// -------------------------------------------------------------------------
public void test_build() {
BondFutureOptionSensitivity base =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
PointSensitivities test = base.build();
assertEquals(test.getSensitivities(), ImmutableList.of(base));
}
/**
* 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_marginIndexSensitivity() {
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
PointSensitivities computed =
OPTION_PRICER.marginIndexSensitivity(FUTURE_OPTION_PRODUCT, point);
assertEquals(computed, point.multipliedBy(FUTURE_OPTION_PRODUCT.getUnderlying().getNotional()));
}
public void test_presentValueSensitivity() {
PointSensitivities pvSensiTrade =
PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct =
PRICER_PRODUCT.presentValueSensitivityRates(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiPremium =
PRICER_PAYMENT.presentValueSensitivity(PREMIUM, RATES_PROVIDER).build();
assertEquals(pvSensiTrade, pvSensiProduct.combinedWith(pvSensiPremium));
}
/** Test forecast value sensitivity for AFMA FRA discounting method. */
public void test_forecastValueSensitivity_AFMA() {
ExpandedFra fraExp = FRA_AFMA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
PointSensitivities sensitivity = test.forecastValueSensitivity(fraExp, prov);
double eps = 1.e-7;
double fdSense = forecastValueFwdSensitivity(FRA_AFMA, FORWARD_RATE, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.getSensitivities();
assertEquals(sensitivities.size(), 1);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.getIndex(), FRA_AFMA.getIndex());
assertEquals(sensitivity0.getFixingDate(), FRA_AFMA.getStartDate());
assertEquals(sensitivity0.getSensitivity(), fdSense, FRA_AFMA.getNotional() * eps);
}
/** Test present value sensitivity for ISDA */
public void test_presentValueSensitivity_ISDA() {
RateObservationFn<RateObservation> mockObs = mock(RateObservationFn.class);
DiscountFactors mockDf = mock(DiscountFactors.class);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(VAL_DATE, mockDf);
ExpandedFra fraExp = FRA.expand();
double forwardRate = 0.05;
double discountRate = 0.015;
double paymentTime = 0.3;
double discountFactor = Math.exp(-discountRate * paymentTime);
LocalDate fixingDate = FRA.getStartDate();
PointSensitivityBuilder sens = IborRateSensitivity.of(FRA.getIndex(), fixingDate, 1d);
when(mockDf.discountFactor(fraExp.getPaymentDate())).thenReturn(discountFactor);
when(mockDf.zeroRatePointSensitivity(fraExp.getPaymentDate()))
.thenReturn(
ZeroRateSensitivity.of(
fraExp.getCurrency(), fraExp.getPaymentDate(), -discountFactor * paymentTime));
when(mockObs.rateSensitivity(
fraExp.getFloatingRate(), fraExp.getStartDate(), fraExp.getEndDate(), simpleProv))
.thenReturn(sens);
when(mockObs.rate(fraExp.getFloatingRate(), FRA.getStartDate(), FRA.getEndDate(), simpleProv))
.thenReturn(forwardRate);
DiscountingFraProductPricer test = new DiscountingFraProductPricer(mockObs);
PointSensitivities sensitivity = test.presentValueSensitivity(fraExp, simpleProv);
double eps = 1.e-7;
double fdDscSense = dscSensitivity(FRA, forwardRate, discountFactor, paymentTime, eps);
double fdSense = presentValueFwdSensitivity(FRA, forwardRate, discountFactor, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.getSensitivities();
assertEquals(sensitivities.size(), 2);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.getIndex(), FRA.getIndex());
assertEquals(sensitivity0.getFixingDate(), fixingDate);
assertEquals(sensitivity0.getSensitivity(), fdSense, FRA.getNotional() * eps);
ZeroRateSensitivity sensitivity1 = (ZeroRateSensitivity) sensitivities.get(1);
assertEquals(sensitivity1.getCurrency(), FRA.getCurrency());
assertEquals(sensitivity1.getDate(), fraExp.getPaymentDate());
assertEquals(sensitivity1.getSensitivity(), fdDscSense, FRA.getNotional() * eps);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(
testTrade.presentValueSensitivity(FRA_TRADE, simpleProv),
test.presentValueSensitivity(fraExp, simpleProv));
}
@Override
public CurrencyParameterSensitivities parameterSensitivity(
PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof IborFutureOptionSensitivity) {
IborFutureOptionSensitivity pt = (IborFutureOptionSensitivity) point;
if (pt.getVolatilitiesName().equals(getName())) {
sens = sens.combinedWith(parameterSensitivity(pt));
}
}
}
return sens;
}
