@Test(enabled = false)
/** Tests the clean, dirty and yield vs external hard-coded values. */
public void priceYieldExternalValues1() {
final double m1 = 1000000; // Notional of the external figures.
final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 16); // Spot 18-Aug-2011
final InflationIssuerProviderDiscount market =
MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
final double cleanRealPrice = 1.00;
final BondCapitalIndexedSecurity<Coupon> bond_110817 =
BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
final double referenceIndexExpected = 225.83129;
final MultiCurrencyAmount netAmountSettle =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
final double referenceIndexComputed =
netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount()
* BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue()
/ bond_110817.getSettlement().getNotional();
assertEquals(
"Inflation Capital Indexed bond: index",
referenceIndexExpected,
referenceIndexComputed,
1.0E-5);
final double indexRatioExpected = 1.13782;
final MultiCurrencyAmount indexRatioCalculated =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
assertEquals(
"Inflation Capital Indexed bond: indexRatio",
indexRatioExpected,
indexRatioCalculated.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount()
/ NOTIONAL_TIPS_1,
1.0E-5);
final double yieldExpected = 1.999644 / 100.0;
final double dirtyRealPriceComputed =
METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
final double yieldComputed =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
final double accruedExpected = 2102.49;
final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
final double accruedReal = bond_110817.getAccruedInterest();
assertEquals(
"Inflation Capital Indexed bond: accrued",
accruedRealExpected,
accruedReal / NOTIONAL_TIPS_1,
1.0E-8);
final double netAmountExpected = 1139922.49; // For 1m; uses the rounding rules.
final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
assertEquals(
"Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
final MultiCurrencyAmount netAmount =
METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
assertEquals(
"Inflation Capital Indexed bond: net amount",
netAmountExpected,
netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1,
2.0E+0); // The difference is due to rounding.
}
/** Tests the dirty real price computation from the real yield in the "US I/L real" convention. */
public void dirtyRealPriceFromRealYieldTips1() {
final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03};
final int nbCoupon = BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments();
final double[] dirtyRealPrice = new double[yield.length];
final double[] dirtyRealPriceExpected = new double[yield.length];
for (int loopyield = 0; loopyield < yield.length; loopyield++) {
dirtyRealPrice[loopyield] =
METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]);
final double factorOnPeriod = 1 + yield[loopyield] / BOND_SECURITY_TIPS_1.getCouponPerYear();
double pvAtFirstCoupon = 0;
for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
pvAtFirstCoupon +=
((CouponInflationGearing) BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn))
.getFactor()
/ BOND_SECURITY_TIPS_1.getCouponPerYear()
/ Math.pow(factorOnPeriod, loopcpn);
}
pvAtFirstCoupon += 1.0 / Math.pow(factorOnPeriod, nbCoupon - 1);
dirtyRealPriceExpected[loopyield] =
pvAtFirstCoupon
/ (1
+ BOND_SECURITY_TIPS_1.getAccrualFactorToNextCoupon()
* yield[loopyield]
/ BOND_SECURITY_TIPS_1.getCouponPerYear());
assertEquals(
"Inflation Capital Indexed bond: yield " + loopyield,
dirtyRealPriceExpected[loopyield],
dirtyRealPrice[loopyield],
1.0E-8);
}
}
/** Tests the present value computation. */
public void presentValueTips1() {
final InflationProviderDiscount marketUSGovt = new InflationProviderDiscount();
marketUSGovt.setCurve(
BOND_SECURITY_TIPS_1.getCurrency(),
MARKET.getCurve(BOND_SECURITY_TIPS_1.getIssuerEntity()));
marketUSGovt.setCurve(PRICE_INDEX_USCPI, MARKET.getCurve(PRICE_INDEX_USCPI));
final MultiCurrencyAmount pvNominal =
METHOD_INFLATION_ZC_INTERPOLATION.presentValue(
(CouponInflationZeroCouponInterpolationGearing)
BOND_SECURITY_TIPS_1.getNominal().getNthPayment(0),
marketUSGovt);
MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_TIPS_1.getCurrency(), 0.0);
for (int loopcpn = 0;
loopcpn < BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments();
loopcpn++) {
pvCoupon =
pvCoupon.plus(
BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUSGovt));
}
final MultiCurrencyAmount pvExpected = pvNominal.plus(pvCoupon);
final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_TIPS_1, MARKET);
assertEquals(
"Inflation Capital Indexed bond: present value",
pvExpected.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(),
pv.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(),
1.0E-2);
}
/** Test the present value curves sensitivity. */
public void presentValueCurveSensitivityCAIN() {
MulticurveProviderInterface multicurveDecorated =
new MulticurveProviderDiscountingDecoratedIssuer(
MARKET.getIssuerProvider(),
BOND_SECURITY_CAIN.getCurrency(),
BOND_SECURITY_CAIN.getIssuerEntity());
InflationProviderInterface creditDiscounting =
new InflationProviderDecoratedMulticurve(
MARKET.getInflationProvider(), multicurveDecorated);
final MultipleCurrencyInflationSensitivity sensitivityNominal =
BOND_SECURITY_CAIN.getNominal().accept(PVCSDC, creditDiscounting);
final MultipleCurrencyInflationSensitivity sensitivityCoupon =
BOND_SECURITY_CAIN.getCoupon().accept(PVCSDC, creditDiscounting);
final MultipleCurrencyInflationSensitivity pvcisCalculated =
sensitivityNominal.plus(sensitivityCoupon);
final MultipleCurrencyInflationSensitivity pvcisMethod =
METHOD_BOND_INFLATION.presentValueCurveSensitivity(BOND_SECURITY_CAIN, MARKET);
AssertSensitivityObjects.assertEquals(
"Bond capital indexed security: presentValueCurveSensitivity ",
pvcisCalculated,
pvcisMethod,
TOLERANCE_PV_DELTA);
}
/** Tests the clean real price from the dirty real price. */
public void yieldRealFromDirtyRealTips1() {
final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03};
final double[] dirtyRealPrice = new double[yield.length];
final double[] yieldComputed = new double[yield.length];
for (int loopyield = 0; loopyield < yield.length; loopyield++) {
dirtyRealPrice[loopyield] =
METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]);
yieldComputed[loopyield] =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(
BOND_SECURITY_TIPS_1, dirtyRealPrice[loopyield]);
assertEquals(
"Inflation Capital Indexed bond: yield " + loopyield,
yield[loopyield],
yieldComputed[loopyield],
1.0E-8);
}
}
/** Tests the clean real price from the dirty real price. */
public void cleanRealFromDirtyRealTips1() {
final double dirtyReal = 1.01;
final double cleanReal =
METHOD_BOND_INFLATION.cleanRealPriceFromDirtyRealPrice(BOND_SECURITY_TIPS_1, dirtyReal);
final double cleanRealExpected =
dirtyReal - BOND_SECURITY_TIPS_1.getAccruedInterest() / NOTIONAL_TIPS_1;
assertEquals(
"Inflation Capital Indexed bond: clean from dirty", cleanRealExpected, cleanReal, 1.0E-8);
}
/** Tests the present value computation. */
public void presentValueFromCleanPriceRealTips1() {
final double cleanPriceReal = 1.05;
Currency ccy = BOND_SECURITY_TIPS_1.getCurrency();
final MultiCurrencyAmount pv =
METHOD_BOND_INFLATION.presentValueFromCleanRealPrice(
BOND_SECURITY_TIPS_1, MARKET, cleanPriceReal);
MultiCurrencyAmount pvPriceReal =
BOND_SECURITY_TIPS_1.getSettlement().accept(PVDIIC, MARKET).multipliedBy(cleanPriceReal);
MultiCurrencyAmount pvAccrued =
BOND_SECURITY_TIPS_1
.getSettlement()
.accept(PVDIC, MARKET)
.multipliedBy(BOND_SECURITY_TIPS_1.getAccruedInterest());
MultiCurrencyAmount pvExpected = pvPriceReal.plus(pvAccrued);
assertEquals(
"Inflation Capital Indexed bond: present value from clean real price",
pvExpected.getAmount(ccy).getAmount(),
pv.getAmount(ccy).getAmount(),
1.0E-6);
}
/** Tests the present value Method vs Calculator. */
public void presentValueMethodVsCalculator() {
final MultiCurrencyAmount pvMethod =
METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET);
final MultiCurrencyAmount pvCalculator = BOND_SECURITY_GILT_1.accept(PVDIIC, MARKET);
assertEquals("Inflation Capital Indexed bond: present value", pvMethod, pvCalculator);
}
