/** * Test for the case where publication lag=1, effective offset=0 (USD conventions) and cutoff=2 * (FedFund swaps). */ public void rateFedFund() { OvernightIndexRates mockRates = mock(OvernightIndexRates.class); when(mockRates.getIndex()).thenReturn(USD_FED_FUND); 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(USD_FED_FUND, FIXING_START_DATE, FIXING_END_DATE, 2); 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), but last is modified by // cut-off for (int i = 1; i <= indexLast - 1; i++) { LocalDate endDate = USD_FED_FUND.calculateMaturityFromEffective(FIXING_DATES[i]); double af = USD_FED_FUND.getDayCount().yearFraction(FIXING_DATES[i], endDate); accrualFactorTotal += af; accruedRate += FIXING_RATES[i] * af; } // CutOff LocalDate endDate = USD_FED_FUND.calculateMaturityFromEffective(FIXING_DATES[indexLast]); double af = USD_FED_FUND.getDayCount().yearFraction(FIXING_DATES[indexLast], endDate); accrualFactorTotal += af; accruedRate += FIXING_RATES[indexLast - 1] * 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=1, effective offset=0 (USD conventions) and no cutoff * period. */ public void rateFedFundNoCutOff() { OvernightIndexRates mockRates = mock(OvernightIndexRates.class); when(mockRates.getIndex()).thenReturn(USD_FED_FUND); 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(USD_FED_FUND, FIXING_START_DATE, FIXING_END_DATE, 0); // Accrual dates = fixing dates 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 endDate = USD_FED_FUND.calculateMaturityFromEffective(FIXING_DATES[i]); double af = USD_FED_FUND.getDayCount().yearFraction(FIXING_DATES[i], 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); // explain ExplainMapBuilder builder = ExplainMap.builder(); double explainedRate = obsFn.explainRate( ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv, builder); assertEquals(explainedRate, rateExpected, TOLERANCE_RATE); ExplainMap built = builder.build(); assertEquals(built.get(ExplainKey.OBSERVATIONS).isPresent(), false); assertEquals( built.get(ExplainKey.COMBINED_RATE).get().doubleValue(), rateExpected, TOLERANCE_RATE); }