private InterestRateFutureSecurity createIRFuture() {
Expiry expiry =
new Expiry(ZonedDateTime.of(LocalDate.of(2014, 6, 18), LocalTime.of(0, 0), ZoneOffset.UTC));
String tradingExchange = "";
String settlementExchange = "";
Currency currency = Currency.USD;
double unitAmount = 1000;
ExternalId underlyingId = InterestRateMockSources.getLiborIndexId();
String category = "";
InterestRateFutureSecurity irFuture =
new InterestRateFutureSecurity(
expiry,
tradingExchange,
settlementExchange,
currency,
unitAmount,
underlyingId,
category);
// Need this for time series lookup
ExternalId irFutureId = ExternalSchemes.syntheticSecurityId("Test future");
irFuture.setExternalIdBundle(irFutureId.toBundle());
return irFuture;
}
/** Tests for interest rate future options analytics functions using the black calculator. */
@Test(groups = TestGroup.UNIT)
public class IRFutureOptionFnTest {
private static final ZonedDateTime VALUATION_TIME = DateUtils.getUTCDate(2014, 1, 22);
public static final LocalDate TRADE_DATE = LocalDate.of(2000, 1, 1);
public static final OffsetTime TRADE_TIME = OffsetTime.of(LocalTime.of(0, 0), ZoneOffset.UTC);
private static final LocalDate MARKET_DATA_DATE = LocalDate.of(2014, 2, 18);
private static final double STD_TOLERANCE_PV = 1.0E-3;
private IRFutureOptionFn _blackIRFutureOptionFn;
private IRFutureOptionFn _normalIRFutureOptionFn;
private InterestRateFutureSecurity _irFuture = createIRFuture();
private IRFutureOptionTrade _irFutureOptionTrade = createIRFutureOptionTrade();
private FunctionRunner _functionRunner;
private static final CalculationArguments ARGS =
CalculationArguments.builder()
.valuationTime(VALUATION_TIME)
.marketDataSpecification(LiveMarketDataSpecification.LIVE_SPEC)
.build();
private static final Interpolator1D LINEAR_FLAT =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LINEAR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final GridInterpolator2D INTERPOLATOR_2D =
new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
private static final InterpolatedDoublesSurface TEST_SURFACE =
InterpolatedDoublesSurface.from(
new double[] {.1, .2, .3},
new double[] {.1, .2, .3},
new double[] {.1, .2, .3},
INTERPOLATOR_2D);
private static MarketDataEnvironment createSuppliedData() {
LocalDateDoubleTimeSeries optionPrice =
ImmutableLocalDateDoubleTimeSeries.of(VALUATION_TIME.toLocalDate(), 0.975);
RawId<Double> optionRawId =
RawId.of(ExternalSchemes.syntheticSecurityId("Test future option").toBundle());
MarketDataEnvironmentBuilder builder = new MarketDataEnvironmentBuilder();
builder.add(optionRawId, optionPrice);
builder.add(VolatilitySurfaceId.of("TestExchange"), new VolatilitySurface(TEST_SURFACE));
builder.valuationTime(VALUATION_TIME);
return builder.build();
}
@BeforeClass
public void setUpClass() {
ImmutableMap<Class<?>, Object> components = generateComponents();
VersionCorrectionProvider vcProvider = new FixedInstantVersionCorrectionProvider(Instant.now());
ServiceContext serviceContext =
ServiceContext.of(components).with(VersionCorrectionProvider.class, vcProvider);
ThreadLocalServiceContext.init(serviceContext);
ComponentMap componentMap = ComponentMap.of(components);
MarketDataSource marketDataSource =
InterestRateMockSources.createMarketDataSource(MARKET_DATA_DATE, true);
TestMarketDataFactory marketDataFactory = new TestMarketDataFactory(marketDataSource);
ConfigLink<CurrencyMatrix> currencyMatrixLink =
ConfigLink.resolved(componentMap.getComponent(CurrencyMatrix.class));
List<MarketDataBuilder> builders =
MarketDataBuilders.standard(componentMap, "dataSource", currencyMatrixLink);
MarketDataEnvironmentFactory environmentFactory =
new MarketDataEnvironmentFactory(marketDataFactory, builders);
_functionRunner = new FunctionRunner(environmentFactory);
_normalIRFutureOptionFn =
FunctionModel.build(IRFutureOptionFn.class, normalConfig(), componentMap);
_blackIRFutureOptionFn =
FunctionModel.build(IRFutureOptionFn.class, blackConfig(), componentMap);
}
private FunctionModelConfig blackConfig() {
FunctionModelConfig config =
config(
arguments(
function(
MarketExposureSelector.class,
argument(
"exposureFunctions",
ConfigLink.resolved(InterestRateMockSources.mockExposureFunctions()))),
function(
RootFinderConfiguration.class,
argument("rootFinderAbsoluteTolerance", 1e-9),
argument("rootFinderRelativeTolerance", 1e-9),
argument("rootFinderMaxIterations", 1000)),
function(
DefaultCurveNodeConverterFn.class,
argument("timeSeriesDuration", RetrievalPeriod.of(Period.ofYears(1))))),
implementations(
IRFutureOptionFn.class, DefaultIRFutureOptionFn.class,
IRFutureOptionCalculatorFactory.class, IRFutureOptionBlackCalculatorFactory.class,
CurveSpecificationMarketDataFn.class, DefaultCurveSpecificationMarketDataFn.class,
FXMatrixFn.class, DefaultFXMatrixFn.class,
BlackSTIRFuturesProviderFn.class, TestBlackSTIRFuturesProviderFn.class,
DiscountingMulticurveCombinerFn.class,
ExposureFunctionsDiscountingMulticurveCombinerFn.class,
CurveDefinitionFn.class, DefaultCurveDefinitionFn.class,
CurveLabellingFn.class, CurveDefinitionCurveLabellingFn.class,
CurveSpecificationFn.class, DefaultCurveSpecificationFn.class,
CurveConstructionConfigurationSource.class,
ConfigDBCurveConstructionConfigurationSource.class,
CurveNodeConverterFn.class, DefaultCurveNodeConverterFn.class,
HistoricalMarketDataFn.class, DefaultHistoricalMarketDataFn.class,
FixingsFn.class, DefaultFixingsFn.class,
MarketDataFn.class, DefaultMarketDataFn.class,
CurveSelector.class, MarketExposureSelector.class,
DiscountingMulticurveCombinerFn.class, CurveSelectorMulticurveBundleFn.class));
return config;
}
private FunctionModelConfig normalConfig() {
FunctionModelConfig config =
config(
arguments(
function(
MarketExposureSelector.class,
argument(
"exposureFunctions",
ConfigLink.resolved(InterestRateMockSources.mockExposureFunctions()))),
function(
RootFinderConfiguration.class,
argument("rootFinderAbsoluteTolerance", 1e-9),
argument("rootFinderRelativeTolerance", 1e-9),
argument("rootFinderMaxIterations", 1000)),
function(
TestIRFutureOptionNormalSurfaceProviderFn.class,
argument("moneynessOnPrice", false)),
function(
DefaultCurveNodeConverterFn.class,
argument("timeSeriesDuration", RetrievalPeriod.of(Period.ofYears(1))))),
implementations(
IRFutureOptionFn.class, DefaultIRFutureOptionFn.class,
IRFutureOptionCalculatorFactory.class, IRFutureOptionNormalCalculatorFactory.class,
CurveSpecificationMarketDataFn.class, DefaultCurveSpecificationMarketDataFn.class,
FXMatrixFn.class, DefaultFXMatrixFn.class,
CurveDefinitionFn.class, DefaultCurveDefinitionFn.class,
CurveLabellingFn.class, CurveDefinitionCurveLabellingFn.class,
CurveSpecificationFn.class, DefaultCurveSpecificationFn.class,
CurveConstructionConfigurationSource.class,
ConfigDBCurveConstructionConfigurationSource.class,
CurveNodeConverterFn.class, DefaultCurveNodeConverterFn.class,
HistoricalMarketDataFn.class, DefaultHistoricalMarketDataFn.class,
FixingsFn.class, DefaultFixingsFn.class,
MarketDataFn.class, DefaultMarketDataFn.class,
CurveSelector.class, MarketExposureSelector.class,
IRFutureOptionNormalSurfaceProviderFn.class,
TestIRFutureOptionNormalSurfaceProviderFn.class,
DiscountingMulticurveCombinerFn.class, CurveSelectorMulticurveBundleFn.class));
return config;
}
private ImmutableMap<Class<?>, Object> generateComponents() {
ImmutableMap.Builder<Class<?>, Object> builder = ImmutableMap.builder();
for (Map.Entry<Class<?>, Object> entry :
InterestRateMockSources.generateBaseComponents().entrySet()) {
Class<?> key = entry.getKey();
if (key.equals(SecuritySource.class)) {
appendSecuritySource((SecuritySource) entry.getValue());
}
builder.put(key, entry.getValue());
}
return builder.build();
}
// TODO - this assumes knowledge of the underlying source, should find a better way to do this
private void appendSecuritySource(SecuritySource source) {
SecurityMaster master = ((MasterSecuritySource) source).getMaster();
master.add(new SecurityDocument(_irFuture));
}
private InterestRateFutureSecurity createIRFuture() {
Expiry expiry =
new Expiry(ZonedDateTime.of(LocalDate.of(2014, 6, 18), LocalTime.of(0, 0), ZoneOffset.UTC));
String tradingExchange = "";
String settlementExchange = "";
Currency currency = Currency.USD;
double unitAmount = 1000;
ExternalId underlyingId = InterestRateMockSources.getLiborIndexId();
String category = "";
InterestRateFutureSecurity irFuture =
new InterestRateFutureSecurity(
expiry,
tradingExchange,
settlementExchange,
currency,
unitAmount,
underlyingId,
category);
// Need this for time series lookup
ExternalId irFutureId = ExternalSchemes.syntheticSecurityId("Test future");
irFuture.setExternalIdBundle(irFutureId.toBundle());
return irFuture;
}
private IRFutureOptionTrade createIRFutureOptionTrade() {
String exchange = "TestExchange";
ExerciseType exerciseType = new EuropeanExerciseType();
double pointValue = Double.NaN;
boolean margined = true;
double strike = 0.99;
OptionType optionType = OptionType.PUT;
ExternalId irFutureId = Iterables.getOnlyElement(_irFuture.getExternalIdBundle());
IRFutureOptionSecurity irFutureOption =
new IRFutureOptionSecurity(
exchange,
_irFuture.getExpiry(),
exerciseType,
irFutureId,
pointValue,
margined,
_irFuture.getCurrency(),
strike,
optionType);
// Need this for time series lookup
irFutureOption.setExternalIdBundle(
ExternalSchemes.syntheticSecurityId("Test future option").toBundle());
Counterparty counterparty =
new SimpleCounterparty(ExternalId.of(Counterparty.DEFAULT_SCHEME, "COUNTERPARTY"));
BigDecimal tradeQuantity = BigDecimal.valueOf(1);
SimpleTrade trade =
new SimpleTrade(irFutureOption, tradeQuantity, counterparty, TRADE_DATE, TRADE_TIME);
trade.setPremium(10.0);
trade.setPremiumCurrency(Currency.USD);
return new IRFutureOptionTrade(trade);
}
@Test
public void testBlackPresentValue() {
Result<MultipleCurrencyAmount> result =
_functionRunner.runFunction(
ARGS,
createSuppliedData(),
new Function<Environment, Result<MultipleCurrencyAmount>>() {
@Override
public Result<MultipleCurrencyAmount> apply(Environment env) {
return _blackIRFutureOptionFn.calculatePV(env, _irFutureOptionTrade);
}
});
assertSuccess(result);
MultipleCurrencyAmount mca = result.getValue();
assertThat(
mca.getCurrencyAmount(Currency.USD).getAmount(),
is(closeTo(-972.460677, STD_TOLERANCE_PV)));
}
@Test
public void testBlackBucketedZeroDelta() {
Result<BucketedCurveSensitivities> result =
_functionRunner.runFunction(
ARGS,
createSuppliedData(),
new Function<Environment, Result<BucketedCurveSensitivities>>() {
@Override
public Result<BucketedCurveSensitivities> apply(Environment env) {
return _blackIRFutureOptionFn.calculateBucketedZeroIRDelta(
env, _irFutureOptionTrade);
}
});
assertSuccess(result);
}
@Test
public void testNormalPresentValue() {
Result<MultipleCurrencyAmount> result =
_functionRunner.runFunction(
ARGS,
createSuppliedData(),
new Function<Environment, Result<MultipleCurrencyAmount>>() {
@Override
public Result<MultipleCurrencyAmount> apply(Environment env) {
return _normalIRFutureOptionFn.calculatePV(env, _irFutureOptionTrade);
}
});
assertSuccess(result);
MultipleCurrencyAmount mca = result.getValue();
assertThat(
mca.getCurrencyAmount(Currency.USD).getAmount(),
is(closeTo(-902.7156551, STD_TOLERANCE_PV)));
}
@Test
public void testNormalPrice() {
Result<Double> result =
_functionRunner.runFunction(
ARGS,
createSuppliedData(),
new Function<Environment, Result<Double>>() {
@Override
public Result<Double> apply(Environment env) {
return _normalIRFutureOptionFn.calculateModelPrice(env, _irFutureOptionTrade);
}
});
assertSuccess(result);
Double price = result.getValue();
assertThat(price, is(closeTo(0.072284344, STD_TOLERANCE_PV)));
}
@Test
public void testNormalBucketedZeroDelta() {
Result<BucketedCurveSensitivities> result =
_functionRunner.runFunction(
ARGS,
createSuppliedData(),
new Function<Environment, Result<BucketedCurveSensitivities>>() {
@Override
public Result<BucketedCurveSensitivities> apply(Environment env) {
return _normalIRFutureOptionFn.calculateBucketedZeroIRDelta(
env, _irFutureOptionTrade);
}
});
assertSuccess(result);
}
}
public class TestPersistentOffsetTimeAsLongAndStringOffset extends DatabaseCapable {
private static final OffsetTime[] offsetTimes =
new OffsetTime[] {
OffsetTime.of(LocalTime.of(12, 10, 31), ZoneOffset.UTC),
OffsetTime.of(LocalTime.of(23, 7, 43, 120), ZoneOffset.ofHours(2))
};
private static EntityManagerFactory factory;
@BeforeClass
public static void setup() {
factory = Persistence.createEntityManagerFactory("test1");
}
@AfterClass
public static void tearDown() {
factory.close();
}
@Test
public void testPersist() {
EntityManager manager = factory.createEntityManager();
manager.getTransaction().begin();
for (int i = 0; i < offsetTimes.length; i++) {
OffsetTimeAsLongAndStringOffsetHolder item = new OffsetTimeAsLongAndStringOffsetHolder();
item.setId(i);
item.setName("test_" + i);
item.setOffsetTime(offsetTimes[i]);
manager.persist(item);
}
manager.flush();
manager.getTransaction().commit();
manager.close();
manager = factory.createEntityManager();
for (int i = 0; i < offsetTimes.length; i++) {
OffsetTimeAsLongAndStringOffsetHolder item =
manager.find(OffsetTimeAsLongAndStringOffsetHolder.class, Long.valueOf(i));
assertNotNull(item);
assertEquals(i, item.getId());
assertEquals("test_" + i, item.getName());
assertEquals(offsetTimes[i], item.getOffsetTime());
}
verifyDatabaseTable(
manager, OffsetTimeAsLongAndStringOffsetHolder.class.getAnnotation(Table.class).name());
manager.close();
}
}
