// -----------------------------------------------------------------------
// create a vanilla fixed vs libor 3m swap
private static Trade createVanillaFixedVsLibor3mSwap() {
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg =
RateCalculationSwapLeg.builder()
.payReceive(PayReceive.PAY)
.accrualSchedule(
PeriodicSchedule.builder()
.startDate(LocalDate.of(2014, 9, 12))
.endDate(LocalDate.of(2021, 9, 12))
.frequency(Frequency.P6M)
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY))
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(Frequency.P6M)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(notional)
.calculation(FixedRateCalculation.of(0.015, DayCounts.THIRTY_U_360))
.build();
SwapLeg receiveLeg =
RateCalculationSwapLeg.builder()
.payReceive(PayReceive.RECEIVE)
.accrualSchedule(
PeriodicSchedule.builder()
.startDate(LocalDate.of(2014, 9, 12))
.endDate(LocalDate.of(2021, 9, 12))
.frequency(Frequency.P3M)
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY))
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(Frequency.P3M)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(notional)
.calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M))
.build();
return SwapTrade.builder()
.product(Swap.of(payLeg, receiveLeg))
.info(
TradeInfo.builder()
.addAttribute(TradeAttributeType.DESCRIPTION, "Fixed vs Libor 3m")
.counterparty(StandardId.of("example", "A"))
.settlementDate(LocalDate.of(2014, 9, 12))
.build())
.build();
}
/** Test {@link SabrExtrapolationReplicationCmsTradePricer}. */
@Test
public class DiscountingCmsTradePricerTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
// trades
private static final LocalDate VALUATION = LocalDate.of(2015, 8, 18);
private static final SwapIndex INDEX = SwapIndices.EUR_EURIBOR_1100_5Y;
private static final LocalDate START = LocalDate.of(2015, 10, 21);
private static final LocalDate END = LocalDate.of(2020, 10, 21);
private static final Frequency FREQUENCY = Frequency.P12M;
private static final BusinessDayAdjustment BUSS_ADJ_EUR =
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, EUTA);
private static final PeriodicSchedule SCHEDULE_EUR =
PeriodicSchedule.of(
START, END, FREQUENCY, BUSS_ADJ_EUR, StubConvention.NONE, RollConventions.NONE);
private static final double NOTIONAL_VALUE = 1.0e6;
private static final ValueSchedule NOTIONAL = ValueSchedule.of(NOTIONAL_VALUE);
private static final ResolvedCmsLeg CMS_LEG =
CmsLeg.builder()
.index(INDEX)
.notional(NOTIONAL)
.payReceive(RECEIVE)
.paymentSchedule(SCHEDULE_EUR)
.build()
.resolve(REF_DATA);
private static final ResolvedSwapLeg PAY_LEG =
RateCalculationSwapLeg.builder()
.payReceive(PAY)
.accrualSchedule(SCHEDULE_EUR)
.calculation(FixedRateCalculation.of(0.01, ACT_360))
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(FREQUENCY)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(NotionalSchedule.of(CurrencyAmount.of(EUR, NOTIONAL_VALUE)))
.build()
.resolve(REF_DATA);
private static final ResolvedCms CMS_TWO_LEGS = ResolvedCms.of(CMS_LEG, PAY_LEG);
private static final ResolvedCms CMS_ONE_LEG = ResolvedCms.of(CMS_LEG);
private static final Payment PREMIUM =
Payment.of(CurrencyAmount.of(EUR, -0.03 * NOTIONAL_VALUE), VALUATION);
private static final TradeInfo TRADE_INFO = TradeInfo.builder().tradeDate(VALUATION).build();
private static final ResolvedCmsTrade CMS_TRADE =
ResolvedCmsTrade.builder().product(CMS_TWO_LEGS).info(TRADE_INFO).build();
private static final ResolvedCmsTrade CMS_TRADE_PREMIUM =
ResolvedCmsTrade.builder().product(CMS_ONE_LEG).premium(PREMIUM).build();
// providers
private static final ImmutableRatesProvider RATES_PROVIDER =
SwaptionSabrRateVolatilityDataSet.getRatesProviderEur(VALUATION);
// providers - valuation on payment date
private static final LocalDate FIXING =
LocalDate.of(2016, 10, 19); // fixing for the second period.
private static final double OBS_INDEX = 0.013;
private static final LocalDateDoubleTimeSeries TIME_SERIES =
LocalDateDoubleTimeSeries.of(FIXING, OBS_INDEX);
private static final LocalDate PAYMENT =
LocalDate.of(2017, 10, 23); // payment date of the second payment
private static final ImmutableRatesProvider RATES_PROVIDER_ON_PAY =
SwaptionSabrRateVolatilityDataSet.getRatesProviderEur(PAYMENT, TIME_SERIES);
// pricers
private static final DiscountingCmsProductPricer PRODUCT_PRICER =
DiscountingCmsProductPricer.DEFAULT;
private static final DiscountingPaymentPricer PREMIUM_PRICER = DiscountingPaymentPricer.DEFAULT;
private static final DiscountingCmsTradePricer TRADE_PRICER = DiscountingCmsTradePricer.DEFAULT;
private static final double TOL = 1.0e-13;
public void test_presentValue() {
MultiCurrencyAmount pv1 = TRADE_PRICER.presentValue(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount pv2 = TRADE_PRICER.presentValue(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount pvProd1 = PRODUCT_PRICER.presentValue(CMS_ONE_LEG, RATES_PROVIDER);
MultiCurrencyAmount pvProd2 = PRODUCT_PRICER.presentValue(CMS_TWO_LEGS, RATES_PROVIDER);
CurrencyAmount pvPrem = PREMIUM_PRICER.presentValue(PREMIUM, RATES_PROVIDER);
assertEquals(pv1, pvProd1.plus(pvPrem));
assertEquals(pv2, pvProd2);
}
public void test_presentValueSensitivity() {
PointSensitivities pt1 =
TRADE_PRICER.presentValueSensitivity(CMS_TRADE_PREMIUM, RATES_PROVIDER);
PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE, RATES_PROVIDER);
PointSensitivityBuilder ptProd1 =
PRODUCT_PRICER.presentValueSensitivity(CMS_ONE_LEG, RATES_PROVIDER);
PointSensitivityBuilder ptProd2 =
PRODUCT_PRICER.presentValueSensitivity(CMS_TWO_LEGS, RATES_PROVIDER);
PointSensitivityBuilder ptPrem =
PREMIUM_PRICER.presentValueSensitivity(PREMIUM, RATES_PROVIDER);
assertEquals(pt1, ptProd1.combinedWith(ptPrem).build());
assertEquals(pt2, ptProd2.build());
}
public void test_currencyExposure() {
MultiCurrencyAmount computed1 =
TRADE_PRICER.currencyExposure(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount computed2 = TRADE_PRICER.currencyExposure(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount pv1 = TRADE_PRICER.presentValue(CMS_TRADE_PREMIUM, RATES_PROVIDER);
PointSensitivities pt1 =
TRADE_PRICER.presentValueSensitivity(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount expected1 = RATES_PROVIDER.currencyExposure(pt1).plus(pv1);
MultiCurrencyAmount pv2 = TRADE_PRICER.presentValue(CMS_TRADE, RATES_PROVIDER);
PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount expected2 = RATES_PROVIDER.currencyExposure(pt2).plus(pv2);
assertEquals(
computed1.getAmount(EUR).getAmount(),
expected1.getAmount(EUR).getAmount(),
NOTIONAL_VALUE * TOL);
assertEquals(
computed2.getAmount(EUR).getAmount(),
expected2.getAmount(EUR).getAmount(),
NOTIONAL_VALUE * TOL);
}
public void test_currentCash() {
MultiCurrencyAmount cc1 = TRADE_PRICER.currentCash(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount cc2 = TRADE_PRICER.currentCash(CMS_TRADE, RATES_PROVIDER);
assertEquals(cc1, MultiCurrencyAmount.of(PREMIUM.getValue()));
assertEquals(cc2, MultiCurrencyAmount.of(CurrencyAmount.zero(EUR)));
}
public void test_currentCash_onPay() {
MultiCurrencyAmount cc1 = TRADE_PRICER.currentCash(CMS_TRADE_PREMIUM, RATES_PROVIDER_ON_PAY);
MultiCurrencyAmount cc2 = TRADE_PRICER.currentCash(CMS_TRADE, RATES_PROVIDER_ON_PAY);
MultiCurrencyAmount ccProd1 = PRODUCT_PRICER.currentCash(CMS_ONE_LEG, RATES_PROVIDER_ON_PAY);
MultiCurrencyAmount ccProd2 = PRODUCT_PRICER.currentCash(CMS_TWO_LEGS, RATES_PROVIDER_ON_PAY);
assertEquals(cc1, ccProd1);
assertEquals(cc2, ccProd2);
}
}