The Scandinavian nation takes on Mano Menezes’ men at the Imtech Arena in Hamburg, before facing Australia next weekend.
Olsen feels that the South American powerhouse will test his side, but will give him an indication of the Danes’ standing going into the tournament in Ukraine and Poland.
"We are happy to play them. We picked them specifically ahead of Euro. They are technically skilled and we want to measure ourselves against them," he told reporters ahead of the game.
"It is important to draw conclusions from the game and erase any mistakes that were made."
Denmark has been drawn in Group B alongside Netherlands, Germany and Portugal. Despite a difficult pool Olsen is still confident of recreating the unexpected success of the 1992 tournament.
"We are not favorites but of course we have a chance. The others have to advance, we want to advance," he concluded.
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- Euro 2012