public void regression_withZSpread_periodic() {
double price =
FUTURE_PRICER.priceWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
assertEquals(price, 1.1720190529653407, TOL);
PointSensitivities point =
FUTURE_PRICER.priceSensitivityWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurrencyParameterSensitivities test = PROVIDER.parameterSensitivity(point);
DoubleArray expectedIssuer =
DoubleArray.of(
-3.9201229100932256E-4,
-0.0041367134351306374,
-0.014173323438217467,
-0.9886444827927878,
-4.07533109609094,
0);
DoubleArray actualIssuer =
test.getSensitivity(METADATA_ISSUER.getCurveName(), USD).getSensitivity();
assertTrue(actualIssuer.equalWithTolerance(expectedIssuer, TOL));
DoubleArray expectedRepo =
DoubleArray.of(0.1428352116441475, 0.20242871054203687, 0.0, 0.0, 0.0, 0.0);
DoubleArray actualRepo =
test.getSensitivity(METADATA_REPO.getCurveName(), USD).getSensitivity();
assertTrue(actualRepo.equalWithTolerance(expectedRepo, TOL));
}
public void test_priceWithZSpread_continuous() {
double computed =
FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
double dirtyPrice =
BOND_PRICER.dirtyPriceFromCurvesWithZSpread(
BOND, PROVIDER, Z_SPREAD, CONTINUOUS, 0, FUTURE_PRODUCT.getLastDeliveryDate());
double expected =
BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.getLastDeliveryDate(), dirtyPrice)
/ CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
public void test_priceSensitivityWithZSpread_continuous() {
PointSensitivities point =
FUTURE_PRICER.priceSensitivityWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
USD,
FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, (p), Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
public void test_priceWithZSpread_periodic() {
double computed =
FUTURE_PRICER.priceWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
double dirtyPrice =
BOND_PRICER.dirtyPriceFromCurvesWithZSpread(
BOND,
PROVIDER,
Z_SPREAD,
PERIODIC,
PERIOD_PER_YEAR,
FUTURE_PRODUCT.getLastDeliveryDate());
double expected =
BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.getLastDeliveryDate(), dirtyPrice)
/ CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
public void regression_withZSpread_continuous() {
double price =
FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
assertEquals(price, 1.1718691843665354, TOL);
// curve parameter sensitivity is not supported for continuous z-spread in 2.x.
}