/** Calculates the present value of a bond from the clean price and a curve bundle. */
public class InflationBondPresentValueFromCleanPriceFunction
extends InflationBondFromCleanPriceAndCurvesFunction {
/** The present value calculator */
private static final BondCapitalIndexedSecurityDiscountingMethod CALCULATOR =
BondCapitalIndexedSecurityDiscountingMethod.getInstance();
private static final PresentValueDiscountingInflationCalculator PVIC =
PresentValueDiscountingInflationCalculator.getInstance();
/** Sets the value requirement name to {@link ValueRequirementNames#PRESENT_VALUE}. */
public InflationBondPresentValueFromCleanPriceFunction() {
super(PRESENT_VALUE);
}
@Override
protected Set<ComputedValue> getResult(
final FunctionInputs inputs,
final BondCapitalIndexedTransaction<?> bond,
final InflationIssuerProviderInterface provider,
final double cleanPrice,
final ValueSpecification spec) {
final String expectedCurrency = spec.getProperty(CURRENCY);
final MultipleCurrencyAmount pvBond =
CALCULATOR.presentValueFromCleanRealPrice(bond.getBondTransaction(), provider, cleanPrice);
final MultipleCurrencyAmount pvSettlement =
bond.getBondTransaction()
.getSettlement()
.accept(PVIC, provider.getInflationProvider())
.multipliedBy(
bond.getQuantity()
* bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional());
final MultipleCurrencyAmount pv = pvBond.plus(pvSettlement);
if (pv.size() != 1
|| !(expectedCurrency.equals(pv.getCurrencyAmounts()[0].getCurrency().getCode()))) {
throw new OpenGammaRuntimeException("Expecting a single result in " + expectedCurrency);
}
return Collections.singleton(new ComputedValue(spec, pv.getCurrencyAmounts()[0].getAmount()));
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
final String currency =
FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode();
return super.getResultProperties(target).with(CURRENCY, currency);
}
}
/** Build of inflation curve in several blocks with relevant Jacobian matrice. */
public class InflationBuildingCurveSimpleTestEUR {
private static final Interpolator1D INTERPOLATOR_LINEAR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LOG_LINEAR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
private static final double TOLERANCE_ROOT = 1.0E-10;
private static final int STEP_MAX = 100;
private static final Currency EUR = Currency.EUR;
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFLATION_SWAP =
GeneratorSwapFixedInflationMaster.getInstance().getGenerator("EURHICP");
private static final IndexPrice EUR_HICP = GENERATOR_INFLATION_SWAP.getIndexPrice();
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 9, 28);
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28)
},
new double[] {200, 200});
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITHOUT_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {100});
@SuppressWarnings("rawtypes")
private static final DoubleTimeSeries[] TS_FIXED_PRICE_INDEX_USD_WITH_TODAY =
new DoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY};
@SuppressWarnings("rawtypes")
private static final DoubleTimeSeries[] TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY =
new DoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITHOUT_TODAY};
private static final String CURVE_NAME_HICP_EUR = "EUR HICP";
/** Market values for the HICP EUR curve */
public static final double[] HICP_EUR_MARKET_QUOTES =
new double[] {
0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200,
0.0200, 0.0200, 0.0200, 0.0200
};
/** Generators for the HICP EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] HICP_EUR_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP
};
/** Tenors for the HICP EUR curve */
private static final Period[] HICP_EUR_TENOR =
new Period[] {
Period.ofYears(1),
Period.ofYears(2),
Period.ofYears(3),
Period.ofYears(4),
Period.ofYears(5),
Period.ofYears(6),
Period.ofYears(7),
Period.ofYears(8),
Period.ofYears(9),
Period.ofYears(10),
Period.ofYears(12),
Period.ofYears(15),
Period.ofYears(20),
Period.ofYears(25),
Period.ofYears(30)
};
private static final GeneratorAttributeIR[] HICP_EUR_ATTR =
new GeneratorAttributeIR[HICP_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < HICP_EUR_TENOR.length; loopins++) {
HICP_EUR_ATTR[loopins] = new GeneratorAttributeIR(HICP_EUR_TENOR[loopins]);
}
}
/** Standard EUR HICP curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_HICP_EUR;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {1};
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS =
new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorPriceIndexCurve[][][] GENERATORS_UNITS =
new GeneratorPriceIndexCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount eurMulticurveProviderDiscount =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd().copy();
private static final InflationProviderDiscount KNOWN_DATA =
new InflationProviderDiscount(eurMulticurveProviderDiscount);
private static final LinkedHashMap<String, IndexPrice[]> EUR_HICP_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_HICP_EUR =
getDefinitions(HICP_EUR_MARKET_QUOTES, HICP_EUR_GENERATORS, HICP_EUR_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorPriceIndexCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_HICP_EUR};
final GeneratorPriceIndexCurve genIntLin =
new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorPriceIndexCurve[] {genIntLin};
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_HICP_EUR};
EUR_HICP_MAP.put(CURVE_NAME_HICP_EUR, new IndexPrice[] {EUR_HICP});
}
private static final String NOT_USED = "Not used";
private static final String[] NOT_USED_2 = {NOT_USED, NOT_USED};
public static InstrumentDefinition<?>[] getDefinitions(
final double[] marketQuotes,
final GeneratorInstrument[] generators,
final GeneratorAttribute[] attribute) {
final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length];
for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) {
definitions[loopmv] =
generators[loopmv].generateInstrument(
NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
private static List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>>
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK =
new ArrayList<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>>();
// Calculator
private static final PresentValueDiscountingInflationCalculator PVIC =
PresentValueDiscountingInflationCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC =
ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC =
ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final InflationDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
new InflationDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-9;
@BeforeSuite
static void initClass() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[loopblock],
GENERATORS_UNITS[loopblock],
NAMES_UNITS[loopblock],
KNOWN_DATA,
PSIMQC,
PSIMQCSC,
false));
}
}
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[0],
GENERATORS_UNITS[0],
NAMES_UNITS[0],
KNOWN_DATA,
PSIMQC,
PSIMQCSC,
false);
}
endTime = System.currentTimeMillis();
System.out.println(
"InflationBuildingCurveSimpleTestEUR - "
+ nbTest
+ " curve construction Price index EUR 1 units: "
+ (endTime - startTime)
+ " ms");
// Performance note: curve construction Price index EUR 1 units: 27-Mar-13: On Dell Precision
// T1850 3.5 GHz Quad-Core Intel Xeon: 2816 ms for 1000 sets.
}
@Test
public void curveConstructionGeneratorOtherBlocks() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(
DEFINITIONS_UNITS[loopblock],
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(),
false,
loopblock);
}
}
public void curveConstructionTest(
final InstrumentDefinition<?>[][][] definitions,
final InflationProviderDiscount curves,
final boolean withToday,
final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments =
convert(definitions[loopblock], loopblock, withToday);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] =
curves
.getFxRates()
.convert(instruments[loopcurve][loopins].accept(PVIC, curves), EUR)
.getAmount();
assertEquals(
"Curve construction: block "
+ block
+ ", unit "
+ loopblock
+ " - instrument "
+ loopins,
0,
pv[loopcurve][loopins],
TOLERANCE_CAL);
}
}
}
}
private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle>
makeCurvesFromDefinitions(
final InstrumentDefinition<?>[][][] definitions,
final GeneratorPriceIndexCurve[][] curveGenerators,
final String[][] curveNames,
final InflationProviderDiscount knownData,
final InstrumentDerivativeVisitor<InflationProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity>
sensitivityCalculator,
final boolean withToday) {
final int nbUnits = curveGenerators.length;
final double[][] parametersGuess = new double[nbUnits][];
final GeneratorPriceIndexCurve[][] generatorFinal = new GeneratorPriceIndexCurve[nbUnits][];
final InstrumentDerivative[][][] instruments = new InstrumentDerivative[nbUnits][][];
for (int loopunit = 0; loopunit < nbUnits; loopunit++) {
generatorFinal[loopunit] = new GeneratorPriceIndexCurve[curveGenerators[loopunit].length];
int nbInsUnit = 0;
for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
nbInsUnit += definitions[loopunit][loopcurve].length;
}
parametersGuess[loopunit] = new double[nbInsUnit];
int startCurve = 0; // First parameter index of the curve in the unit.
instruments[loopunit] = convert(definitions[loopunit], loopunit, withToday);
for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
generatorFinal[loopunit][loopcurve] =
curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]);
final double[] guessCurve =
generatorFinal[loopunit][loopcurve].initialGuess(
initialGuess(definitions[loopunit][loopcurve]));
System.arraycopy(
guessCurve,
0,
parametersGuess[loopunit],
startCurve,
instruments[loopunit][loopcurve].length);
startCurve += instruments[loopunit][loopcurve].length;
}
}
return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(
instruments,
generatorFinal,
curveNames,
parametersGuess,
knownData,
EUR_HICP_MAP,
calculator,
sensitivityCalculator);
}
@SuppressWarnings("unchecked")
private static InstrumentDerivative[][] convert(
final InstrumentDefinition<?>[][] definitions, final int unit, final boolean withToday) {
// int nbDef = 0;
// for (final InstrumentDefinition<?>[] definition : definitions) {
// nbDef += definition.length;
// }
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
/* ird = ((SwapFixedInflationZeroCouponDefinition) instrument).toDerivative(NOW, getTSSwapFixedInflation(withToday, unit), NOT_USED_2);*/
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.toDerivative(NOW, NOT_USED_2);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY, NOT_USED_2);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW, NOT_USED_2);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
@SuppressWarnings("rawtypes")
private static DoubleTimeSeries[] getTSSwapFixedInflation(
final Boolean withToday, final Integer unit) {
switch (unit) {
case 0:
return withToday
? TS_FIXED_PRICE_INDEX_USD_WITH_TODAY
: TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY;
case 1:
return withToday
? TS_FIXED_PRICE_INDEX_USD_WITH_TODAY
: TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
private static double[] initialGuess(final InstrumentDefinition<?>[] definitions) {
final double[] result = new double[definitions.length];
int loopr = 0;
for (final InstrumentDefinition<?> definition : definitions) {
result[loopr++] = initialGuess(definition);
}
return result;
}
private static double initialGuess(final InstrumentDefinition<?> instrument) {
if (instrument instanceof SwapFixedONDefinition) {
return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof SwapFixedIborDefinition) {
return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponMonthlyDefinition) {
return ((CouponInflationZeroCouponMonthlyDefinition)
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.getNthPayment(0))
.getIndexStartValue();
}
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponInterpolationDefinition) {
return ((CouponInflationZeroCouponInterpolationDefinition)
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.getNthPayment(0))
.getIndexStartValue();
}
return 100;
}
if (instrument instanceof ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
return 1;
}
}
/**
* Build of inflation curve and discount curve simultaneously in several blocks with relevant
* Jacobian matrices.
*/
@Test(groups = TestGroup.UNIT)
public class InflationBuildingCurveWithDiscountTestUSD {
private static final Interpolator1D INTERPOLATOR_LINEAR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LOG_LINEAR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
private static final double TOLERANCE_ROOT = 1.0E-10;
private static final int STEP_MAX = 100;
private static final Currency USD = Currency.USD;
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final FXMatrix FX_MATRIX = new FXMatrix(USD);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_USD =
GeneratorSwapFixedONMaster.getInstance().getGenerator("USD1YFEDFUND", NYC);
private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD =
new GeneratorDepositON("USD Deposit ON", USD, NYC, INDEX_ON_USD.getDayCount());
private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFALTION_SWAP =
GeneratorSwapFixedInflationMaster.getInstance().getGenerator("USCPI");
private static final IndexPrice US_CPI = GENERATOR_INFALTION_SWAP.getIndexPrice();
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 9, 28);
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28),
DateUtils.getUTCDate(2012, 6, 30),
DateUtils.getUTCDate(2012, 7, 31)
},
new double[] {200, 200, 200, 200});
private static final String CURVE_NAME_DSC_USD = "USD Dsc";
private static final String CURVE_NAME_CPI_USD = "USD CPI";
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_MARKET_QUOTES =
new double[] {
0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400,
0.0400
};
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_DEPOSIT_ON_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD
};
/** Tenors for the dsc USD curve */
private static final Period[] DSC_USD_TENOR =
new Period[] {
Period.ofDays(0),
Period.ofMonths(1),
Period.ofMonths(2),
Period.ofMonths(3),
Period.ofMonths(6),
Period.ofMonths(9),
Period.ofYears(1),
Period.ofYears(2),
Period.ofYears(3),
Period.ofYears(4),
Period.ofYears(5),
Period.ofYears(10)
};
private static final GeneratorAttributeIR[] DSC_USD_ATTR =
new GeneratorAttributeIR[DSC_USD_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Market values for the CPI USD curve */
public static final double[] CPI_USD_MARKET_QUOTES =
new double[] {
0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200,
0.0200, 0.0200, 0.0200, 0.0200
};
/** Generators for the CPI USD curve */
public static final GeneratorInstrument<? extends GeneratorAttribute>[] CPI_USD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP
};
/** Tenors for the CPI USD curve */
public static final Period[] CPI_USD_TENOR =
new Period[] {
Period.ofYears(1),
Period.ofYears(2),
Period.ofYears(3),
Period.ofYears(4),
Period.ofYears(5),
Period.ofYears(6),
Period.ofYears(7),
Period.ofYears(8),
Period.ofYears(9),
Period.ofYears(10),
Period.ofYears(12),
Period.ofYears(15),
Period.ofYears(20),
Period.ofYears(25),
Period.ofYears(30)
};
public static final GeneratorAttributeIR[] CPI_USD_ATTR =
new GeneratorAttributeIR[CPI_USD_TENOR.length];
static {
for (int loopins = 0; loopins < CPI_USD_TENOR.length; loopins++) {
CPI_USD_ATTR[loopins] = new GeneratorAttributeIR(CPI_USD_TENOR[loopins]);
}
}
/** Standard USD discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD;
/** Standard USD CPI curve instrument definitions */
public static final InstrumentDefinition<?>[] DEFINITIONS_CPI_USD;
/** Units of curves */
public static final int[] NB_UNITS = new int[] {2, 1};
public static final int NB_BLOCKS = NB_UNITS.length;
public static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS =
new InstrumentDefinition<?>[NB_BLOCKS][][][];
public static final GeneratorCurve[][][] GENERATORS_UNITS = new GeneratorCurve[NB_BLOCKS][][];
public static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final InflationProviderDiscount KNOWN_DATA =
new InflationProviderDiscount(FX_MATRIX);
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
public static final LinkedHashMap<String, IndexPrice[]> US_CPI_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR);
DEFINITIONS_CPI_USD = getDefinitions(CPI_USD_MARKET_QUOTES, CPI_USD_GENERATORS, CPI_USD_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD};
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_CPI_USD};
DEFINITIONS_UNITS[1][0] =
new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD, DEFINITIONS_CPI_USD};
final GeneratorYDCurve genIntLinDiscount =
new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
final GeneratorPriceIndexCurve genIntLinInflation =
new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLinDiscount};
GENERATORS_UNITS[0][1] = new GeneratorPriceIndexCurve[] {genIntLinInflation};
GENERATORS_UNITS[1][0] = new GeneratorCurve[] {genIntLinDiscount, genIntLinInflation};
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD};
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_CPI_USD};
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD, CURVE_NAME_CPI_USD};
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD});
US_CPI_MAP.put(CURVE_NAME_CPI_USD, new IndexPrice[] {US_CPI});
}
@SuppressWarnings({"unchecked", "rawtypes"})
public static InstrumentDefinition<?>[] getDefinitions(
final double[] marketQuotes,
final GeneratorInstrument[] generators,
final GeneratorAttribute[] attribute) {
final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length];
for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) {
definitions[loopmv] =
generators[loopmv].generateInstrument(
NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
private static List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>>
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculator
private static final PresentValueDiscountingInflationCalculator PVIC =
PresentValueDiscountingInflationCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDIC =
PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC =
ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC =
ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final InflationDiscountBuildingRepositoryWithDiscount CURVE_BUILDING_REPOSITORY =
new InflationDiscountBuildingRepositoryWithDiscount(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-9;
@BeforeSuite
static void initClass() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[loopblock],
GENERATORS_UNITS[loopblock],
NAMES_UNITS[loopblock],
KNOWN_DATA,
PSIMQC,
PSIMQCSC));
}
}
public List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> getCurvesWithBlock() {
initClass();
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK;
}
@Test(enabled = false)
public void comparison1Unit2Units() {
final InflationProviderDiscount[] units = new InflationProviderDiscount[2];
final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2];
final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2];
final PriceIndexCurve[] curveInflation = new PriceIndexCurve[2];
for (int loopblock = 0; loopblock < 2; loopblock++) {
units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst();
bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond();
curveDsc[loopblock] = units[loopblock].getCurve(USD);
curveInflation[loopblock] = units[loopblock].getCurve(US_CPI);
}
assertEquals(
"Curve construction: 1 unit / 3 units ",
curveDsc[0].getNumberOfParameters(),
curveDsc[1].getNumberOfParameters());
assertEquals(
"Curve construction: 1 unit / 3 units ",
curveInflation[0].getNumberOfParameters(),
curveInflation[1].getNumberOfParameters());
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getYData()),
TOLERANCE_CAL);
}
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC);
}
endTime = System.currentTimeMillis();
System.out.println(
"MulticurveBuildingDiscountingDiscountXCcyTest - "
+ nbTest
+ " curve construction / USD/EUR 3 units: "
+ (endTime - startTime)
+ " ms");
// Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On
// Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 5869 ms for 1000 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSIMQC, PSIMQCSC);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " curve construction / 1 unit: " + (endTime - startTime) + " ms");
// Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On
// Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 9153 ms for 1000 sets.
}
@Test
public void curveConstructionGeneratorOtherBlocks() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(
DEFINITIONS_UNITS[loopblock],
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(),
loopblock);
}
}
@Test(enabled = false)
/** Analyzes the shape of the forward curve. */
public void marketQuoteSensitivityAnalysis() {
final InflationProviderDiscount multicurves7 =
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst();
multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst());
final CurveBuildingBlockBundle blocks7 =
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond();
blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
final double spreadJPYEUR = 0.0010; // 10bps
final double notional = 100000;
final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
final SwapFixedInflationZeroCouponDefinition swapDefinition =
GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
final InstrumentDerivative swap =
swapDefinition.toDerivative(
NOW,
new ZonedDateTimeDoubleTimeSeries[] {
TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY
});
final ParameterSensitivityInflationParameterCalculator<ParameterInflationProviderInterface>
PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDIC);
final MarketQuoteInflationSensitivityBlockCalculator<ParameterInflationProviderInterface> MQSC =
new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
@SuppressWarnings("unused")
final MultipleCurrencyParameterSensitivity mqs =
MQSC.fromInstrument(swap, multicurves7, blocks7);
}
private void curveConstructionTest(
final InstrumentDefinition<?>[][][] definitions,
final InflationProviderDiscount curves,
final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopblock]);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] =
curves
.getFxRates()
.convert(instruments[loopcurve][loopins].accept(PVIC, curves), USD)
.getAmount();
assertEquals(
"Curve construction: block "
+ block
+ ", unit "
+ loopblock
+ " - instrument "
+ loopins,
0,
pv[loopcurve][loopins],
TOLERANCE_CAL);
}
}
}
}
@SuppressWarnings("unchecked")
private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle>
makeCurvesFromDefinitions(
final InstrumentDefinition<?>[][][] definitions,
final GeneratorCurve[][] curveGenerators,
final String[][] curveNames,
final InflationProviderDiscount knownData,
final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<
ParameterInflationProviderInterface, InflationSensitivity>
sensitivityCalculator) {
final int nUnits = definitions.length;
final MultiCurveBundle<GeneratorCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorCurve>[] singleCurves = new SingleCurveBundle[nCurves];
for (int j = 0; j < nCurves; j++) {
final int nInstruments = definitions[i][j].length;
final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments];
final double[] initialGuess = new double[nInstruments];
for (int k = 0; k < nInstruments; k++) {
derivatives[k] = convert(definitions[i][j][k]);
initialGuess[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
singleCurves[j] =
new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
}
curveBundles[i] = new MultiCurveBundle<>(singleCurves);
}
return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(
curveBundles,
knownData,
DSC_MAP,
FWD_ON_MAP,
US_CPI_MAP,
calculator,
sensitivityCalculator);
}
private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions) {
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW);
}
return ird;
}
private static double initialGuess(final InstrumentDefinition<?> instrument) {
if (instrument instanceof SwapFixedONDefinition) {
return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof SwapFixedIborDefinition) {
return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponMonthlyDefinition) {
return 100.0;
}
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponInterpolationDefinition) {
return 100.0;
}
return 100;
}
if (instrument instanceof ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
return 100;
}
}
/** Tests the present value of Capital inflation indexed bonds. */
@Test
public class BondCapitalIndexedSecurityDiscountingMethodTest {
private static final InflationIssuerProviderDiscount MARKET =
MulticurveProviderDiscountDataSets.createMarket1();
private static final IndexPrice[] PRICE_INDEXES =
MulticurveProviderDiscountDataSets.getPriceIndexes();
private static final IndexPrice PRICE_INDEX_UKRPI = PRICE_INDEXES[1];
private static final IndexPrice PRICE_INDEX_USCPI = PRICE_INDEXES[2];
private static final IndexPrice PRICE_INDEX_AUDCPI = PRICE_INDEXES[3];
private static final String[] ISSUER_NAMES = MulticurveProviderDiscountDataSets.getIssuerNames();
private static final String ISSUER_US_GOVT = ISSUER_NAMES[0];
private static final String ISSUER_UK_GOVT = ISSUER_NAMES[1];
private static final String ISSUER_AUD_GOVT = ISSUER_NAMES[3];
private static final double SHIFT_FD = 1.0E-9;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
private static final double TOLERANCE_SENSI_DELTA = 1.0E-6;
private static final ZonedDateTime PRICING_DATE = DateUtils.getUTCDate(2011, 8, 8);
private static final BondCapitalIndexedSecurityDiscountingMethod METHOD_BOND_INFLATION =
new BondCapitalIndexedSecurityDiscountingMethod();
private static final CouponInflationZeroCouponMonthlyGearingDiscountingMethod
METHOD_INFLATION_ZC_MONTHLY = new CouponInflationZeroCouponMonthlyGearingDiscountingMethod();
private static final CouponInflationZeroCouponInterpolationGearingDiscountingMethod
METHOD_INFLATION_ZC_INTERPOLATION =
new CouponInflationZeroCouponInterpolationGearingDiscountingMethod();
private static final PresentValueDiscountingInflationCalculator PVDIC =
PresentValueDiscountingInflationCalculator.getInstance();
private static final NetAmountInflationCalculator NADIC =
NetAmountInflationCalculator.getInstance();
private static final PresentValueDiscountingInflationIssuerCalculator PVDIIC =
PresentValueDiscountingInflationIssuerCalculator.getInstance();
private static final ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator
PS_PV_FDC =
new ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator(
PVDIC, SHIFT_FD);
private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
private static final ParameterSensitivityInflationParameterCalculator<
ParameterInflationProviderInterface>
PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDC);
// Treasury Indexed Bonds CAIN 3% Index-linked Treasury Stock 2025 - AU0000XCLWP8
private static final HolidayCalendar CALENDAR_AUD = HolidayCalendars.SAT_SUN;
private static final BusinessDayConvention BUSINESS_DAY_AUD = BusinessDayConventions.FOLLOWING;
private static final DayCount DAY_COUNT_CAIN = DayCounts.ACT_ACT_ISDA;
private static final boolean IS_EOM_CAIN = false;
private static final ZonedDateTime START_DATE_CAIN = DateUtils.getUTCDate(2009, 9, 30);
private static final ZonedDateTime FIRST_COUPON_DATE_CAIN = DateUtils.getUTCDate(2009, 12, 20);
private static final ZonedDateTime MATURITY_DATE_CAIN = DateUtils.getUTCDate(2025, 12, 20);
private static final YieldConvention YIELD_CONVENTION_CAIN =
YieldConventionFactory.INSTANCE.getYieldConvention("UK:BUMP/DMO METHOD"); // To check
private static final int MONTH_LAG_CAIN = 6;
private static final double INDEX_START_CAIN = 173.60; // November 2001
private static final double NOTIONAL_CAIN = 1.00;
private static final double REAL_RATE_CAIN = 0.03;
private static final Period COUPON_PERIOD_CAIN = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS_CAIN = 2;
// TODO: ex-coupon 7 days
private static final BondCapitalIndexedSecurityDefinition<
CouponInflationZeroCouponMonthlyGearingDefinition>
BOND_SECURITY_CAIN_DEFINITION =
BondCapitalIndexedSecurityDefinition.fromMonthly(
PRICE_INDEX_AUDCPI,
MONTH_LAG_CAIN,
START_DATE_CAIN,
INDEX_START_CAIN,
FIRST_COUPON_DATE_CAIN,
MATURITY_DATE_CAIN,
COUPON_PERIOD_CAIN,
NOTIONAL_CAIN,
REAL_RATE_CAIN,
BUSINESS_DAY_AUD,
SETTLEMENT_DAYS_CAIN,
CALENDAR_AUD,
DAY_COUNT_CAIN,
YIELD_CONVENTION_CAIN,
IS_EOM_CAIN,
ISSUER_AUD_GOVT);
private static final DoubleTimeSeries<ZonedDateTime> AUD_CPI =
MulticurveProviderDiscountDataSets.audCPIFrom2009();
private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_CAIN =
BOND_SECURITY_CAIN_DEFINITION.toDerivative(PRICING_DATE, AUD_CPI);
/** Tests the present value computation. */
public void presentValueCAIN() {
final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount();
marketUKGovt.setCurve(
BOND_SECURITY_CAIN.getCurrency(), MARKET.getCurve(BOND_SECURITY_CAIN.getIssuerEntity()));
marketUKGovt.setCurve(PRICE_INDEX_AUDCPI, MARKET.getCurve(PRICE_INDEX_AUDCPI));
final MultiCurrencyAmount pvNominal =
METHOD_INFLATION_ZC_MONTHLY.presentValue(
(CouponInflationZeroCouponMonthlyGearing)
BOND_SECURITY_CAIN.getNominal().getNthPayment(0),
marketUKGovt);
MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_CAIN.getCurrency(), 0.0);
for (int loopcpn = 0;
loopcpn < BOND_SECURITY_CAIN.getCoupon().getNumberOfPayments();
loopcpn++) {
pvCoupon =
pvCoupon.plus(
BOND_SECURITY_CAIN.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt));
}
final MultiCurrencyAmount pvExpectd = pvNominal.plus(pvCoupon);
final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_CAIN, MARKET);
assertEquals(
"Inflation Capital Indexed bond: present value",
pvExpectd.getAmount(BOND_SECURITY_CAIN.getCurrency()).getAmount(),
pv.getAmount(BOND_SECURITY_CAIN.getCurrency()).getAmount(),
1.0E-2);
}
/** Tests the present value Method vs Calculator. */
public void presentValueMethodVsCalculatorCAIN() {
final MultiCurrencyAmount pvMethod =
METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_CAIN, MARKET);
final MultiCurrencyAmount pvCalculator = BOND_SECURITY_CAIN.accept(PVDIIC, MARKET);
assertEquals("Inflation Capital Indexed bond: present value", pvMethod, pvCalculator);
}
/** Test the present value parameter curves sensitivity. */
public void presentValueParameterCurveSensitivityCAIN() {
final MultipleCurrencyParameterSensitivity pvicsFD =
PS_PV_FDC.calculateSensitivity(
BOND_SECURITY_CAIN.getCoupon(), MARKET.getInflationProvider());
final MultipleCurrencyParameterSensitivity pvicsExact =
PSC.calculateSensitivity(
BOND_SECURITY_CAIN.getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames());
AssertSensitivityObjects.assertEquals(
"Bond capital indexed security: presentValueParameterCurveSensitivity ",
pvicsExact,
pvicsFD,
TOLERANCE_SENSI_DELTA);
}
/** 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);
}
// Index-Lined Gilt 2% Index-linked Treasury Stock 2035 - GB0031790826
private static final HolidayCalendar CALENDAR_GBP = HolidayCalendars.SAT_SUN;
private static final BusinessDayConvention BUSINESS_DAY_GBP = BusinessDayConventions.FOLLOWING;
private static final DayCount DAY_COUNT_GILT_1 = DayCounts.ACT_ACT_ISDA;
private static final boolean IS_EOM_GILT_1 = false;
private static final ZonedDateTime START_DATE_GILT_1 = DateUtils.getUTCDate(2002, 7, 11);
private static final ZonedDateTime FIRST_COUPON_DATE_GILT_1 = DateUtils.getUTCDate(2003, 1, 26);
private static final ZonedDateTime MATURITY_DATE_GILT_1 = DateUtils.getUTCDate(2035, 1, 26);
private static final YieldConvention YIELD_CONVENTION_GILT_1 = SimpleYieldConvention.UK_IL_BOND;
// YieldConventionFactory.INSTANCE.getYieldConvention("UK:BUMP/DMO METHOD"); // To check
private static final int MONTH_LAG_GILT_1 = 8;
private static final double INDEX_START_GILT_1 = 173.60; // November 2001
private static final double NOTIONAL_GILT_1 = 1.00;
private static final double REAL_RATE_GILT_1 = 0.02;
private static final Period COUPON_PERIOD_GILT_1 = Period.ofMonths(6);
private static final int SETTLEMENT_DAYS_GILT_1 = 2;
// TODO: ex-coupon 7 days
private static final BondCapitalIndexedSecurityDefinition<
CouponInflationZeroCouponMonthlyGearingDefinition>
BOND_SECURITY_GILT_1_DEFINITION =
BondCapitalIndexedSecurityDefinition.fromMonthly(
PRICE_INDEX_UKRPI,
MONTH_LAG_GILT_1,
START_DATE_GILT_1,
INDEX_START_GILT_1,
FIRST_COUPON_DATE_GILT_1,
MATURITY_DATE_GILT_1,
COUPON_PERIOD_GILT_1,
NOTIONAL_GILT_1,
REAL_RATE_GILT_1,
BUSINESS_DAY_GBP,
SETTLEMENT_DAYS_GILT_1,
CALENDAR_GBP,
DAY_COUNT_GILT_1,
YIELD_CONVENTION_GILT_1,
IS_EOM_GILT_1,
ISSUER_UK_GOVT);
private static final DoubleTimeSeries<ZonedDateTime> UK_RPI =
MulticurveProviderDiscountDataSets.ukRpiFrom2010();
private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_GILT_1 =
BOND_SECURITY_GILT_1_DEFINITION.toDerivative(PRICING_DATE, UK_RPI);
/** Tests the present value computation. */
public void presentValueGilt1() {
final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount();
marketUKGovt.setCurve(
BOND_SECURITY_GILT_1.getCurrency(),
MARKET.getCurve(BOND_SECURITY_GILT_1.getIssuerEntity()));
marketUKGovt.setCurve(PRICE_INDEX_UKRPI, MARKET.getCurve(PRICE_INDEX_UKRPI));
final MultiCurrencyAmount pvNominal =
METHOD_INFLATION_ZC_MONTHLY.presentValue(
(CouponInflationZeroCouponMonthlyGearing)
BOND_SECURITY_GILT_1.getNominal().getNthPayment(0),
marketUKGovt);
MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_GILT_1.getCurrency(), 0.0);
for (int loopcpn = 0;
loopcpn < BOND_SECURITY_GILT_1.getCoupon().getNumberOfPayments();
loopcpn++) {
pvCoupon =
pvCoupon.plus(
BOND_SECURITY_GILT_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt));
}
final MultiCurrencyAmount pvExpected = pvNominal.plus(pvCoupon);
final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET);
assertEquals(
"Inflation Capital Indexed bond: present value",
pvExpected.getAmount(BOND_SECURITY_GILT_1.getCurrency()).getAmount(),
pv.getAmount(BOND_SECURITY_GILT_1.getCurrency()).getAmount(),
1.0E-2);
}
/** 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);
}
// 2% 10-YEAR TREASURY INFLATION-PROTECTED SECURITIES (TIPS) Due January 15, 2016 - US912828ET33
private static final HolidayCalendar CALENDAR_USD = HolidayCalendars.SAT_SUN;
private static final BusinessDayConvention BUSINESS_DAY_USD = BusinessDayConventions.FOLLOWING;
private static final DayCount DAY_COUNT_TIPS_1 = DayCounts.ACT_ACT_ICMA;
private static final boolean IS_EOM_TIPS_1 = false;
private static final ZonedDateTime START_DATE_TIPS_1 = DateUtils.getUTCDate(2006, 1, 15);
private static final ZonedDateTime MATURITY_DATE_TIPS_1 = DateUtils.getUTCDate(2016, 1, 15);
private static final YieldConvention YIELD_CONVENTION_TIPS_1 = SimpleYieldConvention.US_IL_REAL;
private static final int MONTH_LAG_TIPS_1 = 3;
private static final double INDEX_START_TIPS_1 = 198.47742; // Date:
private static final double NOTIONAL_TIPS_1 = 100.00;
private static final double REAL_RATE_TIPS_1 = 0.02;
private static final Period COUPON_PERIOD_TIPS_1 = Period.ofMonths(6);
private static final int SETTLEMENT_DAYS_TIPS_1 = 1;
private static final BondCapitalIndexedSecurityDefinition<
CouponInflationZeroCouponInterpolationGearingDefinition>
BOND_SECURITY_TIPS_1_DEFINITION =
BondCapitalIndexedSecurityDefinition.fromInterpolation(
PRICE_INDEX_USCPI,
MONTH_LAG_TIPS_1,
START_DATE_TIPS_1,
INDEX_START_TIPS_1,
MATURITY_DATE_TIPS_1,
COUPON_PERIOD_TIPS_1,
NOTIONAL_TIPS_1,
REAL_RATE_TIPS_1,
BUSINESS_DAY_USD,
SETTLEMENT_DAYS_TIPS_1,
CALENDAR_USD,
DAY_COUNT_TIPS_1,
YIELD_CONVENTION_TIPS_1,
IS_EOM_TIPS_1,
ISSUER_US_GOVT);
private static final DoubleTimeSeries<ZonedDateTime> US_CPI =
MulticurveProviderDiscountDataSets.usCpiFrom2009();
private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_TIPS_1 =
BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(PRICING_DATE, US_CPI);
/** 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);
}
/** 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 computation. */
public void presentValueFromCleanPriceNominalTips1() {
final double cleanPriceNominal = 1.05;
Currency ccy = BOND_SECURITY_TIPS_1.getCurrency();
final MultiCurrencyAmount pv =
METHOD_BOND_INFLATION.presentValueFromCleanNominalPrice(
BOND_SECURITY_TIPS_1, MARKET, cleanPriceNominal);
MultiCurrencyAmount pvAccrued =
BOND_SECURITY_TIPS_1
.getSettlement()
.accept(PVDIC, MARKET)
.multipliedBy(BOND_SECURITY_TIPS_1.getAccruedInterest());
double pvPriceNominal =
cleanPriceNominal
* MARKET.getDiscountFactor(ccy, BOND_SECURITY_TIPS_1.getSettlementTime())
* NOTIONAL_TIPS_1;
double pvExpected = pvPriceNominal + pvAccrued.getAmount(ccy).getAmount();
assertEquals(
"Inflation Capital Indexed bond: present value from clean real price",
pvExpected,
pv.getAmount(ccy).getAmount(),
1.0E-6);
}
/** Tests the clean real price from the dirty real price. */
public void cleanNominalPriceFromDirtyNominalPriceTips1() {
final double dirtyNominal = 1.01;
final double cleanReal =
METHOD_BOND_INFLATION.cleanNominalPriceFromDirtyNominalPrice(
BOND_SECURITY_TIPS_1, dirtyNominal);
final double indexRatio = BOND_SECURITY_TIPS_1.getIndexRatio();
final double cleanRealExpected =
dirtyNominal - BOND_SECURITY_TIPS_1.getAccruedInterest() / NOTIONAL_TIPS_1 * indexRatio;
assertEquals(
"Inflation Capital Indexed bond: clean from dirty", cleanRealExpected, cleanReal, 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 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 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);
}
}
@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.
}
@Test(enabled = false)
/** Tests the clean, dirty and yield vs external hard-coded values. */
public void priceYieldExternalValues2() {
final double m1 = 1000000; // Notional of the external figures.
final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 17); // Spot 18-Aug-2011
final InflationIssuerProviderDiscount market =
MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
final double cleanRealPrice = 1.13 + 0.01 / 32;
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;
assertEquals(
"Inflation Capital Indexed bond: indexRatio",
indexRatioExpected,
referenceIndexComputed / INDEX_START_TIPS_1,
1.0E-5);
final double yieldExpected = -0.892152 / 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 = 1288194.66; // 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.
}
@Test(enabled = false)
/** Tests the clean, dirty and yield vs external hard-coded values. */
public void priceYieldExternalValues3() {
final double m1 = 1000000; // Notional of the external figures.
final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 18); // Spot 19-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 = 225.82348;
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 = 1.13778;
final double yieldExpected = 1.999636 / 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 = 2164.26;
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 = 1139944.26; // 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.
}
/** Test the present value parameter curves sensitivity. */
public void presentValueParameterCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvicsFD =
PS_PV_FDC.calculateSensitivity(
BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider());
final MultipleCurrencyParameterSensitivity pvicsExact =
PSC.calculateSensitivity(
BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames());
AssertSensitivityObjects.assertEquals(
"Bond capital indexed security: presentValueParameterCurveSensitivity ",
pvicsExact,
pvicsFD,
TOLERANCE_PV_DELTA);
}
/** Test the present value curves sensitivity. */
public void presentValueCurveSensitivity() {
MulticurveProviderInterface multicurveDecorated =
new MulticurveProviderDiscountingDecoratedIssuer(
MARKET.getIssuerProvider(),
BOND_SECURITY_GILT_1.getCurrency(),
BOND_SECURITY_GILT_1.getIssuerEntity());
InflationProviderInterface inflationDecorated =
new InflationProviderDecoratedMulticurve(
MARKET.getInflationProvider(), multicurveDecorated);
final MultipleCurrencyInflationSensitivity sensitivityNominal =
BOND_SECURITY_GILT_1.getNominal().accept(PVCSDC, inflationDecorated);
final MultipleCurrencyInflationSensitivity sensitivityCoupon =
BOND_SECURITY_GILT_1.getCoupon().accept(PVCSDC, inflationDecorated);
final MultipleCurrencyInflationSensitivity pvcisCalculated =
sensitivityNominal.plus(sensitivityCoupon);
final MultipleCurrencyInflationSensitivity pvcisMethod =
METHOD_BOND_INFLATION.presentValueCurveSensitivity(BOND_SECURITY_GILT_1, MARKET);
AssertSensitivityObjects.assertEquals(
"Bond capital indexed security: presentValueCurveSensitivity ",
pvcisCalculated,
pvcisMethod,
TOLERANCE_PV_DELTA);
}
}
