/**
* 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);
}
/** Test explain. */
public void test_explainPresentValue_ISDA() {
ExpandedFra fraExp = FRA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount fvExpected = test.forecastValue(fraExp, prov);
CurrencyAmount pvExpected = test.presentValue(fraExp, prov);
ExplainMap explain = test.explainPresentValue(fraExp, prov);
Currency currency = fraExp.getCurrency();
int daysBetween = (int) DAYS.between(fraExp.getStartDate(), fraExp.getEndDate());
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "FRA");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), fraExp.getPaymentDate());
assertEquals(explain.get(ExplainKey.START_DATE).get(), fraExp.getStartDate());
assertEquals(explain.get(ExplainKey.END_DATE).get(), fraExp.getEndDate());
assertEquals(explain.get(ExplainKey.ACCRUAL_YEAR_FRACTION).get(), fraExp.getYearFraction());
assertEquals(explain.get(ExplainKey.ACCRUAL_DAYS).get(), (Integer) (int) daysBetween);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), currency);
assertEquals(
explain.get(ExplainKey.NOTIONAL).get().getAmount(), fraExp.getNotional(), TOLERANCE);
assertEquals(
explain.get(ExplainKey.TRADE_NOTIONAL).get().getAmount(), fraExp.getNotional(), TOLERANCE);
assertEquals(explain.get(ExplainKey.OBSERVATIONS).get().size(), 1);
ExplainMap explainObs = explain.get(ExplainKey.OBSERVATIONS).get().get(0);
IborRateObservation floatingRate = (IborRateObservation) fraExp.getFloatingRate();
assertEquals(explainObs.get(ExplainKey.INDEX).get(), floatingRate.getIndex());
assertEquals(explainObs.get(ExplainKey.FIXING_DATE).get(), floatingRate.getFixingDate());
assertEquals(explainObs.get(ExplainKey.INDEX_VALUE).get(), FORWARD_RATE, TOLERANCE);
assertEquals(explain.get(ExplainKey.DISCOUNT_FACTOR).get(), DISCOUNT_FACTOR, TOLERANCE);
assertEquals(explain.get(ExplainKey.FIXED_RATE).get(), fraExp.getFixedRate(), TOLERANCE);
assertEquals(explain.get(ExplainKey.PAY_OFF_RATE).get(), FORWARD_RATE, TOLERANCE);
assertEquals(explain.get(ExplainKey.COMBINED_RATE).get(), FORWARD_RATE, TOLERANCE);
assertEquals(
explain.get(ExplainKey.UNIT_AMOUNT).get(),
fvExpected.getAmount() / fraExp.getNotional(),
TOLERANCE);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().getCurrency(), currency);
assertEquals(
explain.get(ExplainKey.FORECAST_VALUE).get().getAmount(),
fvExpected.getAmount(),
TOLERANCE);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().getCurrency(), currency);
assertEquals(
explain.get(ExplainKey.PRESENT_VALUE).get().getAmount(), pvExpected.getAmount(), TOLERANCE);
}