/*
Copyright (C) 2009
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
package org.jquantlib.testsuite.calendars;
import static org.junit.Assert.assertEquals;
import static org.junit.Assert.assertFalse;
import org.jquantlib.QL;
import org.jquantlib.time.BusinessDayConvention;
import org.jquantlib.time.Calendar;
import org.jquantlib.time.Date;
import org.jquantlib.time.Month;
import org.jquantlib.time.Period;
import org.jquantlib.time.TimeUnit;
import org.jquantlib.time.calendars.Japan;
import org.jquantlib.time.calendars.NullCalendar;
import org.jquantlib.time.calendars.Target;
import org.jquantlib.time.calendars.UnitedKingdom;
import org.jquantlib.time.calendars.UnitedStates;
import org.jquantlib.time.calendars.JointCalendar;
import org.jquantlib.time.calendars.JointCalendar.JointCalendarRule;
import org.junit.Assert;
import org.junit.Test;
/**
*
* @author Zahid Hussain
*
*/
public class CalendarTest {
public CalendarTest() {
QL.info("::::: " + this.getClass().getSimpleName() + " :::::");
}
@Test
public void testAdvance() {
final NullCalendar nullCalendar = new NullCalendar();
final Date d = new Date(11, Month.October, 2009);
final Date dCopy = d.clone();
assertEquals(dCopy, d);
final Date advancedDate = nullCalendar.advance(d, new Period(3, TimeUnit.Months));
assertEquals(dCopy, d);
assertFalse(advancedDate.equals(d));
}
@Test
public void testEndOfMonth() {
QL.info("Testing end-of-month calculation...");
final Calendar c = new Target(); // any calendar would be OK
Date eom;
final Date counter = Date.minDate();
final Date last = Date.maxDate().sub(new Period(2, TimeUnit.Months));
while (counter.le(last)) {
eom = c.endOfMonth(counter);
// check that eom is eom
if (!c.isEndOfMonth(eom)) {
Assert.fail(String.format("%s %s %s is not the last business day in %s according to %s",
eom.weekday(), eom.dayOfMonth(), eom.month(), eom.year(), c.name() ));
}
// check that eom is in the same month as counter
if (eom.month()!=counter.month()) {
Assert.fail(String.format("%s is not the same month as %s", eom, counter ));
}
counter.addAssign(1);
}
}
@Test
public void testAdjust_ModifiedFollowing() {
System.out.println("Testing BusinessDayConvention.ModifiedFollowing");
final class Entry {
public Date date;
public Date expected;
private Entry (final Date d, final Date e) {
date = d;
expected = e;
}
}
final Entry[] entries = {
new Entry( new Date(28, 5, 2009), new Date(28, 5, 2009) ),
new Entry( new Date(29, 5, 2009), new Date(29, 5, 2009) ),
new Entry( new Date(30, 5, 2009), new Date(29, 5, 2009) ),
new Entry( new Date(31, 5, 2009), new Date(29, 5, 2009) ),
new Entry( new Date( 1, 6, 2009), new Date( 1, 6, 2009) ),
new Entry( new Date( 2, 6, 2009), new Date( 2, 6, 2009) ),
new Entry( new Date( 3, 6, 2009), new Date( 3, 6, 2009) ),
// ---
new Entry( new Date(23, 1, 1973), new Date(23, 1, 1973) ),
new Entry( new Date(24, 1, 1973), new Date(24, 1, 1973) ),
new Entry( new Date(25, 1, 1973), new Date(26, 1, 1973) ),
new Entry( new Date(26, 1, 1973), new Date(26, 1, 1973) ),
};
final Calendar unitedStatesCalendar = new UnitedStates(UnitedStates.Market.NYSE);
for (final Entry entry : entries) {
final Date result = unitedStatesCalendar.adjust(entry.date, BusinessDayConvention.ModifiedFollowing);
System.out.println("adjusted is " + result.isoDate() + " :: expected is " + entry.expected.isoDate());
assertEquals(result, entry.expected);
}
}
@Test
public void testAdjust_ModifiedPreceeding() {
System.out.println("Testing BusinessDayConvention.ModifiedPreceding");
final class Entry {
public Date date;
public Date expected;
private Entry (final Date d, final Date e) {
date = d;
expected = e;
}
}
final Entry[] entries = {
new Entry( new Date(28, 5, 2009), new Date(28, 5, 2009) ),
new Entry( new Date(29, 5, 2009), new Date(29, 5, 2009) ),
new Entry( new Date(30, 5, 2009), new Date(29, 5, 2009) ),
new Entry( new Date(31, 5, 2009), new Date(29, 5, 2009) ),
new Entry( new Date( 1, 6, 2009), new Date( 1, 6, 2009) ),
new Entry( new Date( 2, 6, 2009), new Date( 2, 6, 2009) ),
new Entry( new Date( 3, 6, 2009), new Date( 3, 6, 2009) ),
// ---
new Entry( new Date(23, 1, 1973), new Date(23, 1, 1973) ),
new Entry( new Date(24, 1, 1973), new Date(24, 1, 1973) ),
new Entry( new Date(25, 1, 1973), new Date(24, 1, 1973) ),
new Entry( new Date(26, 1, 1973), new Date(26, 1, 1973) ),
};
final Calendar unitedStatesCalendar = new UnitedStates(UnitedStates.Market.NYSE);
for (final Entry entry : entries) {
final Date result = unitedStatesCalendar.adjust(entry.date, BusinessDayConvention.ModifiedPreceding);
System.out.println("adjusted is " + result.isoDate() + " :: expected is " + entry.expected.isoDate());
assertEquals(result, entry.expected);
}
}
@Test
public void testJointCalendars() {
System.out.println("Testing joint calendars...");
Calendar c1 = new Target(),
c2 = new UnitedKingdom(),
c3 = new UnitedStates(UnitedStates.Market.NYSE),
c4 = new Japan();
Calendar c12h = new JointCalendar(c1,c2,JointCalendarRule.JoinHolidays),
c12b = new JointCalendar(c1,c2,JointCalendarRule.JoinBusinessDays),
c123h = new JointCalendar(c1,c2,c3,JointCalendarRule.JoinHolidays),
c123b = new JointCalendar(c1,c2,c3,JointCalendarRule.JoinBusinessDays),
c1234h = new JointCalendar(c1,c2,c3,c4,JointCalendarRule.JoinHolidays),
c1234b = new JointCalendar(c1,c2,c3,c4,JointCalendarRule.JoinBusinessDays);
// test one year, starting today
Date firstDate = Date.todaysDate(),
endDate = firstDate.add(new Period(1, TimeUnit.Years));
for (Date d = firstDate; d.lt(endDate); d.inc()) {
boolean b1 = c1.isBusinessDay(d),
b2 = c2.isBusinessDay(d),
b3 = c3.isBusinessDay(d),
b4 = c4.isBusinessDay(d);
if ((b1 && b2) != c12h.isBusinessDay(d))
Assert.fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c12h.name() + " (joining holidays)\n"
+ " and its components");
if ((b1 || b2) != c12b.isBusinessDay(d))
Assert.fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c12b.name() + " (joining business days)\n"
+ " and its components");
if ((b1 && b2 && b3) != c123h.isBusinessDay(d))
Assert.fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c123h.name() + " (joining holidays)\n"
+ " and its components");
if ((b1 || b2 || b3) != c123b.isBusinessDay(d))
Assert.fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c123b.name() + " (joining business days)\n"
+ " and its components");
if ((b1 && b2 && b3 && b4) != c1234h.isBusinessDay(d))
Assert.fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c1234h.name() + " (joining holidays)\n"
+ " and its components");
if ((b1 || b2 || b3 || b4) != c1234b.isBusinessDay(d))
Assert.fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c1234b.name() + " (joining business days)\n"
+ " and its components");
}
}
}
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