@Test
/** Test the price as "MarketQuote" */
public void marketQuote() {
final double priceMethod = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double marketQuote = ERU2.accept(MQHWC, HW_MULTICURVES);
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: price",
priceMethod,
marketQuote,
TOLERANCE_PRICE);
}
@Test
/** Compare the price with a price without convexity adjustment. */
public void comparisonDiscounting() {
final YieldCurveBundle curves = TestsDataSets.createCurves1();
final InterestRateFutureSecurityDiscountingMethod methodDiscounting =
InterestRateFutureSecurityDiscountingMethod.getInstance();
final double priceDiscounting = methodDiscounting.priceFromCurves(ERU2, curves);
final double priceHullWhite = METHOD.price(ERU2, curves);
assertTrue(
"Future price comparison with no convexity adjustment", priceDiscounting > priceHullWhite);
}
@Test
/** Test the par rate computed from the curves and HW parameters. Par rate = 1-price. */
public void parRate() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double parRateExpected = 1.0d - price;
final double parRateComputed = METHOD_IRFUT_HW.parRate(ERU2, HW_MULTICURVES);
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: parRate",
parRateExpected,
parRateComputed,
TOLERANCE_PRICE);
}
@Test
/** Test the price computed from the curves */
public void price() {
final YieldCurveBundle curves = TestsDataSets.createCurves1();
final double price = METHOD.price(ERU2, curves);
final YieldAndDiscountCurve forwardCurve = curves.getCurve(FORWARD_CURVE_NAME);
final double forward =
(forwardCurve.getDiscountFactor(FIXING_START_TIME)
/ forwardCurve.getDiscountFactor(FIXING_END_TIME)
- 1)
/ FIXING_ACCRUAL;
final double factor = MODEL.futureConvexityFactor(ERU2, MODEL_PARAMETERS);
final double expectedPrice = 1.0 - factor * forward + (1 - factor) / FIXING_ACCRUAL;
assertEquals("Future price from curves in Hull-White one factor model", expectedPrice, price);
}
@Test
/** Test the convexity adjustment */
public void convexityAdjustment() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double forward =
MULTICURVES.getSimplyCompoundForwardRate(
EURIBOR3M,
ERU2.getFixingPeriodStartTime(),
ERU2.getFixingPeriodEndTime(),
ERU2.getFixingPeriodAccrualFactor());
final double convexityAdjustment = METHOD_IRFUT_HW.convexityAdjustment(ERU2, HW_MULTICURVES);
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: convexity adjustment",
price - (1.0d - forward),
convexityAdjustment,
TOLERANCE_PRICE);
final double caCalculator = ERU2.accept(CAHWC, HW_MULTICURVES);
assertEquals(
"DeliverableSwapFuturesSecurityDefinition: convexity adjustment",
caCalculator,
convexityAdjustment,
TOLERANCE_PRICE);
}
@Test
/** Test the price computed from the curves and HW parameters. */
public void price() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double forward =
MULTICURVES.getSimplyCompoundForwardRate(
EURIBOR3M,
ERU2.getFixingPeriodStartTime(),
ERU2.getFixingPeriodEndTime(),
ERU2.getFixingPeriodAccrualFactor());
final double factor =
MODEL.futuresConvexityFactor(
MODEL_PARAMETERS,
ERU2.getTradingLastTime(),
ERU2.getFixingPeriodStartTime(),
ERU2.getFixingPeriodEndTime());
final double expectedPrice =
1.0 - factor * forward + (1 - factor) / ERU2.getFixingPeriodAccrualFactor();
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: price",
expectedPrice,
price,
TOLERANCE_PRICE);
}
