common.collect.ImmutableMap; import com.opengamma.financial.security.LongShort; import com.opengamma.financial.security.fx.FXForwardSecurity; import com.opengamma.financial.security.option.SwaptionSecurity; import com.opengamma.financial.security.swap.SwapSecurity; import com.opengamma.id.ExternalId; import com.opengamma.id.ExternalIdBundle; import com.opengamma.id.ExternalIdSearch; import com.opengamma.id.UniqueId; import com.opengamma.id.VersionCorrection; import com.opengamma.master.portfolio.ManageablePortfolio; import com.opengamma.master.portfolio.ManageablePortfolioNode; import com.opengamma.master.portfolio.PortfolioDocument; import com.opengamma.master.portfolio.PortfolioMaster; import com.opengamma.master.portfolio.impl.InMemoryPortfolioMaster; import com.opengamma.master.position.ManageablePosition; import com.opengamma.master.position.ManageableTrade; import com.opengamma.master.position.PositionDocument; import com.opengamma.master.position.PositionMaster; import com.opengamma.master.position.impl.InMemoryPositionMaster; import com.opengamma.master.security.ManageableSecurity; import com.opengamma.master.security.ManageableSecurityLink; import com.opengamma.master.security.SecurityDocument; import com.opengamma.master.security.SecurityMaster; import com.opengamma.master.security.SecuritySearchRequest; import com.opengamma.master.security.SecuritySearchResult; import com.opengamma.master.security.impl.InMemorySecurityMaster; import com.opengamma.util.money.Currency; import com.opengamma.util.test.TestGroup; /** * Test. */ @Test(groups = TestGroup.UNIT) public class OtcTradeBuilderTest { private static final ImmutableMap<String, String> ATTRIBUTES = ImmutableMap.of("attr1", "val1", "attr2", "val2"); private static final OffsetTime PREMIUM_TIME = LocalTime.of(13, 0).atOffset(ZoneOffset.UTC); private static final OffsetTime TRADE_TIME = LocalTime.of(10, 0).atOffset(ZoneOffset.UTC); private static final LocalDate PREMIUM_DATE = LocalDate.of(2012, 12, 25); private static final LocalDate TRADE_DATE = LocalDate.of(2012, 12, 21); private static final double PREMIUM = 1234d; private static final ExternalId COUNTERPARTY_ID = ExternalId.of("Cpty", "testCpty"); private SecurityMaster _securityMaster; private PositionMaster _positionMaster; private PortfolioMaster _portfolioMaster; private OtcTradeBuilder _builder; private ManageablePortfolio _savedPortfolio; private UniqueId _nodeId; // TODO test that the URL ID is always unversioned and the trade ID is always versioned // TODO what happens if an existing trade's security is changed? // TODO create trade with various fields missing (especially attributes) // TODO move to BlotterTestUtils? private static BeanDataSource createTradeData(Object... valuePairs) { Object[] basicData = { "type", "OtcTrade", "counterparty", "testCpty", "tradeDate", "2012-12-21", "tradeTime", "10:00", "premium", "1234", "premiumCurrency", "GBP", "premiumDate", "2012-12-25", "premiumTime", "13:00", "attributes", ATTRIBUTES }; Object[] tradeData = ArrayUtils.addAll(basicData, valuePairs); return BlotterTestUtils.beanData(tradeData); } @BeforeMethod public void setUp() throws Exception { _securityMaster = new InMemorySecurityMaster(); _positionMaster = new InMemoryPositionMaster(); _portfolioMaster = new InMemoryPortfolioMaster(); _builder = new OtcTradeBuilder(_positionMaster, _portfolioMaster, _securityMaster, BlotterUtils.getMetaBeans(), BlotterUtils.getStringConvert()); ManageablePortfolio portfolio = new ManageablePortfolio(); ManageablePortfolioNode root = new ManageablePortfolioNode(); ManageablePortfolioNode node = new ManageablePortfolioNode(); root.addChildNode(node); portfolio.setRootNode(root); _savedPortfolio = _portfolioMaster.add(new PortfolioDocument(portfolio)).getPortfolio(); _nodeId = _savedPortfolio.getRootNode().getChildNodes().get(0).getUniqueId(); } @Test public void newSecurityWithNoUnderlying() { UniqueId tradeId = _builder.addTrade(createTradeData(), BlotterTestUtils.FX_FORWARD_DATA_SOURCE, null, _nodeId); ManageableTrade trade = _positionMaster.getTrade(tradeId); UniqueId positionId = trade.getParentPositionId(); ManageablePosition position = _positionMaster.get(positionId).getPosition(); assertEquals(BigDecimal.ONE, trade.getQuantity()); assertEquals(BigDecimal.ONE, position.getQuantity()); ManageableSecurity security = _securityMaster .get(trade.getSecurityLink().getObjectId(), VersionCorrection.LATEST).getSecurity(); assertNotNull(security); security.setUniqueId(null); // so it can be tested for equality against the unsaved version assertEquals(BlotterTestUtils.FX_FORWARD, security); assertEquals(COUNTERPARTY_ID, trade.getCounterpartyExternalId()); assertEquals(PREMIUM, trade.getPremium()); assertEquals(Currency.GBP, trade.getPremiumCurrency()); assertEquals(PREMIUM_DATE, trade.getPremiumDate()); assertEquals(TRADE_DATE, trade.getTradeDate()); assertEquals(PREMIUM_TIME, trade.getPremiumTime()); assertEquals(TRADE_TIME, trade.getTradeTime()); assertEquals(ATTRIBUTES, trade.getAttributes()); // can't check the node ID as nodes are completely replaced ManageablePortfolioNode loadedRoot = _portfolioMaster.get(_savedPortfolio.getUniqueId()).getPortfolio() .getRootNode(); ManageablePortfolioNode loadedNode = loadedRoot.getChildNodes().get(0); assertEquals(1, loadedNode.getPositionIds().size()); assertEquals(positionId.getObjectId(), loadedNode.getPositionIds().get(0)); } @Test public void existingSecurityWithNoUnderlying() { UniqueId tradeId = _builder.addTrade(createTradeData(), BlotterTestUtils.FX_FORWARD_DATA_SOURCE, null, _nodeId); BeanDataSource updatedTradeData = createTradeData("uniqueId", tradeId.toString(), "counterparty", "updatedCounterparty", "tradeDate", "2012-12-22", "premium", "4321"); BeanDataSource updatedSecurityData = BlotterTestUtils.overrideBeanData( BlotterTestUtils.FX_FORWARD_DATA_SOURCE, "payCurrency", "AUD", "payAmount", "200"); UniqueId updatedTradeId = _builder.updateTrade(updatedTradeData, updatedSecurityData, null); ManageableTrade updatedTrade = _positionMaster.getTrade(updatedTradeId); assertEquals("updatedCounterparty", updatedTrade.getCounterpartyExternalId().getValue()); assertEquals(LocalDate.of(2012, 12, 22), updatedTrade.getTradeDate()); assertEquals(4321d, updatedTrade.getPremium()); PositionDocument positionDocument = _positionMaster.get(updatedTrade.getParentPositionId()); ManageablePosition updatedPosition = positionDocument.getPosition(); assertEquals(updatedTrade, updatedPosition.getTrade(updatedTradeId)); FXForwardSecurity updatedSecurity = (FXForwardSecurity) _securityMaster .get(updatedTrade.getSecurityLink().getObjectId(), VersionCorrection.LATEST).getSecurity(); assertEquals(Currency.AUD, updatedSecurity.getPayCurrency()); assertEquals(200d, updatedSecurity.getPayAmount()); } @Test public void newSecurityWithOtcUnderlying() { UniqueId tradeId = _builder.addTrade(createTradeData(), BlotterTestUtils.SWAPTION_DATA_SOURCE, BlotterTestUtils.SWAP_DATA_SOURCE, _nodeId); ManageableTrade trade = _positionMaster.getTrade(tradeId); UniqueId positionId = trade.getParentPositionId(); ManageablePosition position = _positionMaster.get(positionId).getPosition(); assertEquals(BigDecimal.ONE, trade.getQuantity()); assertEquals(BigDecimal.ONE, position.getQuantity()); SwaptionSecurity security = (SwaptionSecurity) _securityMaster .get(trade.getSecurityLink().getObjectId(), VersionCorrection.LATEST).getSecurity(); assertNotNull(security); // check this later ExternalId underlyingId = security.getUnderlyingId(); security.setUniqueId(null); // so it can be tested for equality against the unsaved version security.setUnderlyingId(BlotterTestUtils.SWAPTION.getUnderlyingId()); // will need this later assertEquals(BlotterTestUtils.SWAPTION, security); assertEquals(COUNTERPARTY_ID, trade.getCounterpartyExternalId()); assertEquals(PREMIUM, trade.getPremium()); assertEquals(Currency.GBP, trade.getPremiumCurrency()); assertEquals(PREMIUM_DATE, trade.getPremiumDate()); assertEquals(TRADE_DATE, trade.getTradeDate()); assertEquals(PREMIUM_TIME, trade.getPremiumTime()); assertEquals(TRADE_TIME, trade.getTradeTime()); assertEquals(ATTRIBUTES, trade.getAttributes()); // can't check the node ID as nodes are completely replaced ManageablePortfolioNode loadedRoot = _portfolioMaster.get(_savedPortfolio.getUniqueId()).getPortfolio() .getRootNode(); ManageablePortfolioNode loadedNode = loadedRoot.getChildNodes().get(0); assertEquals(1, loadedNode.getPositionIds().size()); assertEquals(positionId.getObjectId(), loadedNode.getPositionIds().get(0)); SecuritySearchRequest searchRequest = new SecuritySearchRequest(); searchRequest.setExternalIdSearch(new ExternalIdSearch(underlyingId)); SecuritySearchResult searchResult = _securityMaster.search(searchRequest); ManageableSecurity underlying = searchResult.getSingleSecurity(); ExternalIdBundle underlyingBundle = underlying.getExternalIdBundle(); // this isn't part of the equality check below because the test swaption can't know what the ID will be assertTrue(underlyingBundle.contains(underlyingId)); // clear these values so we can do an equality check with the test swaption underlying.setUniqueId(null); underlying.setExternalIdBundle(ExternalIdBundle.EMPTY); assertEquals(BlotterTestUtils.SWAP, underlying); } @Test public void existingSecurityWithOtcUnderlying() { UniqueId tradeId = _builder.addTrade(createTradeData(), BlotterTestUtils.SWAPTION_DATA_SOURCE, BlotterTestUtils.SWAP_DATA_SOURCE, _nodeId); BeanDataSource updatedTradeData = createTradeData("uniqueId", tradeId.toString(), "counterparty", "updatedCounterparty", "tradeDate", "2012-12-22", "premium", "4321"); BeanDataSource updatedSecurityData = BlotterTestUtils.overrideBeanData( BlotterTestUtils.SWAPTION_DATA_SOURCE, "payer", "false", "longShort", "Long", "currency", "CAD"); BeanDataSource updatedUnderlyingData = BlotterTestUtils.overrideBeanData(BlotterTestUtils.SWAP_DATA_SOURCE, "tradeDate", "2013-01-01", "eom", "false"); UniqueId updatedTradeId = _builder.updateTrade(updatedTradeData, updatedSecurityData, updatedUnderlyingData); ManageableTrade updatedTrade = _positionMaster.getTrade(updatedTradeId); assertEquals("updatedCounterparty", updatedTrade.getCounterpartyExternalId().getValue()); assertEquals(LocalDate.of(2012, 12, 22), updatedTrade.getTradeDate()); assertEquals(4321d, updatedTrade.getPremium()); PositionDocument positionDocument = _positionMaster.get(updatedTrade.getParentPositionId()); ManageablePosition updatedPosition = positionDocument.getPosition(); assertEquals(updatedTrade, updatedPosition.getTrade(updatedTradeId)); SwaptionSecurity updatedSecurity = (SwaptionSecurity) _securityMaster .get(updatedTrade.getSecurityLink().getObjectId(), VersionCorrection.LATEST).getSecurity(); assertFalse(updatedSecurity.isPayer()); assertEquals(LongShort.LONG, updatedSecurity.getLongShort()); assertEquals(Currency.CAD, updatedSecurity.getCurrency()); ExternalId underlyingId = updatedSecurity.getUnderlyingId(); SecuritySearchRequest searchRequest = new SecuritySearchRequest(); searchRequest.setExternalIdSearch(new ExternalIdSearch(underlyingId)); SecuritySearchResult searchResult = _securityMaster.search(searchRequest); SwapSecurity updatedUnderlying = (SwapSecurity) searchResult.getSingleSecurity(); ZonedDateTime tradeDate = ZonedDateTime.of(LocalDateTime.of(2013, 1, 1, 11, 0), ZoneOffset.UTC); assertEquals(tradeDate, updatedUnderlying.getTradeDate()); } /** * directly update a position that has no trades */ @Test public void updatePositionWithNoTrade() { ManageableSecurity security = _securityMaster.add(new SecurityDocument(BlotterTestUtils.FX_FORWARD)) .getSecurity(); ManageablePosition position = new ManageablePosition(); position.setQuantity(BigDecimal.ONE); position.setSecurityLink(new ManageableSecurityLink(security.getUniqueId())); ManageablePosition savedPosition = _positionMaster.add(new PositionDocument(position)).getPosition(); BeanDataSource updatedTradeData = createTradeData("counterparty", "updatedCounterparty", "tradeDate", "2012-12-22", "premium", "4321"); BeanDataSource updatedSecurityData = BlotterTestUtils.overrideBeanData( BlotterTestUtils.FX_FORWARD_DATA_SOURCE, "payCurrency", "AUD", "payAmount", "200"); _builder.updatePosition(savedPosition.getUniqueId(), updatedTradeData, updatedSecurityData, null); ManageablePosition loadedPosition = _positionMaster.get(savedPosition.getUniqueId()).getPosition(); assertEquals(1, loadedPosition.getTrades().size()); ManageableTrade trade = loadedPosition.getTrades().get(0); assertEquals("updatedCounterparty", trade.getCounterpartyExternalId().getValue()); assertEquals(LocalDate.of(2012, 12, 22), trade.getTradeDate()); assertEquals(4321d, trade.getPremium()); FXForwardSecurity updatedSecurity = (FXForwardSecurity) _securityMaster .get(trade.getSecurityLink().getObjectId(), VersionCorrection.LATEST).getSecurity(); assertEquals(Currency.AUD, updatedSecurity.getPayCurrency()); assertEquals(200d, updatedSecurity.getPayAmount()); } }