/** Test. */
@Test
public class FxResetTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate DATE_2014_06_30 = date(2014, 6, 30);
public void test_of() {
FxReset test = FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_2014_06_30, REF_DATA), GBP);
assertEquals(test.getIndex(), EUR_GBP_ECB);
assertEquals(test.getReferenceCurrency(), GBP);
}
public void test_invalidCurrency() {
assertThrowsIllegalArg(
() ->
FxReset.meta()
.builder()
.set(
FxReset.meta().observation(),
FxIndexObservation.of(EUR_USD_ECB, DATE_2014_06_30, REF_DATA))
.set(FxReset.meta().referenceCurrency(), GBP)
.build());
assertThrowsIllegalArg(
() -> FxReset.of(FxIndexObservation.of(EUR_USD_ECB, DATE_2014_06_30, REF_DATA), GBP));
}
// -------------------------------------------------------------------------
public void coverage() {
FxReset test = FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_2014_06_30, REF_DATA), GBP);
coverImmutableBean(test);
FxReset test2 =
FxReset.of(FxIndexObservation.of(EUR_USD_ECB, date(2014, 1, 15), REF_DATA), USD);
coverBeanEquals(test, test2);
FxReset test3 =
FxReset.of(FxIndexObservation.of(EUR_USD_ECB, date(2014, 1, 15), REF_DATA), EUR);
coverBeanEquals(test2, test3);
}
public void test_serialization() {
FxReset test = FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_2014_06_30, REF_DATA), GBP);
assertSerialization(test);
}
}
/** Test. */
@Test
public class ResetScheduleTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate DATE_01_05 = date(2014, 1, 5);
private static final LocalDate DATE_01_06 = date(2014, 1, 6);
private static final LocalDate DATE_02_05 = date(2014, 2, 5);
private static final LocalDate DATE_03_05 = date(2014, 3, 5);
private static final LocalDate DATE_04_05 = date(2014, 4, 5);
private static final LocalDate DATE_04_07 = date(2014, 4, 7);
// -------------------------------------------------------------------------
public void test_builder_ensureDefaults() {
ResetSchedule test =
ResetSchedule.builder()
.resetFrequency(P1M)
.businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO))
.build();
assertEquals(test.getResetFrequency(), P1M);
assertEquals(test.getBusinessDayAdjustment(), BusinessDayAdjustment.of(FOLLOWING, GBLO));
assertEquals(test.getResetMethod(), UNWEIGHTED);
}
// -------------------------------------------------------------------------
public void test_resolve() {
ResetSchedule test =
ResetSchedule.builder()
.resetFrequency(P1M)
.businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO))
.build();
SchedulePeriod accrualPeriod =
SchedulePeriod.of(DATE_01_06, DATE_04_07, DATE_01_05, DATE_04_05);
Schedule schedule = test.createSchedule(DAY_5, REF_DATA).apply(accrualPeriod);
Schedule expected =
Schedule.builder()
.periods(
SchedulePeriod.of(DATE_01_06, DATE_02_05, DATE_01_05, DATE_02_05),
SchedulePeriod.of(DATE_02_05, DATE_03_05, DATE_02_05, DATE_03_05),
SchedulePeriod.of(DATE_03_05, DATE_04_07, DATE_03_05, DATE_04_05))
.frequency(P1M)
.rollConvention(DAY_5)
.build();
assertEquals(schedule, expected);
}
// -------------------------------------------------------------------------
public void coverage() {
ResetSchedule test =
ResetSchedule.builder()
.resetFrequency(P1M)
.businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO))
.build();
coverImmutableBean(test);
ResetSchedule test2 =
ResetSchedule.builder()
.resetFrequency(P3M)
.businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO))
.resetMethod(WEIGHTED)
.build();
coverBeanEquals(test, test2);
}
public void test_serialization() {
ResetSchedule test =
ResetSchedule.builder()
.resetFrequency(P1M)
.businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO))
.build();
assertSerialization(test);
}
}
/** Test {@link ThreeLegBasisSwapConvention}. */
@Test
public class ThreeLegBasisSwapConventionTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final double NOTIONAL_2M = 2_000_000d;
private static final BusinessDayAdjustment BDA_FOLLOW = BusinessDayAdjustment.of(FOLLOWING, EUTA);
private static final DaysAdjustment PLUS_ONE_DAY = DaysAdjustment.ofBusinessDays(1, EUTA);
private static final String NAME = "EUR-Swap";
private static final FixedRateSwapLegConvention FIXED =
FixedRateSwapLegConvention.of(EUR, THIRTY_U_360, P12M, BDA_FOLLOW);
private static final IborRateSwapLegConvention IBOR3M =
IborRateSwapLegConvention.of(EUR_EURIBOR_3M);
private static final IborRateSwapLegConvention IBOR6M =
IborRateSwapLegConvention.of(EUR_EURIBOR_6M);
private static final IborRateSwapLegConvention IBOR12M =
IborRateSwapLegConvention.of(EUR_EURIBOR_12M);
// -------------------------------------------------------------------------
public void test_of() {
ImmutableThreeLegBasisSwapConvention test =
ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
assertEquals(test.getName(), NAME);
assertEquals(test.getSpreadLeg(), FIXED);
assertEquals(test.getSpreadFloatingLeg(), IBOR6M);
assertEquals(test.getFlatFloatingLeg(), IBOR12M);
assertEquals(test.getSpotDateOffset(), EUR_EURIBOR_6M.getEffectiveDateOffset());
}
public void test_of_spotDateOffset() {
ImmutableThreeLegBasisSwapConvention test =
ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M, PLUS_ONE_DAY);
assertEquals(test.getName(), NAME);
assertEquals(test.getSpreadLeg(), FIXED);
assertEquals(test.getSpreadFloatingLeg(), IBOR6M);
assertEquals(test.getFlatFloatingLeg(), IBOR12M);
assertEquals(test.getSpotDateOffset(), PLUS_ONE_DAY);
}
public void test_builder() {
ImmutableThreeLegBasisSwapConvention test =
ImmutableThreeLegBasisSwapConvention.builder()
.name(NAME)
.spreadLeg(FIXED)
.spreadFloatingLeg(IBOR6M)
.flatFloatingLeg(IBOR12M)
.spotDateOffset(PLUS_ONE_DAY)
.build();
assertEquals(test.getName(), NAME);
assertEquals(test.getSpreadLeg(), FIXED);
assertEquals(test.getSpreadFloatingLeg(), IBOR6M);
assertEquals(test.getFlatFloatingLeg(), IBOR12M);
assertEquals(test.getSpotDateOffset(), PLUS_ONE_DAY);
}
// -------------------------------------------------------------------------
public void test_toTrade_tenor() {
ThreeLegBasisSwapConvention base =
ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 5, 7);
LocalDate endDate = date(2025, 5, 7);
SwapTrade test = base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected =
Swap.of(
FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d),
IBOR6M.toLeg(startDate, endDate, PAY, NOTIONAL_2M),
IBOR12M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate));
assertEquals(test.getProduct(), expected);
}
public void test_toTrade_periodTenor() {
ThreeLegBasisSwapConvention base =
ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 7);
LocalDate endDate = date(2025, 8, 7);
SwapTrade test =
base.createTrade(
tradeDate, Period.ofMonths(3), TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected =
Swap.of(
FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d),
IBOR6M.toLeg(startDate, endDate, PAY, NOTIONAL_2M),
IBOR12M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate));
assertEquals(test.getProduct(), expected);
}
public void test_toTrade_dates() {
ThreeLegBasisSwapConvention base =
ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 5);
LocalDate endDate = date(2015, 11, 5);
SwapTrade test = base.toTrade(tradeDate, startDate, endDate, BUY, NOTIONAL_2M, 0.25d);
Swap expected =
Swap.of(
FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d),
IBOR6M.toLeg(startDate, endDate, PAY, NOTIONAL_2M),
IBOR12M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate));
assertEquals(test.getProduct(), expected);
}
// -------------------------------------------------------------------------
@DataProvider(name = "name")
static Object[][] data_name() {
return new Object[][] {
{
ThreeLegBasisSwapConventions.EUR_FIXED_1Y_EURIBOR_3M_EURIBOR_6M,
"EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M"
},
};
}
@Test(dataProvider = "name")
public void test_name(ThreeLegBasisSwapConvention convention, String name) {
assertEquals(convention.getName(), name);
}
@Test(dataProvider = "name")
public void test_toString(ThreeLegBasisSwapConvention convention, String name) {
assertEquals(convention.toString(), name);
}
@Test(dataProvider = "name")
public void test_of_lookup(ThreeLegBasisSwapConvention convention, String name) {
assertEquals(ThreeLegBasisSwapConvention.of(name), convention);
}
@Test(dataProvider = "name")
public void test_extendedEnum(ThreeLegBasisSwapConvention convention, String name) {
ThreeLegBasisSwapConvention.of(name); // ensures map is populated
ImmutableMap<String, ThreeLegBasisSwapConvention> map =
ThreeLegBasisSwapConvention.extendedEnum().lookupAll();
assertEquals(map.get(name), convention);
}
public void test_of_lookup_notFound() {
assertThrowsIllegalArg(() -> ThreeLegBasisSwapConvention.of("Rubbish"));
}
public void test_of_lookup_null() {
assertThrowsIllegalArg(() -> ThreeLegBasisSwapConvention.of((String) null));
}
// -------------------------------------------------------------------------
public void coverage() {
ImmutableThreeLegBasisSwapConvention test =
ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
coverImmutableBean(test);
ImmutableThreeLegBasisSwapConvention test2 =
ImmutableThreeLegBasisSwapConvention.of("swap", FIXED, IBOR3M, IBOR6M);
coverBeanEquals(test, test2);
ImmutableThreeLegBasisSwapConvention test3 =
ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR3M, IBOR12M);
coverBeanEquals(test, test3);
}
public void test_serialization() {
ThreeLegBasisSwapConvention test =
ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
assertSerialization(test);
}
}
/** 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);
}
}
/** Test {@link BondFutureTrade}. */
@Test
public class BondFutureTradeTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
// future
private static final BondFuture FUTURE = BondFutureTest.sut();
private static final BondFuture FUTURE2 = BondFutureTest.sut2();
// trade
private static final LocalDate TRADE_DATE = date(2011, 6, 20);
private static final TradeInfo TRADE_INFO = TradeInfo.of(TRADE_DATE);
private static final TradeInfo TRADE_INFO2 = TradeInfo.of(date(2016, 7, 1));
private static final double QUANTITY = 1234L;
private static final double QUANTITY2 = 100L;
private static final double PRICE = 1.2345;
private static final double PRICE2 = 1.3;
// -------------------------------------------------------------------------
public void test_builder() {
BondFutureTrade test = sut();
assertEquals(test.getInfo(), TRADE_INFO);
assertEquals(test.getProduct(), FUTURE);
assertEquals(test.getQuantity(), QUANTITY);
assertEquals(test.getPrice(), PRICE);
}
// -------------------------------------------------------------------------
public void test_resolve() {
ResolvedBondFutureTrade expected =
ResolvedBondFutureTrade.builder()
.info(TRADE_INFO)
.product(FUTURE.resolve(REF_DATA))
.quantity(QUANTITY)
.price(PRICE)
.build();
assertEquals(sut().resolve(REF_DATA), expected);
}
// -------------------------------------------------------------------------
public void coverage() {
coverImmutableBean(sut());
coverBeanEquals(sut(), sut2());
}
public void test_serialization() {
assertSerialization(sut());
}
static BondFutureTrade sut() {
return BondFutureTrade.builder()
.info(TRADE_INFO)
.product(FUTURE)
.quantity(QUANTITY)
.price(PRICE)
.build();
}
static BondFutureTrade sut2() {
return BondFutureTrade.builder()
.info(TRADE_INFO2)
.product(FUTURE2)
.quantity(QUANTITY2)
.price(PRICE2)
.build();
}
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner) {
// the trade that will have measures calculated
List<Trade> trades = ImmutableList.of(createVanillaFixedVsLibor3mSwap());
// the columns, specifying the measures to be calculated
List<Column> columns =
ImmutableList.of(
Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM));
// use the built-in example market data
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
// the complete set of rules for calculating measures
LocalDate valuationDate = LocalDate.of(2014, 1, 22);
CalculationFunctions functions = StandardComponents.calculationFunctions();
CalculationRules rules =
CalculationRules.of(functions, Currency.USD, marketDataBuilder.ratesLookup(valuationDate));
// mappings that select which market data to apply perturbations to
// this applies the perturbations above to all curves
PerturbationMapping<Curve> mapping =
PerturbationMapping.of(
Curve.class,
MarketDataFilter.ofIdType(CurveId.class),
// no shift for the base scenario, 1bp absolute shift to calibrated curves (zeros)
CurveParallelShifts.absolute(0, ONE_BP));
// create a scenario definition containing the single mapping above
// this creates two scenarios - one for each perturbation in the mapping
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping);
// build a market data snapshot for the valuation date
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
ScenarioMarketData scenarioMarketData =
marketDataFactory()
.createMultiScenario(
reqs, MarketDataConfig.empty(), marketData, refData, scenarioDefinition);
Results results =
runner.calculateMultiScenario(rules, trades, columns, scenarioMarketData, refData);
// TODO Replace the results processing below with a report once the reporting framework supports
// scenarios
// The results are lists of currency amounts containing one value for each scenario
ScenarioArray<?> pvList = (ScenarioArray<?>) results.get(0, 0).getValue();
ScenarioArray<?> pv01List = (ScenarioArray<?>) results.get(0, 1).getValue();
double pvBase = ((CurrencyAmount) pvList.get(0)).getAmount();
double pvShifted = ((CurrencyAmount) pvList.get(1)).getAmount();
double pv01Base = ((CurrencyAmount) pv01List.get(0)).getAmount();
NumberFormat numberFormat =
new DecimalFormat("###,##0.00", new DecimalFormatSymbols(Locale.ENGLISH));
System.out.println(" PV (base) = " + numberFormat.format(pvBase));
System.out.println(" PV (1 bp curve shift) = " + numberFormat.format(pvShifted));
System.out.println("PV01 (algorithmic differentiation) = " + numberFormat.format(pv01Base));
System.out.println(
" PV01 (finite difference) = " + numberFormat.format(pvShifted - pvBase));
}
/** Test {@link DiscountingBondFutureProductPricer}. */
@Test
public class DiscountingBondFutureProductPricerTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
// product
private static final ResolvedBondFuture FUTURE_PRODUCT =
BondDataSets.FUTURE_PRODUCT_USD.resolve(REF_DATA);
private static final ResolvedFixedCouponBond BOND = BondDataSets.BOND_USD[0].resolve(REF_DATA);
private static final Double[] CONVERSION_FACTOR = BondDataSets.CONVERSION_FACTOR_USD.clone();
// curves
private static final LegalEntityDiscountingProvider PROVIDER =
LegalEntityDiscountingProviderDataSets.ISSUER_REPO_ZERO;
private static final CurveMetadata METADATA_ISSUER =
LegalEntityDiscountingProviderDataSets.META_ZERO_ISSUER_USD;
private static final CurveMetadata METADATA_REPO =
LegalEntityDiscountingProviderDataSets.META_ZERO_REPO_USD;
// parameters
private static final double Z_SPREAD = 0.0075;
private static final int PERIOD_PER_YEAR = 4;
private static final double TOL = 1.0e-12;
private static final double EPS = 1.0e-6;
// pricer
private static final DiscountingBondFutureProductPricer FUTURE_PRICER =
DiscountingBondFutureProductPricer.DEFAULT;
private static final DiscountingFixedCouponBondProductPricer BOND_PRICER =
DiscountingFixedCouponBondProductPricer.DEFAULT;
private static final RatesFiniteDifferenceSensitivityCalculator FD_CAL =
new RatesFiniteDifferenceSensitivityCalculator(EPS);
// -------------------------------------------------------------------------
public void test_price() {
double computed = FUTURE_PRICER.price(FUTURE_PRODUCT, PROVIDER);
double dirtyPrice =
BOND_PRICER.dirtyPriceFromCurves(BOND, PROVIDER, FUTURE_PRODUCT.getLastDeliveryDate());
double expected =
BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.getLastDeliveryDate(), dirtyPrice)
/ CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
public void test_priceWithZSpread_continuous() {
double computed =
FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
double dirtyPrice =
BOND_PRICER.dirtyPriceFromCurvesWithZSpread(
BOND, PROVIDER, Z_SPREAD, CONTINUOUS, 0, FUTURE_PRODUCT.getLastDeliveryDate());
double expected =
BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.getLastDeliveryDate(), dirtyPrice)
/ CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
public void test_priceWithZSpread_periodic() {
double computed =
FUTURE_PRICER.priceWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
double dirtyPrice =
BOND_PRICER.dirtyPriceFromCurvesWithZSpread(
BOND,
PROVIDER,
Z_SPREAD,
PERIODIC,
PERIOD_PER_YEAR,
FUTURE_PRODUCT.getLastDeliveryDate());
double expected =
BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.getLastDeliveryDate(), dirtyPrice)
/ CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
// -------------------------------------------------------------------------
public void test_priceSensitivity() {
PointSensitivities point = FUTURE_PRICER.priceSensitivity(FUTURE_PRODUCT, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER, (p) -> CurrencyAmount.of(USD, FUTURE_PRICER.price(FUTURE_PRODUCT, (p))));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
public void test_priceSensitivityWithZSpread_continuous() {
PointSensitivities point =
FUTURE_PRICER.priceSensitivityWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
USD,
FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, (p), Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
public void test_priceSensitivityWithZSpread_periodic() {
PointSensitivities point =
FUTURE_PRICER.priceSensitivityWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
USD,
FUTURE_PRICER.priceWithZSpread(
FUTURE_PRODUCT, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR)));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
// -------------------------------------------------------------------------
// regression to 2.x
public void regression() {
double price = FUTURE_PRICER.price(FUTURE_PRODUCT, PROVIDER);
assertEquals(price, 1.2106928633440506, TOL);
PointSensitivities point = FUTURE_PRICER.priceSensitivity(FUTURE_PRODUCT, PROVIDER);
CurrencyParameterSensitivities test = PROVIDER.parameterSensitivity(point);
DoubleArray expectedIssuer =
DoubleArray.of(
-3.940585873921608E-4,
-0.004161527192990392,
-0.014331606019672717,
-1.0229665443857998,
-4.220553063715371,
0);
DoubleArray actualIssuer =
test.getSensitivity(METADATA_ISSUER.getCurveName(), USD).getSensitivity();
assertTrue(actualIssuer.equalWithTolerance(expectedIssuer, TOL));
DoubleArray expectedRepo =
DoubleArray.of(0.14752541809405412, 0.20907575809356016, 0.0, 0.0, 0.0, 0.0);
DoubleArray actualRepo =
test.getSensitivity(METADATA_REPO.getCurveName(), USD).getSensitivity();
assertTrue(actualRepo.equalWithTolerance(expectedRepo, TOL));
}
public void regression_withZSpread_continuous() {
double price =
FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
assertEquals(price, 1.1718691843665354, TOL);
// curve parameter sensitivity is not supported for continuous z-spread in 2.x.
}
public void regression_withZSpread_periodic() {
double price =
FUTURE_PRICER.priceWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
assertEquals(price, 1.1720190529653407, TOL);
PointSensitivities point =
FUTURE_PRICER.priceSensitivityWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurrencyParameterSensitivities test = PROVIDER.parameterSensitivity(point);
DoubleArray expectedIssuer =
DoubleArray.of(
-3.9201229100932256E-4,
-0.0041367134351306374,
-0.014173323438217467,
-0.9886444827927878,
-4.07533109609094,
0);
DoubleArray actualIssuer =
test.getSensitivity(METADATA_ISSUER.getCurveName(), USD).getSensitivity();
assertTrue(actualIssuer.equalWithTolerance(expectedIssuer, TOL));
DoubleArray expectedRepo =
DoubleArray.of(0.1428352116441475, 0.20242871054203687, 0.0, 0.0, 0.0, 0.0);
DoubleArray actualRepo =
test.getSensitivity(METADATA_REPO.getCurveName(), USD).getSensitivity();
assertTrue(actualRepo.equalWithTolerance(expectedRepo, TOL));
}
}
/** Test {@link TermDepositCurveNode}. */
@Test
public class TermDepositCurveNodeTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate VAL_DATE = date(2015, 6, 30);
private static final BusinessDayAdjustment BDA_MOD_FOLLOW =
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA);
private static final DaysAdjustment PLUS_TWO_DAYS = DaysAdjustment.ofBusinessDays(2, EUTA);
private static final TermDepositConvention CONVENTION = TermDepositConventions.EUR_DEPOSIT_T2;
private static final Period DEPOSIT_PERIOD = Period.ofMonths(3);
private static final TermDepositTemplate TEMPLATE =
TermDepositTemplate.of(DEPOSIT_PERIOD, CONVENTION);
private static final QuoteId QUOTE_ID = QuoteId.of(StandardId.of("OG-Ticker", "Deposit1"));
private static final double SPREAD = 0.0015;
private static final String LABEL = "Label";
private static final String LABEL_AUTO = "3M";
public void test_builder() {
TermDepositCurveNode test =
TermDepositCurveNode.builder()
.label(LABEL)
.template(TEMPLATE)
.rateId(QUOTE_ID)
.additionalSpread(SPREAD)
.date(CurveNodeDate.LAST_FIXING)
.build();
assertEquals(test.getLabel(), LABEL);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
assertEquals(test.getDate(), CurveNodeDate.LAST_FIXING);
}
public void test_builder_defaults() {
TermDepositCurveNode test =
TermDepositCurveNode.builder()
.label(LABEL)
.template(TEMPLATE)
.rateId(QUOTE_ID)
.additionalSpread(SPREAD)
.build();
assertEquals(test.getLabel(), LABEL);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
assertEquals(test.getDate(), CurveNodeDate.END);
}
public void test_of_noSpread() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID);
assertEquals(test.getLabel(), LABEL_AUTO);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), 0.0d);
assertEquals(test.getTemplate(), TEMPLATE);
}
public void test_of_withSpread() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertEquals(test.getLabel(), LABEL_AUTO);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
}
public void test_of_withSpreadAndLabel() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
assertEquals(test.getLabel(), LABEL);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
}
public void test_requirements() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
Set<ObservableId> set = test.requirements();
Iterator<ObservableId> itr = set.iterator();
assertEquals(itr.next(), QUOTE_ID);
assertFalse(itr.hasNext());
}
public void test_trade() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
TermDepositTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(VAL_DATE, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(DEPOSIT_PERIOD);
TermDeposit depositExpected =
TermDeposit.builder()
.buySell(BuySell.BUY)
.currency(EUR)
.dayCount(ACT_360)
.startDate(startDateExpected)
.endDate(endDateExpected)
.notional(1.0d)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.rate(rate + SPREAD)
.build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(VAL_DATE).build();
assertEquals(trade.getProduct(), depositExpected);
assertEquals(trade.getInfo(), tradeInfoExpected);
}
public void test_trade_noMarketData() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
MarketData marketData = MarketData.empty(valuationDate);
assertThrows(() -> node.trade(1d, marketData, REF_DATA), MarketDataNotFoundException.class);
}
public void test_initialGuess() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate);
assertEquals(
node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), Math.exp(-rate * 0.25), 1.0e-12);
}
public void test_metadata_end() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata) metadata).getDate(), LocalDate.of(2015, 4, 27));
assertEquals(((TenorDateParameterMetadata) metadata).getTenor(), Tenor.TENOR_3M);
}
public void test_metadata_fixed() {
LocalDate nodeDate = VAL_DATE.plusMonths(1);
TermDepositCurveNode node =
TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.of(nodeDate));
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.getDate(), nodeDate);
assertEquals(metadata.getLabel(), node.getLabel());
}
public void test_metadata_last_fixing() {
TermDepositCurveNode node =
TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
assertThrowsWithCause(
() -> node.metadata(VAL_DATE, REF_DATA), UnsupportedOperationException.class);
}
// -------------------------------------------------------------------------
public void coverage() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
TermDepositCurveNode test2 =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofMonths(1), CONVENTION),
QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
public void test_serialization() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}
}