/** Test FRA paying in the past. */
public void test_forecastValue_inPast() {
ExpandedFra fraExp = FRA.expand().toBuilder().paymentDate(VAL_DATE.minusDays(1)).build();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount computed = test.forecastValue(fraExp, prov);
assertEquals(computed.getAmount(), 0d, TOLERANCE);
}
/** Test forecast value for ISDA FRA Discounting method. */
public void test_forecastValue_ISDA() {
ExpandedFra fraExp = FRA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
double fixedRate = FRA.getFixedRate();
double yearFraction = fraExp.getYearFraction();
double notional = fraExp.getNotional();
double expected =
notional * yearFraction * (FORWARD_RATE - fixedRate) / (1.0 + yearFraction * FORWARD_RATE);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount computed = test.forecastValue(fraExp, prov);
assertEquals(computed.getAmount(), expected, TOLERANCE);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(testTrade.forecastValue(FRA_TRADE, prov), test.forecastValue(fraExp, prov));
}
/** Test present value for ISDA FRA Discounting method. */
public void test_presentValue_AFMA() {
ExpandedFra fraExp = FRA_AFMA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount pvComputed = test.presentValue(fraExp, prov);
CurrencyAmount pvExpected = test.forecastValue(fraExp, prov).multipliedBy(DISCOUNT_FACTOR);
assertEquals(pvComputed.getAmount(), pvExpected.getAmount(), TOLERANCE);
}
/** Test forecast value for NONE FRA Discounting method. */
public void test_forecastValue_NONE() {
ExpandedFra fraExp = FRA_NONE.expand();
SimpleRatesProvider prov = createProvider(fraExp);
double fixedRate = FRA_NONE.getFixedRate();
double yearFraction = fraExp.getYearFraction();
double notional = fraExp.getNotional();
double expected = notional * yearFraction * (FORWARD_RATE - fixedRate);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount computed = test.forecastValue(fraExp, prov);
assertEquals(computed.getAmount(), expected, TOLERANCE);
}
/** Test explain. */
public void test_explainPresentValue_ISDA() {
ExpandedFra fraExp = FRA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount fvExpected = test.forecastValue(fraExp, prov);
CurrencyAmount pvExpected = test.presentValue(fraExp, prov);
ExplainMap explain = test.explainPresentValue(fraExp, prov);
Currency currency = fraExp.getCurrency();
int daysBetween = (int) DAYS.between(fraExp.getStartDate(), fraExp.getEndDate());
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "FRA");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), fraExp.getPaymentDate());
assertEquals(explain.get(ExplainKey.START_DATE).get(), fraExp.getStartDate());
assertEquals(explain.get(ExplainKey.END_DATE).get(), fraExp.getEndDate());
assertEquals(explain.get(ExplainKey.ACCRUAL_YEAR_FRACTION).get(), fraExp.getYearFraction());
assertEquals(explain.get(ExplainKey.ACCRUAL_DAYS).get(), (Integer) (int) daysBetween);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), currency);
assertEquals(
explain.get(ExplainKey.NOTIONAL).get().getAmount(), fraExp.getNotional(), TOLERANCE);
assertEquals(
explain.get(ExplainKey.TRADE_NOTIONAL).get().getAmount(), fraExp.getNotional(), TOLERANCE);
assertEquals(explain.get(ExplainKey.OBSERVATIONS).get().size(), 1);
ExplainMap explainObs = explain.get(ExplainKey.OBSERVATIONS).get().get(0);
IborRateObservation floatingRate = (IborRateObservation) fraExp.getFloatingRate();
assertEquals(explainObs.get(ExplainKey.INDEX).get(), floatingRate.getIndex());
assertEquals(explainObs.get(ExplainKey.FIXING_DATE).get(), floatingRate.getFixingDate());
assertEquals(explainObs.get(ExplainKey.INDEX_VALUE).get(), FORWARD_RATE, TOLERANCE);
assertEquals(explain.get(ExplainKey.DISCOUNT_FACTOR).get(), DISCOUNT_FACTOR, TOLERANCE);
assertEquals(explain.get(ExplainKey.FIXED_RATE).get(), fraExp.getFixedRate(), TOLERANCE);
assertEquals(explain.get(ExplainKey.PAY_OFF_RATE).get(), FORWARD_RATE, TOLERANCE);
assertEquals(explain.get(ExplainKey.COMBINED_RATE).get(), FORWARD_RATE, TOLERANCE);
assertEquals(
explain.get(ExplainKey.UNIT_AMOUNT).get(),
fvExpected.getAmount() / fraExp.getNotional(),
TOLERANCE);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().getCurrency(), currency);
assertEquals(
explain.get(ExplainKey.FORECAST_VALUE).get().getAmount(),
fvExpected.getAmount(),
TOLERANCE);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().getCurrency(), currency);
assertEquals(
explain.get(ExplainKey.PRESENT_VALUE).get().getAmount(), pvExpected.getAmount(), TOLERANCE);
}
