// -------------------------------------------------------------------------
private double forecastValueFwdSensitivity(Fra fra, double forwardRate, double eps) {
RateObservationFn<RateObservation> obsFuncNew = mock(RateObservationFn.class);
RatesProvider provNew = mock(RatesProvider.class);
when(provNew.getValuationDate()).thenReturn(VAL_DATE);
ExpandedFra fraExp = fra.expand();
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate + eps);
CurrencyAmount upValue =
new DiscountingFraProductPricer(obsFuncNew).forecastValue(fraExp, provNew);
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate - eps);
CurrencyAmount downValue =
new DiscountingFraProductPricer(obsFuncNew).forecastValue(fraExp, provNew);
return upValue.minus(downValue).multipliedBy(0.5 / eps).getAmount();
}
/** 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));
}
private double dscSensitivity(
Fra fra, double forwardRate, double discountFactor, double paymentTime, double eps) {
RatesProvider provNew = mock(RatesProvider.class);
when(provNew.getValuationDate()).thenReturn(VAL_DATE);
RateObservationFn<RateObservation> obsFuncNew = mock(RateObservationFn.class);
ExpandedFra fraExp = fra.expand();
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate);
when(provNew.discountFactor(fra.getCurrency(), fraExp.getPaymentDate()))
.thenReturn(discountFactor * Math.exp(-eps * paymentTime));
CurrencyAmount upDscValue =
new DiscountingFraProductPricer(obsFuncNew).presentValue(fraExp, provNew);
when(provNew.discountFactor(fra.getCurrency(), fraExp.getPaymentDate()))
.thenReturn(discountFactor * Math.exp(eps * paymentTime));
CurrencyAmount downDscValue =
new DiscountingFraProductPricer(obsFuncNew).presentValue(fraExp, provNew);
return upDscValue.minus(downDscValue).multipliedBy(0.5 / eps).getAmount();
}
