// -------------------------------------------------------------------------
public void test_accruedInterest() {
// settle before start
LocalDate settleDate1 = START_DATE.minusDays(5);
double accruedInterest1 = PRICER.accruedInterest(PRODUCT, settleDate1);
assertEquals(accruedInterest1, 0d);
// settle between endDate and endDate -lag
LocalDate settleDate2 = date(2015, 10, 8);
double accruedInterest2 = PRICER.accruedInterest(PRODUCT, settleDate2);
assertEquals(accruedInterest2, -4.0 / 365.0 * FIXED_RATE * NOTIONAL, EPS);
// normal
LocalDate settleDate3 = date(2015, 4, 18); // not adjusted
FixedCouponBond product =
FixedCouponBond.builder()
.dayCount(DAY_COUNT)
.fixedRate(FIXED_RATE)
.legalEntityId(ISSUER_ID)
.currency(EUR)
.notional(NOTIONAL)
.periodicSchedule(PERIOD_SCHEDULE)
.settlementDateOffset(DATE_OFFSET)
.yieldConvention(YIELD_CONVENTION)
.exCouponPeriod(DaysAdjustment.NONE)
.build();
double accruedInterest3 = PRICER.accruedInterest(product, settleDate3);
assertEquals(accruedInterest3, 6.0 / 365.0 * FIXED_RATE * NOTIONAL, EPS);
}
/** Test */
@Test
public class DiscountingFixedCouponBondProductPricerTest {
// fixed coupon bond
private static final StandardId SECURITY_ID = StandardId.of("OG-Ticker", "GOVT1-BOND1");
private static final StandardId ISSUER_ID = StandardId.of("OG-Ticker", "GOVT1");
private static final LocalDate VAL_DATE = date(2016, 4, 25);
private static final YieldConvention YIELD_CONVENTION = YieldConvention.GERMAN_BONDS;
private static final double NOTIONAL = 1.0e7;
private static final double FIXED_RATE = 0.015;
private static final HolidayCalendar EUR_CALENDAR = HolidayCalendars.EUTA;
private static final DaysAdjustment DATE_OFFSET = DaysAdjustment.ofBusinessDays(3, EUR_CALENDAR);
private static final DayCount DAY_COUNT = DayCounts.ACT_365F;
private static final LocalDate START_DATE = LocalDate.of(2015, 4, 12);
private static final LocalDate END_DATE = LocalDate.of(2025, 4, 12);
private static final BusinessDayAdjustment BUSINESS_ADJUST =
BusinessDayAdjustment.of(BusinessDayConventions.MODIFIED_FOLLOWING, EUR_CALENDAR);
private static final PeriodicSchedule PERIOD_SCHEDULE =
PeriodicSchedule.of(
START_DATE,
END_DATE,
Frequency.P6M,
BUSINESS_ADJUST,
StubConvention.SHORT_INITIAL,
false);
private static final DaysAdjustment EX_COUPON =
DaysAdjustment.ofBusinessDays(-5, EUR_CALENDAR, BUSINESS_ADJUST);
/** nonzero ex-coupon period */
private static final FixedCouponBond PRODUCT =
FixedCouponBond.builder()
.dayCount(DAY_COUNT)
.fixedRate(FIXED_RATE)
.legalEntityId(ISSUER_ID)
.currency(EUR)
.notional(NOTIONAL)
.periodicSchedule(PERIOD_SCHEDULE)
.settlementDateOffset(DATE_OFFSET)
.yieldConvention(YIELD_CONVENTION)
.exCouponPeriod(EX_COUPON)
.build();
private static final Security<FixedCouponBond> BOND_SECURITY =
UnitSecurity.builder(PRODUCT).standardId(SECURITY_ID).build();
/** no ex-coupon period */
private static final FixedCouponBond PRODUCT_NO_EXCOUPON =
FixedCouponBond.builder()
.dayCount(DAY_COUNT)
.fixedRate(FIXED_RATE)
.legalEntityId(ISSUER_ID)
.currency(EUR)
.notional(NOTIONAL)
.periodicSchedule(PERIOD_SCHEDULE)
.settlementDateOffset(DATE_OFFSET)
.yieldConvention(YIELD_CONVENTION)
.build();
// rates provider
private static final CurveInterpolator INTERPOLATOR = CurveInterpolators.LINEAR;
private static final CurveName NAME_REPO = CurveName.of("TestRepoCurve");
private static final CurveMetadata METADATA_REPO = Curves.zeroRates(NAME_REPO, ACT_365F);
private static final InterpolatedNodalCurve CURVE_REPO =
InterpolatedNodalCurve.of(
METADATA_REPO,
DoubleArray.of(0.1, 2.0, 10.0),
DoubleArray.of(0.05, 0.06, 0.09),
INTERPOLATOR);
private static final DiscountFactors DSC_FACTORS_REPO =
ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO);
private static final BondGroup GROUP_REPO = BondGroup.of("GOVT1 BOND1");
private static final CurveName NAME_ISSUER = CurveName.of("TestIssuerCurve");
private static final CurveMetadata METADATA_ISSUER = Curves.zeroRates(NAME_ISSUER, ACT_365F);
private static final InterpolatedNodalCurve CURVE_ISSUER =
InterpolatedNodalCurve.of(
METADATA_ISSUER,
DoubleArray.of(0.2, 9.0, 15.0),
DoubleArray.of(0.03, 0.05, 0.13),
INTERPOLATOR);
private static final DiscountFactors DSC_FACTORS_ISSUER =
ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_ISSUER);
private static final LegalEntityGroup GROUP_ISSUER = LegalEntityGroup.of("GOVT1");
private static final LegalEntityDiscountingProvider PROVIDER =
LegalEntityDiscountingProvider.builder()
.issuerCurves(
ImmutableMap.<Pair<LegalEntityGroup, Currency>, DiscountFactors>of(
Pair.<LegalEntityGroup, Currency>of(GROUP_ISSUER, EUR), DSC_FACTORS_ISSUER))
.legalEntityMap(ImmutableMap.<StandardId, LegalEntityGroup>of(ISSUER_ID, GROUP_ISSUER))
.repoCurves(
ImmutableMap.<Pair<BondGroup, Currency>, DiscountFactors>of(
Pair.<BondGroup, Currency>of(GROUP_REPO, EUR), DSC_FACTORS_REPO))
.bondMap(ImmutableMap.<StandardId, BondGroup>of(SECURITY_ID, GROUP_REPO))
.valuationDate(VAL_DATE)
.build();
private static final double Z_SPREAD = 0.035;
private static final int PERIOD_PER_YEAR = 4;
private static final double TOL = 1.0e-12;
private static final double EPS = 1.0e-6;
// pricers
private static final DiscountingFixedCouponBondProductPricer PRICER =
DiscountingFixedCouponBondProductPricer.DEFAULT;
private static final DiscountingPaymentPricer PRICER_NOMINAL = DiscountingPaymentPricer.DEFAULT;
private static final DiscountingFixedCouponBondPaymentPeriodPricer PRICER_COUPON =
DiscountingFixedCouponBondPaymentPeriodPricer.DEFAULT;
private static final RatesFiniteDifferenceSensitivityCalculator FD_CAL =
new RatesFiniteDifferenceSensitivityCalculator(EPS);
// -------------------------------------------------------------------------
public void test_presentValue() {
CurrencyAmount computed = PRICER.presentValue(PRODUCT, PROVIDER);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(expanded.getNominalPayment(), DSC_FACTORS_ISSUER);
int size = expanded.getPeriodicPayments().size();
double pvCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvCupon +=
PRICER_COUPON.presentValue(
payment, IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
}
expected = expected.plus(pvCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValueWithZSpread_continuous() {
CurrencyAmount computed =
PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(
expanded.getNominalPayment(), DSC_FACTORS_ISSUER, Z_SPREAD, CONTINUOUS, 0);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValueWithSpread(
payment,
IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER),
Z_SPREAD,
CONTINUOUS,
0);
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValueWithZSpread_periodic() {
CurrencyAmount computed =
PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(
expanded.getNominalPayment(), DSC_FACTORS_ISSUER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValueWithSpread(
payment,
IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER),
Z_SPREAD,
PERIODIC,
PERIOD_PER_YEAR);
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValue_noExcoupon() {
CurrencyAmount computed = PRICER.presentValue(PRODUCT_NO_EXCOUPON, PROVIDER);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(expanded.getNominalPayment(), DSC_FACTORS_ISSUER);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValue(
payment, IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValueWithZSpread_continuous_noExcoupon() {
CurrencyAmount computed =
PRICER.presentValueWithZSpread(PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(
expanded.getNominalPayment(), DSC_FACTORS_ISSUER, Z_SPREAD, CONTINUOUS, 0);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValueWithSpread(
payment,
IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER),
Z_SPREAD,
CONTINUOUS,
0);
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValueWithZSpread_periodic_noExcoupon() {
CurrencyAmount computed =
PRICER.presentValueWithZSpread(
PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(
expanded.getNominalPayment(), DSC_FACTORS_ISSUER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValueWithSpread(
payment,
IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER),
Z_SPREAD,
PERIODIC,
PERIOD_PER_YEAR);
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
// -------------------------------------------------------------------------
public void test_dirtyPriceFromCurves() {
double computed = PRICER.dirtyPriceFromCurves(BOND_SECURITY, PROVIDER);
CurrencyAmount pv = PRICER.presentValue(PRODUCT, PROVIDER);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.getAmount() / df / NOTIONAL);
}
public void test_dirtyPriceFromCurvesWithZSpread_continuous() {
double computed =
PRICER.dirtyPriceFromCurvesWithZSpread(BOND_SECURITY, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurrencyAmount pv = PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.getAmount() / df / NOTIONAL);
}
public void test_dirtyPriceFromCurvesWithZSpread_periodic() {
double computed =
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurrencyAmount pv =
PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.getAmount() / df / NOTIONAL);
}
public void test_dirtyPriceFromCleanPrice_cleanPriceFromDirtyPrice() {
double dirtyPrice = PRICER.dirtyPriceFromCurves(BOND_SECURITY, PROVIDER);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double cleanPrice = PRICER.cleanPriceFromDirtyPrice(PRODUCT, settlement, dirtyPrice);
double accruedInterest = PRICER.accruedInterest(PRODUCT, settlement);
assertEquals(cleanPrice, dirtyPrice - accruedInterest / NOTIONAL, NOTIONAL * TOL);
double dirtyPriceRe = PRICER.dirtyPriceFromCleanPrice(PRODUCT, settlement, cleanPrice);
assertEquals(dirtyPriceRe, dirtyPrice, TOL);
}
// -------------------------------------------------------------------------
public void test_zSpreadFromCurvesAndPV_continuous() {
double dirtyPrice =
PRICER.dirtyPriceFromCurvesWithZSpread(BOND_SECURITY, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
double computed =
PRICER.zSpreadFromCurvesAndDirtyPrice(BOND_SECURITY, PROVIDER, dirtyPrice, CONTINUOUS, 0);
assertEquals(computed, Z_SPREAD, TOL);
}
public void test_zSpreadFromCurvesAndPV_periodic() {
double dirtyPrice =
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
double computed =
PRICER.zSpreadFromCurvesAndDirtyPrice(
BOND_SECURITY, PROVIDER, dirtyPrice, PERIODIC, PERIOD_PER_YEAR);
assertEquals(computed, Z_SPREAD, TOL);
}
// -------------------------------------------------------------------------
public void test_presentValueSensitivity() {
PointSensitivityBuilder point = PRICER.presentValueSensitivity(PRODUCT, PROVIDER);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(PROVIDER, (p) -> PRICER.presentValue(PRODUCT, (p)));
assertTrue(computed.equalWithTolerance(expected, 30d * NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_continuous() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER, (p) -> PRICER.presentValueWithZSpread(PRODUCT, (p), Z_SPREAD, CONTINUOUS, 0));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_periodic() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(
PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
PRICER.presentValueWithZSpread(PRODUCT, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_presentValueProductSensitivity_noExcoupon() {
PointSensitivityBuilder point = PRICER.presentValueSensitivity(PRODUCT_NO_EXCOUPON, PROVIDER);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(PROVIDER, (p) -> PRICER.presentValue(PRODUCT_NO_EXCOUPON, (p)));
assertTrue(computed.equalWithTolerance(expected, 30d * NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_continuous_noExcoupon() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(
PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
PRICER.presentValueWithZSpread(PRODUCT_NO_EXCOUPON, (p), Z_SPREAD, CONTINUOUS, 0));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_periodic_noExcoupon() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(
PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
PRICER.presentValueWithZSpread(
PRODUCT_NO_EXCOUPON, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_dirtyPriceSensitivity() {
PointSensitivityBuilder point = PRICER.dirtyPriceSensitivity(BOND_SECURITY, PROVIDER);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) -> CurrencyAmount.of(EUR, PRICER.dirtyPriceFromCurves(BOND_SECURITY, (p))));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
public void test_dirtyPriceSensitivityWithZspread_continuous() {
PointSensitivityBuilder point =
PRICER.dirtyPriceSensitivityWithZspread(BOND_SECURITY, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
EUR,
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, (p), Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
public void test_dirtyPriceSensitivityWithZspread_periodic() {
PointSensitivityBuilder point =
PRICER.dirtyPriceSensitivityWithZspread(
BOND_SECURITY, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
EUR,
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR)));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
// -------------------------------------------------------------------------
public void test_accruedInterest() {
// settle before start
LocalDate settleDate1 = START_DATE.minusDays(5);
double accruedInterest1 = PRICER.accruedInterest(PRODUCT, settleDate1);
assertEquals(accruedInterest1, 0d);
// settle between endDate and endDate -lag
LocalDate settleDate2 = date(2015, 10, 8);
double accruedInterest2 = PRICER.accruedInterest(PRODUCT, settleDate2);
assertEquals(accruedInterest2, -4.0 / 365.0 * FIXED_RATE * NOTIONAL, EPS);
// normal
LocalDate settleDate3 = date(2015, 4, 18); // not adjusted
FixedCouponBond product =
FixedCouponBond.builder()
.dayCount(DAY_COUNT)
.fixedRate(FIXED_RATE)
.legalEntityId(ISSUER_ID)
.currency(EUR)
.notional(NOTIONAL)
.periodicSchedule(PERIOD_SCHEDULE)
.settlementDateOffset(DATE_OFFSET)
.yieldConvention(YIELD_CONVENTION)
.exCouponPeriod(DaysAdjustment.NONE)
.build();
double accruedInterest3 = PRICER.accruedInterest(product, settleDate3);
assertEquals(accruedInterest3, 6.0 / 365.0 * FIXED_RATE * NOTIONAL, EPS);
}
// -------------------------------------------------------------------------
/* US Street convention */
private static final LocalDate START_US = date(2006, 11, 15);
private static final LocalDate END_US = START_US.plusYears(10);
private static final PeriodicSchedule SCHEDULE_US =
PeriodicSchedule.of(
START_US,
END_US,
Frequency.P6M,
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendars.SAT_SUN),
StubConvention.SHORT_INITIAL,
false);
private static final FixedCouponBond PRODUCT_US =
FixedCouponBond.builder()
.dayCount(DayCounts.ACT_ACT_ICMA)
.fixedRate(0.04625)
.legalEntityId(ISSUER_ID)
.currency(Currency.USD)
.notional(100)
.periodicSchedule(SCHEDULE_US)
.settlementDateOffset(DaysAdjustment.ofBusinessDays(3, HolidayCalendars.SAT_SUN))
.yieldConvention(YieldConvention.US_STREET)
.exCouponPeriod(DaysAdjustment.NONE)
.build();
private static final LocalDate VALUATION_US = date(2011, 8, 18);
private static final LocalDate SETTLEMENT_US =
PRODUCT_US.getSettlementDateOffset().adjust(VALUATION_US);
private static final LocalDate VALUATION_LAST_US = date(2016, 6, 3);
private static final LocalDate SETTLEMENT_LAST_US =
PRODUCT_US.getSettlementDateOffset().adjust(VALUATION_LAST_US);
private static final double YIELD_US = 0.04;
public void dirtyPriceFromYieldUS() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
assertEquals(dirtyPrice, 1.0417352500524246, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_US, SETTLEMENT_US, dirtyPrice);
assertEquals(yield, YIELD_US, TOL);
}
public void dirtyPriceFromYieldUSLastPeriod() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
assertEquals(dirtyPrice, 1.005635683760684, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_US, SETTLEMENT_LAST_US, dirtyPrice);
assertEquals(yield, YIELD_US, TOL);
}
public void modifiedDurationFromYieldUS() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
double price = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYieldUSLastPeriod() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
double price = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldUS() {
double computed = PRICER.convexityFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US + EPS);
double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldUSLastPeriod() {
double computed = PRICER.convexityFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void macaulayDurationFromYieldUS() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
assertEquals(duration, 4.6575232098896215, TOL); // 2.x.
}
public void macaulayDurationFromYieldUSLastPeriod() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
assertEquals(duration, 0.43478260869565216, TOL); // 2.x.
}
/* UK BUMP/DMO convention */
private static final LocalDate START_UK = date(2002, 9, 7);
private static final LocalDate END_UK = START_UK.plusYears(12);
private static final PeriodicSchedule SCHEDULE_UK =
PeriodicSchedule.of(
START_UK,
END_UK,
Frequency.P6M,
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendars.SAT_SUN),
StubConvention.SHORT_INITIAL,
false);
private static final FixedCouponBond PRODUCT_UK =
FixedCouponBond.builder()
.dayCount(DayCounts.ACT_ACT_ICMA)
.fixedRate(0.05)
.legalEntityId(ISSUER_ID)
.currency(Currency.GBP)
.notional(100)
.periodicSchedule(SCHEDULE_UK)
.settlementDateOffset(DaysAdjustment.ofBusinessDays(1, HolidayCalendars.SAT_SUN))
.yieldConvention(YieldConvention.UK_BUMP_DMO)
.exCouponPeriod(
DaysAdjustment.ofCalendarDays(
-7,
BusinessDayAdjustment.of(
BusinessDayConventions.PRECEDING, HolidayCalendars.SAT_SUN)))
.build();
private static final LocalDate VALUATION_UK = date(2011, 9, 2);
private static final LocalDate SETTLEMENT_UK =
PRODUCT_UK.getSettlementDateOffset().adjust(VALUATION_UK);
private static final LocalDate VALUATION_LAST_UK = date(2014, 6, 3);
private static final LocalDate SETTLEMENT_LAST_UK =
PRODUCT_UK.getSettlementDateOffset().adjust(VALUATION_LAST_UK);
private static final double YIELD_UK = 0.04;
public void dirtyPriceFromYieldUK() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
assertEquals(dirtyPrice, 1.0277859038905428, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_UK, SETTLEMENT_UK, dirtyPrice);
assertEquals(yield, YIELD_UK, TOL);
}
public void dirtyPriceFromYieldUKLastPeriod() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
assertEquals(dirtyPrice, 1.0145736043763598, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_UK, SETTLEMENT_LAST_UK, dirtyPrice);
assertEquals(yield, YIELD_UK, TOL);
}
public void modifiedDurationFromYieldUK() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
double price = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYieldUKLastPeriod() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
double price = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldUK() {
double computed = PRICER.convexityFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK + EPS);
double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldUKLastPeriod() {
double computed = PRICER.convexityFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void macaulayDurationFromYieldUK() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
assertEquals(duration, 2.8312260658609163, TOL); // 2.x.
}
public void macaulayDurationFromYieldUKLastPeriod() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
assertEquals(duration, 0.25815217391304346, TOL); // 2.x.
}
/* German bond convention */
private static final LocalDate START_GER = date(2002, 9, 7);
private static final LocalDate END_GER = START_GER.plusYears(12);
private static final PeriodicSchedule SCHEDULE_GER =
PeriodicSchedule.of(
START_GER,
END_GER,
Frequency.P12M,
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendars.SAT_SUN),
StubConvention.SHORT_INITIAL,
false);
private static final FixedCouponBond PRODUCT_GER =
FixedCouponBond.builder()
.dayCount(DayCounts.ACT_ACT_ICMA)
.fixedRate(0.05)
.legalEntityId(ISSUER_ID)
.currency(Currency.EUR)
.notional(100)
.periodicSchedule(SCHEDULE_GER)
.settlementDateOffset(DaysAdjustment.ofBusinessDays(3, HolidayCalendars.SAT_SUN))
.yieldConvention(YieldConvention.GERMAN_BONDS)
.exCouponPeriod(DaysAdjustment.NONE)
.build();
private static final LocalDate VALUATION_GER = date(2011, 9, 2);
private static final LocalDate SETTLEMENT_GER =
PRODUCT_GER.getSettlementDateOffset().adjust(VALUATION_GER);
private static final LocalDate VALUATION_LAST_GER = date(2014, 6, 3);
private static final LocalDate SETTLEMENT_LAST_GER =
PRODUCT_GER.getSettlementDateOffset().adjust(VALUATION_LAST_GER);
private static final double YIELD_GER = 0.04;
public void dirtyPriceFromYieldGerman() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
assertEquals(dirtyPrice, 1.027750910332271, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_GER, SETTLEMENT_GER, dirtyPrice);
assertEquals(yield, YIELD_GER, TOL);
}
public void dirtyPriceFromYieldGermanLastPeriod() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
assertEquals(dirtyPrice, 1.039406595790844, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_GER, SETTLEMENT_LAST_GER, dirtyPrice);
assertEquals(yield, YIELD_GER, TOL);
}
public void modifiedDurationFromYieldGER() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
double price = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYieldGERLastPeriod() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
double price = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldGER() {
double computed = PRICER.convexityFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldGERLastPeriod() {
double computed = PRICER.convexityFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void macaulayDurationFromYieldGER() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
assertEquals(duration, 2.861462874541554, TOL); // 2.x.
}
public void macaulayDurationFromYieldGERLastPeriod() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
assertEquals(duration, 0.26231286613148186, TOL); // 2.x.
}
/* Japan simple convention */
private static final LocalDate START_JP = date(2015, 9, 20);
private static final LocalDate END_JP = START_JP.plusYears(10);
private static final PeriodicSchedule SCHEDULE_JP =
PeriodicSchedule.of(
START_JP,
END_JP,
Frequency.P6M,
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendars.JPTO),
StubConvention.SHORT_INITIAL,
false);
private static final double RATE_JP = 0.004;
private static final FixedCouponBond PRODUCT_JP =
FixedCouponBond.builder()
.dayCount(DayCounts.NL_365)
.fixedRate(RATE_JP)
.legalEntityId(ISSUER_ID)
.currency(Currency.JPY)
.notional(100)
.periodicSchedule(SCHEDULE_JP)
.settlementDateOffset(DaysAdjustment.ofBusinessDays(3, HolidayCalendars.JPTO))
.yieldConvention(YieldConvention.JAPAN_SIMPLE)
.exCouponPeriod(DaysAdjustment.NONE)
.build();
private static final LocalDate VALUATION_JP = date(2015, 9, 24);
private static final LocalDate SETTLEMENT_JP =
PRODUCT_JP.getSettlementDateOffset().adjust(VALUATION_JP);
private static final LocalDate VALUATION_LAST_JP = date(2025, 6, 3);
private static final LocalDate SETTLEMENT_LAST_JP =
PRODUCT_JP.getSettlementDateOffset().adjust(VALUATION_LAST_JP);
private static final LocalDate VALUATION_ENDED_JP = date(2026, 8, 3);
private static final LocalDate SETTLEMENT_ENDED_JP =
PRODUCT_JP.getSettlementDateOffset().adjust(VALUATION_ENDED_JP);
private static final double YIELD_JP = 0.00321;
public void dirtyPriceFromYieldJP() {
double computed = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double maturity = DayCounts.NL_365.relativeYearFraction(SETTLEMENT_JP, END_JP);
double expected =
PRICER.dirtyPriceFromCleanPrice(
PRODUCT_JP, SETTLEMENT_JP, (1d + RATE_JP * maturity) / (1d + YIELD_JP * maturity));
assertEquals(computed, expected, TOL);
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_JP, SETTLEMENT_JP, computed);
assertEquals(yield, YIELD_JP, TOL);
}
public void dirtyPriceFromYieldJPLastPeriod() {
double computed = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double maturity = DayCounts.NL_365.relativeYearFraction(SETTLEMENT_LAST_JP, END_JP);
double expected =
PRICER.dirtyPriceFromCleanPrice(
PRODUCT_JP, SETTLEMENT_LAST_JP, (1d + RATE_JP * maturity) / (1d + YIELD_JP * maturity));
assertEquals(computed, expected, TOL);
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_JP, SETTLEMENT_LAST_JP, computed);
assertEquals(yield, YIELD_JP, TOL);
}
public void dirtyPriceFromYieldJPEnded() {
double computed = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_ENDED_JP, YIELD_JP);
assertEquals(computed, 0d, TOL);
}
public void modifiedDurationFromYielddJP() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double price = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYieldJPLastPeriod() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double price = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYielddJPEnded() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_ENDED_JP, YIELD_JP);
assertEquals(computed, 0d, EPS);
}
public void convexityFromYieldJP() {
double computed = PRICER.convexityFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP + EPS);
double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldJPLastPeriod() {
double computed = PRICER.convexityFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldJPEnded() {
double computed = PRICER.convexityFromYield(PRODUCT_JP, SETTLEMENT_ENDED_JP, YIELD_JP);
assertEquals(computed, 0d, EPS);
}
public void macaulayDurationFromYieldYieldJP() {
assertThrows(
() -> PRICER.macaulayDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP),
UnsupportedOperationException.class,
"The convention JAPAN_SIMPLE is not supported.");
}
}