/**
* Test for the case where publication lag=0, effective offset=0 (GBP conventions) and no cutoff
* period. The arithmetic average coupons are used mainly in USD. This test is more for
* completeness than a real case.
*/
public void rateGbpNoCutOff() {
OvernightIndexRates mockRates = mock(OvernightIndexRates.class);
when(mockRates.getIndex()).thenReturn(GBP_SONIA);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < FIXING_DATES.length; i++) {
when(mockRates.rate(FIXING_DATES[i])).thenReturn(FIXING_RATES[i]);
}
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(GBP_SONIA, FIXING_START_DATE, FIXING_END_DATE, 0);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
double accrualFactorTotal = 0.0d;
double accruedRate = 0.0d;
int indexLast = 5; // Fixing in the observation period are from 1 to 5 (inclusive)
for (int i = 1; i <= indexLast; i++) {
LocalDate startDate = FIXING_DATES[i]; // no effective lag
LocalDate endDate = GBP_SONIA.calculateMaturityFromEffective(startDate);
double af = GBP_SONIA.getDayCount().yearFraction(startDate, endDate);
accrualFactorTotal += af;
accruedRate += FIXING_RATES[i] * af;
}
double rateExpected = accruedRate / accrualFactorTotal;
double rateComputed =
obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
assertEquals(rateExpected, rateComputed, TOLERANCE_RATE);
}
/**
* Test for the case where publication lag=0, effective offset=0 (GBP conventions) and no cutoff
* period. The arithmetic average coupons are used mainly in USD. This test is more for
* completeness than a real case.
*/
public void rateGbpNoCutOffSensitivity() {
OvernightIndexRates mockRates = mock(OvernightIndexRates.class);
when(mockRates.getIndex()).thenReturn(GBP_SONIA);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < FIXING_DATES.length; i++) {
when(mockRates.rate(FIXING_DATES[i])).thenReturn(FIXING_RATES[i]);
LocalDate fixingStartDate = GBP_SONIA.calculateEffectiveFromFixing(FIXING_DATES[i]);
LocalDate fixingEndDate = GBP_SONIA.calculateMaturityFromEffective(fixingStartDate);
OvernightRateSensitivity sensitivity =
OvernightRateSensitivity.of(
GBP_SONIA, FIXING_DATES[i], fixingEndDate, GBP_SONIA.getCurrency(), 1d);
when(mockRates.ratePointSensitivity(FIXING_DATES[i])).thenReturn(sensitivity);
}
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(GBP_SONIA, FIXING_START_DATE, FIXING_END_DATE, 0);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed =
obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
PointSensitivities sensitivityComputed = sensitivityBuilderComputed.build().normalized();
Double[] sensitivityExpected = computedSensitivityFD(ro, GBP_SONIA);
assertEquals(sensitivityComputed.getSensitivities().size(), sensitivityExpected.length);
for (int i = 0; i < sensitivityExpected.length; ++i) {
assertEquals(
sensitivityComputed.getSensitivities().get(i).getSensitivity(),
sensitivityExpected[i],
EPS_FD);
}
}
// -------------------------------------------------------------------------
public void test_of() {
OvernightRateSwapLegConvention test = OvernightRateSwapLegConvention.of(GBP_SONIA, P12M, 2);
assertEquals(test.getIndex(), GBP_SONIA);
assertEquals(test.getAccrualMethod(), COMPOUNDED);
assertEquals(test.getRateCutOffDays(), 0);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.getAccrualFrequency(), P12M);
assertEquals(test.getAccrualBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStartDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getEndDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStubConvention(), StubConvention.SHORT_INITIAL);
assertEquals(test.getRollConvention(), RollConventions.NONE);
assertEquals(test.getPaymentFrequency(), P12M);
assertEquals(
test.getPaymentDateOffset(),
DaysAdjustment.ofBusinessDays(2, GBP_SONIA.getFixingCalendar()));
assertEquals(test.getCompoundingMethod(), CompoundingMethod.NONE);
}