// -------------------------------------------------------------------------
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);
}
// -----------------------------------------------------------------------
// create a vanilla fixed vs libor 3m swap
private static Trade createVanillaFixedVsLibor3mSwap() {
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg =
RateCalculationSwapLeg.builder()
.payReceive(PayReceive.PAY)
.accrualSchedule(
PeriodicSchedule.builder()
.startDate(LocalDate.of(2014, 9, 12))
.endDate(LocalDate.of(2021, 9, 12))
.frequency(Frequency.P6M)
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY))
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(Frequency.P6M)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(notional)
.calculation(FixedRateCalculation.of(0.015, DayCounts.THIRTY_U_360))
.build();
SwapLeg receiveLeg =
RateCalculationSwapLeg.builder()
.payReceive(PayReceive.RECEIVE)
.accrualSchedule(
PeriodicSchedule.builder()
.startDate(LocalDate.of(2014, 9, 12))
.endDate(LocalDate.of(2021, 9, 12))
.frequency(Frequency.P3M)
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY))
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(Frequency.P3M)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(notional)
.calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M))
.build();
return SwapTrade.builder()
.product(Swap.of(payLeg, receiveLeg))
.info(
TradeInfo.builder()
.addAttribute(TradeAttributeType.DESCRIPTION, "Fixed vs Libor 3m")
.counterparty(StandardId.of("example", "A"))
.settlementDate(LocalDate.of(2014, 9, 12))
.build())
.build();
}
// -------------------------------------------------------------------------
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);
}
public void test_usdLibor3m() {
IborIndex test = IborIndex.of("USD-LIBOR-3M");
assertEquals(test.getCurrency(), USD);
assertEquals(test.getName(), "USD-LIBOR-3M");
assertEquals(test.getTenor(), TENOR_3M);
assertEquals(test.getFixingCalendar(), GBLO);
assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, GBLO));
assertEquals(
test.getEffectiveDateOffset(),
DaysAdjustment.ofBusinessDays(
2, GBLO, BusinessDayAdjustment.of(FOLLOWING, GBLO.combineWith(USNY))));
assertEquals(
test.getMaturityDateOffset(),
TenorAdjustment.ofLastBusinessDay(
TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO.combineWith(USNY))));
assertEquals(test.getDayCount(), ACT_360);
assertEquals(test.toString(), "USD-LIBOR-3M");
}
public void test_gbpLibor3m() {
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getName(), "GBP-LIBOR-3M");
assertEquals(test.getTenor(), TENOR_3M);
assertEquals(test.getFixingCalendar(), GBLO);
assertEquals(
test.getFixingDateOffset(),
DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO)));
assertEquals(
test.getEffectiveDateOffset(),
DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, GBLO)));
assertEquals(
test.getMaturityDateOffset(),
TenorAdjustment.ofLastBusinessDay(
TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)));
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.toString(), "GBP-LIBOR-3M");
}
public void test_of_indexOnly() {
ImmutableIborFixingDepositConvention test =
ImmutableIborFixingDepositConvention.of(GBP_LIBOR_6M);
assertEquals(
test.getBusinessDayAdjustment(),
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBP_LIBOR_6M.getFixingCalendar()));
assertEquals(test.getCurrency(), GBP_LIBOR_6M.getCurrency());
assertEquals(test.getDayCount(), GBP_LIBOR_6M.getDayCount());
assertEquals(test.getFixingDateOffset(), GBP_LIBOR_6M.getFixingDateOffset());
assertEquals(test.getIndex(), GBP_LIBOR_6M);
assertEquals(test.getSpotDateOffset(), GBP_LIBOR_6M.getEffectiveDateOffset());
}
public void test_euibor3m() {
IborIndex test = IborIndex.of("EUR-EURIBOR-3M");
assertEquals(test.getCurrency(), EUR);
assertEquals(test.getName(), "EUR-EURIBOR-3M");
assertEquals(test.getTenor(), TENOR_3M);
assertEquals(test.getFixingCalendar(), EUTA);
assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, EUTA));
assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, EUTA));
assertEquals(
test.getMaturityDateOffset(),
TenorAdjustment.ofLastBusinessDay(
TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA)));
assertEquals(test.getDayCount(), ACT_360);
assertEquals(test.toString(), "EUR-EURIBOR-3M");
}
public void test_expand() {
ImmutableIborFixingDepositConvention base =
ImmutableIborFixingDepositConvention.of(EUR_LIBOR_3M);
IborFixingDepositConvention test = base.expand();
IborFixingDepositConvention expected =
ImmutableIborFixingDepositConvention.builder()
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUR_LIBOR_3M.getFixingCalendar()))
.currency(EUR_LIBOR_3M.getCurrency())
.dayCount(EUR_LIBOR_3M.getDayCount())
.fixingDateOffset(EUR_LIBOR_3M.getFixingDateOffset())
.index(EUR_LIBOR_3M)
.name(EUR_LIBOR_3M.getName())
.spotDateOffset(EUR_LIBOR_3M.getEffectiveDateOffset())
.build();
assertEquals(test.getName(), EUR_LIBOR_3M.getName());
assertEquals(test, expected);
}
// -------------------------------------------------------------------------
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);
}
/** Test {@link TermDepositTrade}. */
@Test
public class TermDepositTradeTest {
private static final TermDeposit DEPOSIT =
TermDeposit.builder()
.buySell(BuySell.BUY)
.currency(GBP)
.notional(100000000d)
.startDate(LocalDate.of(2015, 1, 19))
.endDate(LocalDate.of(2015, 7, 19))
.businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO))
.dayCount(ACT_365F)
.rate(0.0250)
.build();
private static final TradeInfo TRADE_INFO =
TradeInfo.builder().tradeDate(date(2014, 6, 30)).build();
// -------------------------------------------------------------------------
public void test_builder() {
TermDepositTrade test =
TermDepositTrade.builder().product(DEPOSIT).tradeInfo(TRADE_INFO).build();
assertEquals(test.getProduct(), DEPOSIT);
assertEquals(test.getTradeInfo(), TRADE_INFO);
}
// -------------------------------------------------------------------------
public void coverage() {
TermDepositTrade test1 =
TermDepositTrade.builder().product(DEPOSIT).tradeInfo(TRADE_INFO).build();
coverImmutableBean(test1);
TermDepositTrade test2 = TermDepositTrade.builder().product(DEPOSIT).build();
coverBeanEquals(test1, test2);
}
public void test_serialization() {
TermDepositTrade test =
TermDepositTrade.builder().product(DEPOSIT).tradeInfo(TRADE_INFO).build();
assertSerialization(test);
}
}
/** Test {@link IborFixingDepositConvention}. */
@Test
public class IborFixingDepositConventionTest {
private static final BusinessDayAdjustment BDA_MOD_FOLLOW =
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA);
private static final DaysAdjustment SPOT_ADJ = DaysAdjustment.ofBusinessDays(2, EUTA);
private static final DaysAdjustment FIXING_ADJ =
DaysAdjustment.ofBusinessDays(-2, EUTA, BusinessDayAdjustment.of(PRECEDING, GBLO));
public void test_builder_full() {
ImmutableIborFixingDepositConvention test =
ImmutableIborFixingDepositConvention.builder()
.businessDayAdjustment(BDA_MOD_FOLLOW)
.currency(EUR)
.dayCount(ACT_365F)
.fixingDateOffset(FIXING_ADJ)
.index(EUR_LIBOR_3M)
.spotDateOffset(SPOT_ADJ)
.build();
assertEquals(test.getBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getCurrency(), EUR);
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.getFixingDateOffset(), FIXING_ADJ);
assertEquals(test.getIndex(), EUR_LIBOR_3M);
assertEquals(test.getName(), EUR_LIBOR_3M.getName());
assertEquals(test.getSpotDateOffset(), SPOT_ADJ);
}
public void test_builder_indexOnly() {
ImmutableIborFixingDepositConvention test =
ImmutableIborFixingDepositConvention.builder().index(GBP_LIBOR_6M).build();
assertEquals(
test.getBusinessDayAdjustment(),
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBP_LIBOR_6M.getFixingCalendar()));
assertEquals(test.getCurrency(), GBP_LIBOR_6M.getCurrency());
assertEquals(test.getDayCount(), GBP_LIBOR_6M.getDayCount());
assertEquals(test.getFixingDateOffset(), GBP_LIBOR_6M.getFixingDateOffset());
assertEquals(test.getIndex(), GBP_LIBOR_6M);
assertEquals(test.getSpotDateOffset(), GBP_LIBOR_6M.getEffectiveDateOffset());
}
public void test_of_indexOnly() {
ImmutableIborFixingDepositConvention test =
ImmutableIborFixingDepositConvention.of(GBP_LIBOR_6M);
assertEquals(
test.getBusinessDayAdjustment(),
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBP_LIBOR_6M.getFixingCalendar()));
assertEquals(test.getCurrency(), GBP_LIBOR_6M.getCurrency());
assertEquals(test.getDayCount(), GBP_LIBOR_6M.getDayCount());
assertEquals(test.getFixingDateOffset(), GBP_LIBOR_6M.getFixingDateOffset());
assertEquals(test.getIndex(), GBP_LIBOR_6M);
assertEquals(test.getSpotDateOffset(), GBP_LIBOR_6M.getEffectiveDateOffset());
}
public void test_expand() {
ImmutableIborFixingDepositConvention base =
ImmutableIborFixingDepositConvention.of(EUR_LIBOR_3M);
IborFixingDepositConvention test = base.expand();
IborFixingDepositConvention expected =
ImmutableIborFixingDepositConvention.builder()
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUR_LIBOR_3M.getFixingCalendar()))
.currency(EUR_LIBOR_3M.getCurrency())
.dayCount(EUR_LIBOR_3M.getDayCount())
.fixingDateOffset(EUR_LIBOR_3M.getFixingDateOffset())
.index(EUR_LIBOR_3M)
.name(EUR_LIBOR_3M.getName())
.spotDateOffset(EUR_LIBOR_3M.getEffectiveDateOffset())
.build();
assertEquals(test.getName(), EUR_LIBOR_3M.getName());
assertEquals(test, expected);
}
public void test_toTemplate() {
IborFixingDepositConvention convention = IborFixingDepositConvention.of(GBP_LIBOR_6M);
IborFixingDepositTemplate template = convention.toTemplate();
assertEquals(template.getConvention(), convention);
assertEquals(template.getDepositPeriod(), GBP_LIBOR_6M.getTenor().getPeriod());
}
public void test_toTrade() {
IborFixingDepositConvention convention =
ImmutableIborFixingDepositConvention.builder()
.businessDayAdjustment(BDA_MOD_FOLLOW)
.currency(EUR)
.dayCount(ACT_365F)
.fixingDateOffset(FIXING_ADJ)
.index(EUR_LIBOR_3M)
.spotDateOffset(SPOT_ADJ)
.build();
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
Period depositPeriod = Period.ofMonths(3);
double notional = 1d;
double fixedRate = 0.045;
IborFixingDepositTrade trade =
convention.toTrade(tradeDate, depositPeriod, BUY, notional, fixedRate);
LocalDate startExpected = SPOT_ADJ.adjust(tradeDate);
LocalDate endExpected = startExpected.plus(depositPeriod);
IborFixingDeposit productExpected =
IborFixingDeposit.builder()
.businessDayAdjustment(BDA_MOD_FOLLOW)
.buySell(BUY)
.currency(EUR)
.dayCount(ACT_365F)
.startDate(startExpected)
.endDate(endExpected)
.fixedRate(fixedRate)
.fixingDateOffset(FIXING_ADJ)
.index(EUR_LIBOR_3M)
.notional(notional)
.build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(tradeDate).build();
assertEquals(trade.getProduct(), productExpected);
assertEquals(trade.getTradeInfo(), tradeInfoExpected);
}
// -------------------------------------------------------------------------
@DataProvider(name = "name")
static Object[][] data_name() {
return new Object[][] {
{ImmutableIborFixingDepositConvention.of(GBP_LIBOR_3M), "GBP-LIBOR-3M"},
{ImmutableIborFixingDepositConvention.of(USD_LIBOR_3M), "USD-LIBOR-3M"},
};
}
@Test(dataProvider = "name")
public void test_name(IborFixingDepositConvention convention, String name) {
assertEquals(convention.getName(), name);
}
@Test(dataProvider = "name")
public void test_toString(IborFixingDepositConvention convention, String name) {
assertEquals(convention.toString(), name);
}
@Test(dataProvider = "name")
public void test_of_lookup(IborFixingDepositConvention convention, String name) {
assertEquals(IborFixingDepositConvention.of(name), convention);
}
@Test(dataProvider = "name")
public void test_extendedEnum(IborFixingDepositConvention convention, String name) {
IborFixingDepositConvention.of(name); // ensures map is populated
ImmutableMap<String, IborFixingDepositConvention> map =
IborFixingDepositConvention.extendedEnum().lookupAll();
assertEquals(map.get(name), convention);
}
public void test_of_lookup_notFound() {
assertThrowsIllegalArg(() -> IborFixingDepositConvention.of("Rubbish"));
}
public void test_of_lookup_null() {
assertThrowsIllegalArg(() -> IborFixingDepositConvention.of((String) null));
}
// -------------------------------------------------------------------------
public void coverage() {
ImmutableIborFixingDepositConvention test1 =
ImmutableIborFixingDepositConvention.of(GBP_LIBOR_6M);
coverImmutableBean(test1);
ImmutableIborFixingDepositConvention test2 =
ImmutableIborFixingDepositConvention.of(EUR_LIBOR_3M).toBuilder().name("Foo").build();
coverBeanEquals(test1, test2);
coverPrivateConstructor(IborFixingDepositConventions.class);
coverPrivateConstructor(IborFixingDepositConventionLookup.class);
}
public void test_serialization() {
ImmutableIborFixingDepositConvention test =
ImmutableIborFixingDepositConvention.of(GBP_LIBOR_6M);
assertSerialization(test);
}
}
/** Helper methods for testing curves. */
final class CurveTestUtils {
private static final String TEST_SCHEME = "test";
private static final BusinessDayAdjustment BDA_FOLLOW =
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendars.GBLO);
private static final IborRateSwapLegConvention FLOATING_CONVENTION =
IborRateSwapLegConvention.of(IborIndices.USD_LIBOR_3M);
private static final FixedRateSwapLegConvention FIXED_CONVENTION =
FixedRateSwapLegConvention.of(Currency.USD, DayCounts.ACT_360, Frequency.P6M, BDA_FOLLOW);
private static final FixedIborSwapConvention SWAP_CONVENTION =
ImmutableFixedIborSwapConvention.of("USD-Swap", FIXED_CONVENTION, FLOATING_CONVENTION);
private CurveTestUtils() {}
static InterpolatedNodalCurveDefinition fraCurveDefinition() {
String fra1x4 = "fra1x4";
String fra2x5 = "fra2x5";
String fra3x6 = "fra3x6";
String fra6x9 = "fra6x9";
String fra9x12 = "fra9x12";
String fra12x15 = "fra12x15";
String fra18x21 = "fra18x21";
FraCurveNode fra1x4Node = fraNode(1, fra1x4);
FraCurveNode fra2x5Node = fraNode(2, fra2x5);
FraCurveNode fra3x6Node = fraNode(3, fra3x6);
FraCurveNode fra6x9Node = fraNode(6, fra6x9);
FraCurveNode fra9x12Node = fraNode(9, fra9x12);
FraCurveNode fra12x15Node = fraNode(12, fra12x15);
FraCurveNode fra18x21Node = fraNode(18, fra18x21);
CurveName curveName = CurveName.of("FRA Curve");
List<CurveNode> nodes =
ImmutableList.of(
fra1x4Node,
fra2x5Node,
fra3x6Node,
fra6x9Node,
fra9x12Node,
fra12x15Node,
fra18x21Node);
return InterpolatedNodalCurveDefinition.builder()
.name(curveName)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(DayCounts.ACT_ACT_ISDA)
.nodes(nodes)
.interpolator(CurveInterpolators.DOUBLE_QUADRATIC)
.extrapolatorLeft(CurveExtrapolators.FLAT)
.extrapolatorRight(CurveExtrapolators.FLAT)
.build();
}
static InterpolatedNodalCurveDefinition fraSwapCurveDefinition() {
String fra3x6 = "fra3x6";
String fra6x9 = "fra6x9";
String swap1y = "swap1y";
String swap2y = "swap2y";
String swap3y = "swap3y";
FraCurveNode fra3x6Node = CurveTestUtils.fraNode(3, fra3x6);
FraCurveNode fra6x9Node = CurveTestUtils.fraNode(6, fra6x9);
FixedIborSwapCurveNode swap1yNode = fixedIborSwapNode(Tenor.TENOR_1Y, swap1y);
FixedIborSwapCurveNode swap2yNode = fixedIborSwapNode(Tenor.TENOR_2Y, swap2y);
FixedIborSwapCurveNode swap3yNode = fixedIborSwapNode(Tenor.TENOR_3Y, swap3y);
CurveName curveName = CurveName.of("FRA and Fixed-Float Swap Curve");
List<CurveNode> nodes =
ImmutableList.of(fra3x6Node, fra6x9Node, swap1yNode, swap2yNode, swap3yNode);
return InterpolatedNodalCurveDefinition.builder()
.name(curveName)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(DayCounts.ACT_ACT_ISDA)
.nodes(nodes)
.interpolator(CurveInterpolators.DOUBLE_QUADRATIC)
.extrapolatorLeft(CurveExtrapolators.FLAT)
.extrapolatorRight(CurveExtrapolators.FLAT)
.build();
}
static FraCurveNode fraNode(int startMonths, String id) {
Period periodToStart = Period.ofMonths(startMonths);
QuoteKey quoteKey = QuoteKey.of(StandardId.of(TEST_SCHEME, id));
return FraCurveNode.of(FraTemplate.of(periodToStart, IborIndices.USD_LIBOR_3M), quoteKey);
}
static FixedIborSwapCurveNode fixedIborSwapNode(Tenor tenor, String id) {
QuoteKey quoteKey = QuoteKey.of(StandardId.of(TEST_SCHEME, id));
FixedIborSwapTemplate template = FixedIborSwapTemplate.of(Period.ZERO, tenor, SWAP_CONVENTION);
return FixedIborSwapCurveNode.of(template, quoteKey);
}
static ObservableId id(String nodeName) {
return QuoteId.of(StandardId.of(TEST_SCHEME, nodeName));
}
static ObservableId id(CurveNode node) {
if (node instanceof FraCurveNode) {
return ((FraCurveNode) node).getRateKey().toObservableId(MarketDataFeed.NONE);
} else if (node instanceof FixedIborSwapCurveNode) {
return ((FixedIborSwapCurveNode) node).getRateKey().toObservableId(MarketDataFeed.NONE);
} else {
throw new IllegalArgumentException("Unsupported node type " + node.getClass().getName());
}
}
}
/** 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 IborIborSwapConvention}. */
@Test
public class IborIborSwapConventionTest {
private static final double NOTIONAL_2M = 2_000_000d;
private static final BusinessDayAdjustment BDA_FOLLOW = BusinessDayAdjustment.of(FOLLOWING, GBLO);
private static final DaysAdjustment NEXT_SAME_BUS_DAY =
DaysAdjustment.ofCalendarDays(0, BDA_FOLLOW);
private static final DaysAdjustment PLUS_ONE_DAY = DaysAdjustment.ofBusinessDays(1, GBLO);
private static final String NAME = "USD-Swap";
private static final IborRateSwapLegConvention IBOR1M =
IborRateSwapLegConvention.of(USD_LIBOR_1M);
private static final IborRateSwapLegConvention IBOR3M =
IborRateSwapLegConvention.of(USD_LIBOR_3M);
private static final IborRateSwapLegConvention IBOR6M =
IborRateSwapLegConvention.of(USD_LIBOR_6M);
// -------------------------------------------------------------------------
public void test_of() {
ImmutableIborIborSwapConvention test = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M);
assertEquals(test.getName(), NAME);
assertEquals(test.getSpreadLeg(), IBOR3M);
assertEquals(test.getFlatLeg(), IBOR6M);
assertEquals(test.getSpotDateOffset(), USD_LIBOR_3M.getEffectiveDateOffset());
}
// -------------------------------------------------------------------------
public void test_builder_notEnoughData() {
assertThrowsIllegalArg(
() -> ImmutableIborIborSwapConvention.builder().spotDateOffset(NEXT_SAME_BUS_DAY).build());
}
// -------------------------------------------------------------------------
public void test_expand() {
ImmutableIborIborSwapConvention test =
ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M).expand();
assertEquals(test.getName(), NAME);
assertEquals(test.getSpreadLeg(), IBOR3M.expand());
assertEquals(test.getFlatLeg(), IBOR6M.expand());
assertEquals(test.getSpotDateOffset(), USD_LIBOR_3M.getEffectiveDateOffset());
}
public void test_expandAllSpecified() {
ImmutableIborIborSwapConvention test =
ImmutableIborIborSwapConvention.builder()
.name(NAME)
.spreadLeg(IBOR3M)
.flatLeg(IBOR6M)
.spotDateOffset(PLUS_ONE_DAY)
.build()
.expand();
assertEquals(test.getSpreadLeg(), IBOR3M.expand());
assertEquals(test.getFlatLeg(), IBOR6M.expand());
assertEquals(test.getSpotDateOffset(), PLUS_ONE_DAY);
}
// -------------------------------------------------------------------------
public void test_toTrade_tenor() {
IborIborSwapConvention base = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 5, 7);
LocalDate endDate = date(2025, 5, 7);
SwapTrade test = base.toTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d);
Swap expected =
Swap.of(
IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d),
IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.getTradeInfo().getTradeDate(), Optional.of(tradeDate));
assertEquals(test.getProduct(), expected);
}
public void test_toTrade_periodTenor() {
IborIborSwapConvention base = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 7);
LocalDate endDate = date(2025, 8, 7);
SwapTrade test =
base.toTrade(tradeDate, Period.ofMonths(3), TENOR_10Y, BUY, NOTIONAL_2M, 0.25d);
Swap expected =
Swap.of(
IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d),
IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.getTradeInfo().getTradeDate(), Optional.of(tradeDate));
assertEquals(test.getProduct(), expected);
}
public void test_toTrade_dates() {
IborIborSwapConvention base = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M);
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(
IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d),
IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.getTradeInfo().getTradeDate(), Optional.of(tradeDate));
assertEquals(test.getProduct(), expected);
}
// -------------------------------------------------------------------------
@DataProvider(name = "name")
static Object[][] data_name() {
return new Object[][] {
{IborIborSwapConventions.USD_LIBOR_1M_LIBOR_3M, "USD-LIBOR-1M-LIBOR-3M"},
{IborIborSwapConventions.USD_LIBOR_3M_LIBOR_6M, "USD-LIBOR-3M-LIBOR-6M"},
};
}
@Test(dataProvider = "name")
public void test_name(IborIborSwapConvention convention, String name) {
assertEquals(convention.getName(), name);
}
@Test(dataProvider = "name")
public void test_toString(IborIborSwapConvention convention, String name) {
assertEquals(convention.toString(), name);
}
@Test(dataProvider = "name")
public void test_of_lookup(IborIborSwapConvention convention, String name) {
assertEquals(IborIborSwapConvention.of(name), convention);
}
@Test(dataProvider = "name")
public void test_extendedEnum(IborIborSwapConvention convention, String name) {
IborIborSwapConvention.of(name); // ensures map is populated
ImmutableMap<String, IborIborSwapConvention> map =
IborIborSwapConvention.extendedEnum().lookupAll();
assertEquals(map.get(name), convention);
}
public void test_of_lookup_notFound() {
assertThrowsIllegalArg(() -> IborIborSwapConvention.of("Rubbish"));
}
public void test_of_lookup_null() {
assertThrowsIllegalArg(() -> IborIborSwapConvention.of((String) null));
}
// -------------------------------------------------------------------------
public void coverage() {
ImmutableIborIborSwapConvention test = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M);
coverImmutableBean(test);
ImmutableIborIborSwapConvention test2 =
ImmutableIborIborSwapConvention.of(NAME, IBOR1M, IBOR6M);
coverBeanEquals(test, test2);
ImmutableIborIborSwapConvention test3 =
ImmutableIborIborSwapConvention.of(NAME, IBOR1M, IBOR3M);
coverBeanEquals(test, test3);
}
public void test_serialization() {
IborIborSwapConvention test = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M);
assertSerialization(test);
}
}
/** Test {@link OvernightRateSwapLegConvention}. */
@Test
public class OvernightRateSwapLegConventionTest {
private static final double NOTIONAL_2M = 2_000_000d;
private static final BusinessDayAdjustment BDA_FOLLOW = BusinessDayAdjustment.of(FOLLOWING, GBLO);
private static final BusinessDayAdjustment BDA_MOD_FOLLOW =
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO);
private static final DaysAdjustment PLUS_TWO_DAYS = DaysAdjustment.ofBusinessDays(2, GBLO);
// -------------------------------------------------------------------------
public void test_of() {
OvernightRateSwapLegConvention test = OvernightRateSwapLegConvention.of(GBP_SONIA, P12M, 2);
assertEquals(test.getIndex(), GBP_SONIA);
assertEquals(test.getAccrualMethod(), COMPOUNDED);
assertEquals(test.getRateCutOffDays(), 0);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.getAccrualFrequency(), P12M);
assertEquals(test.getAccrualBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStartDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getEndDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStubConvention(), StubConvention.SHORT_INITIAL);
assertEquals(test.getRollConvention(), RollConventions.NONE);
assertEquals(test.getPaymentFrequency(), P12M);
assertEquals(
test.getPaymentDateOffset(),
DaysAdjustment.ofBusinessDays(2, GBP_SONIA.getFixingCalendar()));
assertEquals(test.getCompoundingMethod(), CompoundingMethod.NONE);
}
public void test_of_method() {
OvernightRateSwapLegConvention test =
OvernightRateSwapLegConvention.of(GBP_SONIA, P12M, 2, AVERAGED);
assertEquals(test.getIndex(), GBP_SONIA);
assertEquals(test.getAccrualMethod(), AVERAGED);
assertEquals(test.getRateCutOffDays(), 0);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.getAccrualFrequency(), P12M);
assertEquals(test.getAccrualBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStartDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getEndDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStubConvention(), StubConvention.SHORT_INITIAL);
assertEquals(test.getRollConvention(), RollConventions.NONE);
assertEquals(test.getPaymentFrequency(), P12M);
assertEquals(
test.getPaymentDateOffset(),
DaysAdjustment.ofBusinessDays(2, GBP_SONIA.getFixingCalendar()));
assertEquals(test.getCompoundingMethod(), CompoundingMethod.NONE);
}
// -------------------------------------------------------------------------
public void test_builder_notEnoughData() {
assertThrowsIllegalArg(() -> OvernightRateSwapLegConvention.builder().build());
}
// -------------------------------------------------------------------------
public void test_expand() {
OvernightRateSwapLegConvention test =
OvernightRateSwapLegConvention.of(GBP_SONIA, P12M, 2).expand();
assertEquals(test.getIndex(), GBP_SONIA);
assertEquals(test.getAccrualMethod(), COMPOUNDED);
assertEquals(test.getRateCutOffDays(), 0);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.getAccrualFrequency(), P12M);
assertEquals(test.getAccrualBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStartDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getEndDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStubConvention(), StubConvention.SHORT_INITIAL);
assertEquals(test.getRollConvention(), RollConventions.NONE);
assertEquals(test.getPaymentFrequency(), P12M);
assertEquals(
test.getPaymentDateOffset(),
DaysAdjustment.ofBusinessDays(2, GBP_SONIA.getFixingCalendar()));
assertEquals(test.getCompoundingMethod(), CompoundingMethod.NONE);
}
public void test_expandAllSpecified() {
OvernightRateSwapLegConvention test =
OvernightRateSwapLegConvention.builder()
.index(GBP_SONIA)
.accrualMethod(COMPOUNDED)
.rateCutOffDays(2)
.currency(USD)
.dayCount(ACT_360)
.accrualFrequency(P6M)
.accrualBusinessDayAdjustment(BDA_FOLLOW)
.startDateBusinessDayAdjustment(BDA_FOLLOW)
.endDateBusinessDayAdjustment(BDA_FOLLOW)
.stubConvention(LONG_INITIAL)
.rollConvention(RollConventions.EOM)
.paymentFrequency(P6M)
.paymentDateOffset(PLUS_TWO_DAYS)
.compoundingMethod(CompoundingMethod.FLAT)
.build();
assertEquals(test.getIndex(), GBP_SONIA);
assertEquals(test.getAccrualMethod(), COMPOUNDED);
assertEquals(test.getRateCutOffDays(), 2);
assertEquals(test.getCurrency(), USD);
assertEquals(test.getDayCount(), ACT_360);
assertEquals(test.getAccrualFrequency(), P6M);
assertEquals(test.getAccrualBusinessDayAdjustment(), BDA_FOLLOW);
assertEquals(test.getStartDateBusinessDayAdjustment(), BDA_FOLLOW);
assertEquals(test.getEndDateBusinessDayAdjustment(), BDA_FOLLOW);
assertEquals(test.getStubConvention(), StubConvention.LONG_INITIAL);
assertEquals(test.getRollConvention(), RollConventions.EOM);
assertEquals(test.getPaymentFrequency(), P6M);
assertEquals(test.getPaymentDateOffset(), PLUS_TWO_DAYS);
assertEquals(test.getCompoundingMethod(), CompoundingMethod.FLAT);
}
// -------------------------------------------------------------------------
public void test_toLeg() {
OvernightRateSwapLegConvention base =
OvernightRateSwapLegConvention.builder().index(GBP_SONIA).accrualMethod(COMPOUNDED).build();
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = base.toLeg(startDate, endDate, PAY, NOTIONAL_2M);
RateCalculationSwapLeg expected =
RateCalculationSwapLeg.builder()
.payReceive(PAY)
.accrualSchedule(
PeriodicSchedule.builder()
.frequency(TERM)
.startDate(startDate)
.endDate(endDate)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(TERM)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M))
.calculation(OvernightRateCalculation.of(GBP_SONIA))
.build();
assertEquals(test, expected);
}
public void test_toLeg_withSpread() {
OvernightRateSwapLegConvention base =
OvernightRateSwapLegConvention.builder().index(GBP_SONIA).accrualMethod(AVERAGED).build();
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = base.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d);
RateCalculationSwapLeg expected =
RateCalculationSwapLeg.builder()
.payReceive(PAY)
.accrualSchedule(
PeriodicSchedule.builder()
.frequency(TERM)
.startDate(startDate)
.endDate(endDate)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(TERM)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M))
.calculation(
OvernightRateCalculation.builder()
.index(GBP_SONIA)
.accrualMethod(AVERAGED)
.spread(ValueSchedule.of(0.25d))
.build())
.build();
assertEquals(test, expected);
}
// -------------------------------------------------------------------------
public void coverage() {
OvernightRateSwapLegConvention test =
OvernightRateSwapLegConvention.builder().index(GBP_SONIA).accrualMethod(COMPOUNDED).build();
coverImmutableBean(test);
OvernightRateSwapLegConvention test2 =
OvernightRateSwapLegConvention.builder()
.index(USD_FED_FUND)
.accrualMethod(AVERAGED)
.rateCutOffDays(2)
.currency(USD)
.dayCount(ACT_360)
.accrualFrequency(P6M)
.accrualBusinessDayAdjustment(BDA_FOLLOW)
.startDateBusinessDayAdjustment(BDA_FOLLOW)
.endDateBusinessDayAdjustment(BDA_FOLLOW)
.stubConvention(LONG_INITIAL)
.rollConvention(RollConventions.EOM)
.paymentFrequency(P6M)
.paymentDateOffset(PLUS_TWO_DAYS)
.build();
coverBeanEquals(test, test2);
}
public void test_serialization() {
OvernightRateSwapLegConvention test = OvernightRateSwapLegConvention.of(GBP_SONIA, P12M, 2);
assertSerialization(test);
}
}
/** 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);
}
}
/** Black volatility data sets for testing. */
public class SwaptionNormalVolatilityDataSets {
private static final double BP1 = 1.0E-4;
private static final Interpolator1D LINEAR_FLAT =
CombinedInterpolatorExtrapolator.of(
CurveInterpolators.LINEAR.getName(),
CurveExtrapolators.FLAT.getName(),
CurveExtrapolators.FLAT.getName());
private static final GridInterpolator2D INTERPOLATOR_2D =
new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
// ===== Standard figures for testing =====
private static final DoubleArray TIMES =
DoubleArray.of(
0.50, 1.00, 5.00, 10.0, 0.50, 1.00, 5.00, 10.0, 0.50, 1.00, 5.00, 10.0, 0.50, 1.00, 5.00,
10.0, 0.50, 1.00, 5.00, 10.0);
private static final DoubleArray TENOR =
DoubleArray.of(
1.0, 1.0, 1.0, 1.0, 2.0, 2.0, 2.0, 2.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0, 10.0, 30.0,
30.0, 30.0, 30.0);
private static final DoubleArray NORMAL_VOL =
DoubleArray.of(
0.010, 0.011, 0.012, 0.013, 0.011, 0.012, 0.013, 0.014, 0.012, 0.013, 0.014, 0.015, 0.013,
0.014, 0.015, 0.016, 0.014, 0.015, 0.016, 0.017);
private static final SurfaceMetadata METADATA =
DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.VOLATILITY)
.surfaceName(SurfaceName.of("Normal Vol"))
.build();
private static final NodalSurface SURFACE_STD =
InterpolatedNodalSurface.of(METADATA, TIMES, TENOR, NORMAL_VOL, INTERPOLATOR_2D);
private static final LocalDate VALUATION_DATE_STD = RatesProviderDataSets.VAL_DATE_2014_01_22;
private static final LocalTime VALUATION_TIME_STD = LocalTime.of(13, 45);
private static final ZoneId VALUATION_ZONE_STD = ZoneId.of("Europe/London");
private static final BusinessDayAdjustment MOD_FOL_US =
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, USNY);
private static final FixedRateSwapLegConvention USD_FIXED_1Y_30U360 =
FixedRateSwapLegConvention.of(USD, THIRTY_U_360, Frequency.P6M, MOD_FOL_US);
private static final IborRateSwapLegConvention USD_IBOR_LIBOR3M =
IborRateSwapLegConvention.of(USD_LIBOR_3M);
public static final FixedIborSwapConvention USD_1Y_LIBOR3M =
ImmutableFixedIborSwapConvention.of("USD-Swap", USD_FIXED_1Y_30U360, USD_IBOR_LIBOR3M);
public static final NormalVolatilityExpiryTenorSwaptionProvider
NORMAL_VOL_SWAPTION_PROVIDER_USD_STD =
NormalVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_STD,
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
VALUATION_DATE_STD,
VALUATION_TIME_STD,
VALUATION_ZONE_STD);
/**
* Returns the swaption normal volatility surface shifted by a given amount. The shift is
* parallel.
*
* @param shift the shift
* @return the swaption normal volatility surface
*/
public static NormalVolatilityExpiryTenorSwaptionProvider normalVolSwaptionProviderUsdStsShifted(
double shift) {
DoubleArray volShifted = NORMAL_VOL.map(v -> v + shift);
return NormalVolatilityExpiryTenorSwaptionProvider.of(
InterpolatedNodalSurface.of(METADATA, TIMES, TENOR, volShifted, INTERPOLATOR_2D),
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
VALUATION_DATE_STD,
VALUATION_TIME_STD,
VALUATION_ZONE_STD);
}
public static NormalVolatilityExpiryTenorSwaptionProvider normalVolSwaptionProviderUsdStd(
LocalDate valuationDate) {
return NormalVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_STD,
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
valuationDate,
VALUATION_TIME_STD,
VALUATION_ZONE_STD);
}
// ===== Flat volatilities for testing =====
private static final DoubleArray TIMES_FLAT = DoubleArray.of(0.0, 100.0, 0.0, 100.0);
private static final DoubleArray TENOR_FLAT = DoubleArray.of(0.0, 0.0, 30.0, 30.0);
private static final DoubleArray NORMAL_VOL_FLAT = DoubleArray.of(0.01, 0.01, 0.01, 0.01);
private static final InterpolatedNodalSurface SURFACE_FLAT =
InterpolatedNodalSurface.of(
METADATA, TIMES_FLAT, TENOR_FLAT, NORMAL_VOL_FLAT, INTERPOLATOR_2D);
public static final NormalVolatilityExpiryTenorSwaptionProvider
NORMAL_VOL_SWAPTION_PROVIDER_USD_FLAT =
NormalVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_FLAT,
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
VALUATION_DATE_STD,
VALUATION_TIME_STD,
VALUATION_ZONE_STD);
// ===== Market data as of 2014-03-20 =====
private static final DoubleArray TIMES_20150320 =
DoubleArray.of(
0.25, 0.25, 0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 2.0,
2.0, 2.0, 2.0, 2.0, 5.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0, 10.0, 10.0);
private static final DoubleArray TENORS_20150320 =
DoubleArray.of(
1.0, 2.0, 5.0, 10.0, 30.0, 1.0, 2.0, 5.0, 10.0, 30.0, 1.0, 2.0, 5.0, 10.0, 30.0, 1.0, 2.0,
5.0, 10.0, 30.0, 1.0, 2.0, 5.0, 10.0, 30.0, 1.0, 2.0, 5.0, 10.0, 30.0);
private static final DoubleArray NORMAL_VOL_20150320_BP =
DoubleArray.of(
43.6, 65.3, 88, 87.5, 88, // 3M
55.5, 72.2, 90.3, 89.3, 88.6, // 6M
72.6, 82.7, 91.6, 89.8, 87.3, // 1Y
90.4, 91.9, 93.4, 84.7, 93.5, // 2Y
99.3, 96.8, 94.3, 88.6, 77.3, // 5Y
88.4, 85.9, 82.2, 76.7, 65.1); // 10Y
private static final DoubleArray NORMAL_VOL_20150320 = NORMAL_VOL_20150320_BP.map(v -> v * BP1);
private static final NodalSurface SURFACE_20150320 =
InterpolatedNodalSurface.of(
METADATA, TIMES_20150320, TENORS_20150320, NORMAL_VOL_20150320, INTERPOLATOR_2D);
private static final LocalDate VALUATION_DATE_20150320 = LocalDate.of(2015, 3, 20);
private static final LocalTime VALUATION_TIME_20150320 = LocalTime.of(18, 00);
private static final ZoneId VALUATION_ZONE_20150320 = ZoneId.of("Europe/London");
public static final NormalVolatilityExpiryTenorSwaptionProvider
NORMAL_VOL_SWAPTION_PROVIDER_USD_20150320 =
NormalVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_20150320,
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
VALUATION_DATE_20150320,
VALUATION_TIME_20150320,
VALUATION_ZONE_20150320);
}
/** 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 */
@Test
public class DiscountingFixedCouponBondProductPricerTest {
// fixed coupon bond
private static final StandardId SECURITY_ID = StandardId.of("OG-Ticker", "GOVT1-BOND1");
private static final StandardId ISSUER_ID = StandardId.of("OG-Ticker", "GOVT1");
private static final LocalDate VAL_DATE = date(2016, 4, 25);
private static final YieldConvention YIELD_CONVENTION = YieldConvention.GERMAN_BONDS;
private static final double NOTIONAL = 1.0e7;
private static final double FIXED_RATE = 0.015;
private static final HolidayCalendar EUR_CALENDAR = HolidayCalendars.EUTA;
private static final DaysAdjustment DATE_OFFSET = DaysAdjustment.ofBusinessDays(3, EUR_CALENDAR);
private static final DayCount DAY_COUNT = DayCounts.ACT_365F;
private static final LocalDate START_DATE = LocalDate.of(2015, 4, 12);
private static final LocalDate END_DATE = LocalDate.of(2025, 4, 12);
private static final BusinessDayAdjustment BUSINESS_ADJUST =
BusinessDayAdjustment.of(BusinessDayConventions.MODIFIED_FOLLOWING, EUR_CALENDAR);
private static final PeriodicSchedule PERIOD_SCHEDULE =
PeriodicSchedule.of(
START_DATE,
END_DATE,
Frequency.P6M,
BUSINESS_ADJUST,
StubConvention.SHORT_INITIAL,
false);
private static final DaysAdjustment EX_COUPON =
DaysAdjustment.ofBusinessDays(-5, EUR_CALENDAR, BUSINESS_ADJUST);
/** nonzero ex-coupon period */
private static final FixedCouponBond PRODUCT =
FixedCouponBond.builder()
.dayCount(DAY_COUNT)
.fixedRate(FIXED_RATE)
.legalEntityId(ISSUER_ID)
.currency(EUR)
.notional(NOTIONAL)
.periodicSchedule(PERIOD_SCHEDULE)
.settlementDateOffset(DATE_OFFSET)
.yieldConvention(YIELD_CONVENTION)
.exCouponPeriod(EX_COUPON)
.build();
private static final Security<FixedCouponBond> BOND_SECURITY =
UnitSecurity.builder(PRODUCT).standardId(SECURITY_ID).build();
/** no ex-coupon period */
private static final FixedCouponBond PRODUCT_NO_EXCOUPON =
FixedCouponBond.builder()
.dayCount(DAY_COUNT)
.fixedRate(FIXED_RATE)
.legalEntityId(ISSUER_ID)
.currency(EUR)
.notional(NOTIONAL)
.periodicSchedule(PERIOD_SCHEDULE)
.settlementDateOffset(DATE_OFFSET)
.yieldConvention(YIELD_CONVENTION)
.build();
// rates provider
private static final CurveInterpolator INTERPOLATOR = CurveInterpolators.LINEAR;
private static final CurveName NAME_REPO = CurveName.of("TestRepoCurve");
private static final CurveMetadata METADATA_REPO = Curves.zeroRates(NAME_REPO, ACT_365F);
private static final InterpolatedNodalCurve CURVE_REPO =
InterpolatedNodalCurve.of(
METADATA_REPO,
DoubleArray.of(0.1, 2.0, 10.0),
DoubleArray.of(0.05, 0.06, 0.09),
INTERPOLATOR);
private static final DiscountFactors DSC_FACTORS_REPO =
ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO);
private static final BondGroup GROUP_REPO = BondGroup.of("GOVT1 BOND1");
private static final CurveName NAME_ISSUER = CurveName.of("TestIssuerCurve");
private static final CurveMetadata METADATA_ISSUER = Curves.zeroRates(NAME_ISSUER, ACT_365F);
private static final InterpolatedNodalCurve CURVE_ISSUER =
InterpolatedNodalCurve.of(
METADATA_ISSUER,
DoubleArray.of(0.2, 9.0, 15.0),
DoubleArray.of(0.03, 0.05, 0.13),
INTERPOLATOR);
private static final DiscountFactors DSC_FACTORS_ISSUER =
ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_ISSUER);
private static final LegalEntityGroup GROUP_ISSUER = LegalEntityGroup.of("GOVT1");
private static final LegalEntityDiscountingProvider PROVIDER =
LegalEntityDiscountingProvider.builder()
.issuerCurves(
ImmutableMap.<Pair<LegalEntityGroup, Currency>, DiscountFactors>of(
Pair.<LegalEntityGroup, Currency>of(GROUP_ISSUER, EUR), DSC_FACTORS_ISSUER))
.legalEntityMap(ImmutableMap.<StandardId, LegalEntityGroup>of(ISSUER_ID, GROUP_ISSUER))
.repoCurves(
ImmutableMap.<Pair<BondGroup, Currency>, DiscountFactors>of(
Pair.<BondGroup, Currency>of(GROUP_REPO, EUR), DSC_FACTORS_REPO))
.bondMap(ImmutableMap.<StandardId, BondGroup>of(SECURITY_ID, GROUP_REPO))
.valuationDate(VAL_DATE)
.build();
private static final double Z_SPREAD = 0.035;
private static final int PERIOD_PER_YEAR = 4;
private static final double TOL = 1.0e-12;
private static final double EPS = 1.0e-6;
// pricers
private static final DiscountingFixedCouponBondProductPricer PRICER =
DiscountingFixedCouponBondProductPricer.DEFAULT;
private static final DiscountingPaymentPricer PRICER_NOMINAL = DiscountingPaymentPricer.DEFAULT;
private static final DiscountingFixedCouponBondPaymentPeriodPricer PRICER_COUPON =
DiscountingFixedCouponBondPaymentPeriodPricer.DEFAULT;
private static final RatesFiniteDifferenceSensitivityCalculator FD_CAL =
new RatesFiniteDifferenceSensitivityCalculator(EPS);
// -------------------------------------------------------------------------
public void test_presentValue() {
CurrencyAmount computed = PRICER.presentValue(PRODUCT, PROVIDER);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(expanded.getNominalPayment(), DSC_FACTORS_ISSUER);
int size = expanded.getPeriodicPayments().size();
double pvCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvCupon +=
PRICER_COUPON.presentValue(
payment, IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
}
expected = expected.plus(pvCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValueWithZSpread_continuous() {
CurrencyAmount computed =
PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(
expanded.getNominalPayment(), DSC_FACTORS_ISSUER, Z_SPREAD, CONTINUOUS, 0);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValueWithSpread(
payment,
IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER),
Z_SPREAD,
CONTINUOUS,
0);
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValueWithZSpread_periodic() {
CurrencyAmount computed =
PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(
expanded.getNominalPayment(), DSC_FACTORS_ISSUER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValueWithSpread(
payment,
IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER),
Z_SPREAD,
PERIODIC,
PERIOD_PER_YEAR);
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValue_noExcoupon() {
CurrencyAmount computed = PRICER.presentValue(PRODUCT_NO_EXCOUPON, PROVIDER);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(expanded.getNominalPayment(), DSC_FACTORS_ISSUER);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValue(
payment, IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValueWithZSpread_continuous_noExcoupon() {
CurrencyAmount computed =
PRICER.presentValueWithZSpread(PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(
expanded.getNominalPayment(), DSC_FACTORS_ISSUER, Z_SPREAD, CONTINUOUS, 0);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValueWithSpread(
payment,
IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER),
Z_SPREAD,
CONTINUOUS,
0);
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
public void test_presentValueWithZSpread_periodic_noExcoupon() {
CurrencyAmount computed =
PRICER.presentValueWithZSpread(
PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(
expanded.getNominalPayment(), DSC_FACTORS_ISSUER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValueWithSpread(
payment,
IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER),
Z_SPREAD,
PERIODIC,
PERIOD_PER_YEAR);
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
// -------------------------------------------------------------------------
public void test_dirtyPriceFromCurves() {
double computed = PRICER.dirtyPriceFromCurves(BOND_SECURITY, PROVIDER);
CurrencyAmount pv = PRICER.presentValue(PRODUCT, PROVIDER);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.getAmount() / df / NOTIONAL);
}
public void test_dirtyPriceFromCurvesWithZSpread_continuous() {
double computed =
PRICER.dirtyPriceFromCurvesWithZSpread(BOND_SECURITY, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurrencyAmount pv = PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.getAmount() / df / NOTIONAL);
}
public void test_dirtyPriceFromCurvesWithZSpread_periodic() {
double computed =
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurrencyAmount pv =
PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.getAmount() / df / NOTIONAL);
}
public void test_dirtyPriceFromCleanPrice_cleanPriceFromDirtyPrice() {
double dirtyPrice = PRICER.dirtyPriceFromCurves(BOND_SECURITY, PROVIDER);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double cleanPrice = PRICER.cleanPriceFromDirtyPrice(PRODUCT, settlement, dirtyPrice);
double accruedInterest = PRICER.accruedInterest(PRODUCT, settlement);
assertEquals(cleanPrice, dirtyPrice - accruedInterest / NOTIONAL, NOTIONAL * TOL);
double dirtyPriceRe = PRICER.dirtyPriceFromCleanPrice(PRODUCT, settlement, cleanPrice);
assertEquals(dirtyPriceRe, dirtyPrice, TOL);
}
// -------------------------------------------------------------------------
public void test_zSpreadFromCurvesAndPV_continuous() {
double dirtyPrice =
PRICER.dirtyPriceFromCurvesWithZSpread(BOND_SECURITY, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
double computed =
PRICER.zSpreadFromCurvesAndDirtyPrice(BOND_SECURITY, PROVIDER, dirtyPrice, CONTINUOUS, 0);
assertEquals(computed, Z_SPREAD, TOL);
}
public void test_zSpreadFromCurvesAndPV_periodic() {
double dirtyPrice =
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
double computed =
PRICER.zSpreadFromCurvesAndDirtyPrice(
BOND_SECURITY, PROVIDER, dirtyPrice, PERIODIC, PERIOD_PER_YEAR);
assertEquals(computed, Z_SPREAD, TOL);
}
// -------------------------------------------------------------------------
public void test_presentValueSensitivity() {
PointSensitivityBuilder point = PRICER.presentValueSensitivity(PRODUCT, PROVIDER);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(PROVIDER, (p) -> PRICER.presentValue(PRODUCT, (p)));
assertTrue(computed.equalWithTolerance(expected, 30d * NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_continuous() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER, (p) -> PRICER.presentValueWithZSpread(PRODUCT, (p), Z_SPREAD, CONTINUOUS, 0));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_periodic() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(
PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
PRICER.presentValueWithZSpread(PRODUCT, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_presentValueProductSensitivity_noExcoupon() {
PointSensitivityBuilder point = PRICER.presentValueSensitivity(PRODUCT_NO_EXCOUPON, PROVIDER);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(PROVIDER, (p) -> PRICER.presentValue(PRODUCT_NO_EXCOUPON, (p)));
assertTrue(computed.equalWithTolerance(expected, 30d * NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_continuous_noExcoupon() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(
PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
PRICER.presentValueWithZSpread(PRODUCT_NO_EXCOUPON, (p), Z_SPREAD, CONTINUOUS, 0));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_periodic_noExcoupon() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(
PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
PRICER.presentValueWithZSpread(
PRODUCT_NO_EXCOUPON, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_dirtyPriceSensitivity() {
PointSensitivityBuilder point = PRICER.dirtyPriceSensitivity(BOND_SECURITY, PROVIDER);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) -> CurrencyAmount.of(EUR, PRICER.dirtyPriceFromCurves(BOND_SECURITY, (p))));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
public void test_dirtyPriceSensitivityWithZspread_continuous() {
PointSensitivityBuilder point =
PRICER.dirtyPriceSensitivityWithZspread(BOND_SECURITY, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
EUR,
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, (p), Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
public void test_dirtyPriceSensitivityWithZspread_periodic() {
PointSensitivityBuilder point =
PRICER.dirtyPriceSensitivityWithZspread(
BOND_SECURITY, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
EUR,
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR)));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
// -------------------------------------------------------------------------
public void test_accruedInterest() {
// settle before start
LocalDate settleDate1 = START_DATE.minusDays(5);
double accruedInterest1 = PRICER.accruedInterest(PRODUCT, settleDate1);
assertEquals(accruedInterest1, 0d);
// settle between endDate and endDate -lag
LocalDate settleDate2 = date(2015, 10, 8);
double accruedInterest2 = PRICER.accruedInterest(PRODUCT, settleDate2);
assertEquals(accruedInterest2, -4.0 / 365.0 * FIXED_RATE * NOTIONAL, EPS);
// normal
LocalDate settleDate3 = date(2015, 4, 18); // not adjusted
FixedCouponBond product =
FixedCouponBond.builder()
.dayCount(DAY_COUNT)
.fixedRate(FIXED_RATE)
.legalEntityId(ISSUER_ID)
.currency(EUR)
.notional(NOTIONAL)
.periodicSchedule(PERIOD_SCHEDULE)
.settlementDateOffset(DATE_OFFSET)
.yieldConvention(YIELD_CONVENTION)
.exCouponPeriod(DaysAdjustment.NONE)
.build();
double accruedInterest3 = PRICER.accruedInterest(product, settleDate3);
assertEquals(accruedInterest3, 6.0 / 365.0 * FIXED_RATE * NOTIONAL, EPS);
}
// -------------------------------------------------------------------------
/* US Street convention */
private static final LocalDate START_US = date(2006, 11, 15);
private static final LocalDate END_US = START_US.plusYears(10);
private static final PeriodicSchedule SCHEDULE_US =
PeriodicSchedule.of(
START_US,
END_US,
Frequency.P6M,
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendars.SAT_SUN),
StubConvention.SHORT_INITIAL,
false);
private static final FixedCouponBond PRODUCT_US =
FixedCouponBond.builder()
.dayCount(DayCounts.ACT_ACT_ICMA)
.fixedRate(0.04625)
.legalEntityId(ISSUER_ID)
.currency(Currency.USD)
.notional(100)
.periodicSchedule(SCHEDULE_US)
.settlementDateOffset(DaysAdjustment.ofBusinessDays(3, HolidayCalendars.SAT_SUN))
.yieldConvention(YieldConvention.US_STREET)
.exCouponPeriod(DaysAdjustment.NONE)
.build();
private static final LocalDate VALUATION_US = date(2011, 8, 18);
private static final LocalDate SETTLEMENT_US =
PRODUCT_US.getSettlementDateOffset().adjust(VALUATION_US);
private static final LocalDate VALUATION_LAST_US = date(2016, 6, 3);
private static final LocalDate SETTLEMENT_LAST_US =
PRODUCT_US.getSettlementDateOffset().adjust(VALUATION_LAST_US);
private static final double YIELD_US = 0.04;
public void dirtyPriceFromYieldUS() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
assertEquals(dirtyPrice, 1.0417352500524246, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_US, SETTLEMENT_US, dirtyPrice);
assertEquals(yield, YIELD_US, TOL);
}
public void dirtyPriceFromYieldUSLastPeriod() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
assertEquals(dirtyPrice, 1.005635683760684, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_US, SETTLEMENT_LAST_US, dirtyPrice);
assertEquals(yield, YIELD_US, TOL);
}
public void modifiedDurationFromYieldUS() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
double price = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYieldUSLastPeriod() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
double price = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldUS() {
double computed = PRICER.convexityFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US + EPS);
double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldUSLastPeriod() {
double computed = PRICER.convexityFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void macaulayDurationFromYieldUS() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US);
assertEquals(duration, 4.6575232098896215, TOL); // 2.x.
}
public void macaulayDurationFromYieldUSLastPeriod() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US);
assertEquals(duration, 0.43478260869565216, TOL); // 2.x.
}
/* UK BUMP/DMO convention */
private static final LocalDate START_UK = date(2002, 9, 7);
private static final LocalDate END_UK = START_UK.plusYears(12);
private static final PeriodicSchedule SCHEDULE_UK =
PeriodicSchedule.of(
START_UK,
END_UK,
Frequency.P6M,
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendars.SAT_SUN),
StubConvention.SHORT_INITIAL,
false);
private static final FixedCouponBond PRODUCT_UK =
FixedCouponBond.builder()
.dayCount(DayCounts.ACT_ACT_ICMA)
.fixedRate(0.05)
.legalEntityId(ISSUER_ID)
.currency(Currency.GBP)
.notional(100)
.periodicSchedule(SCHEDULE_UK)
.settlementDateOffset(DaysAdjustment.ofBusinessDays(1, HolidayCalendars.SAT_SUN))
.yieldConvention(YieldConvention.UK_BUMP_DMO)
.exCouponPeriod(
DaysAdjustment.ofCalendarDays(
-7,
BusinessDayAdjustment.of(
BusinessDayConventions.PRECEDING, HolidayCalendars.SAT_SUN)))
.build();
private static final LocalDate VALUATION_UK = date(2011, 9, 2);
private static final LocalDate SETTLEMENT_UK =
PRODUCT_UK.getSettlementDateOffset().adjust(VALUATION_UK);
private static final LocalDate VALUATION_LAST_UK = date(2014, 6, 3);
private static final LocalDate SETTLEMENT_LAST_UK =
PRODUCT_UK.getSettlementDateOffset().adjust(VALUATION_LAST_UK);
private static final double YIELD_UK = 0.04;
public void dirtyPriceFromYieldUK() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
assertEquals(dirtyPrice, 1.0277859038905428, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_UK, SETTLEMENT_UK, dirtyPrice);
assertEquals(yield, YIELD_UK, TOL);
}
public void dirtyPriceFromYieldUKLastPeriod() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
assertEquals(dirtyPrice, 1.0145736043763598, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_UK, SETTLEMENT_LAST_UK, dirtyPrice);
assertEquals(yield, YIELD_UK, TOL);
}
public void modifiedDurationFromYieldUK() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
double price = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYieldUKLastPeriod() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
double price = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldUK() {
double computed = PRICER.convexityFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK + EPS);
double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldUKLastPeriod() {
double computed = PRICER.convexityFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void macaulayDurationFromYieldUK() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK);
assertEquals(duration, 2.8312260658609163, TOL); // 2.x.
}
public void macaulayDurationFromYieldUKLastPeriod() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK);
assertEquals(duration, 0.25815217391304346, TOL); // 2.x.
}
/* German bond convention */
private static final LocalDate START_GER = date(2002, 9, 7);
private static final LocalDate END_GER = START_GER.plusYears(12);
private static final PeriodicSchedule SCHEDULE_GER =
PeriodicSchedule.of(
START_GER,
END_GER,
Frequency.P12M,
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendars.SAT_SUN),
StubConvention.SHORT_INITIAL,
false);
private static final FixedCouponBond PRODUCT_GER =
FixedCouponBond.builder()
.dayCount(DayCounts.ACT_ACT_ICMA)
.fixedRate(0.05)
.legalEntityId(ISSUER_ID)
.currency(Currency.EUR)
.notional(100)
.periodicSchedule(SCHEDULE_GER)
.settlementDateOffset(DaysAdjustment.ofBusinessDays(3, HolidayCalendars.SAT_SUN))
.yieldConvention(YieldConvention.GERMAN_BONDS)
.exCouponPeriod(DaysAdjustment.NONE)
.build();
private static final LocalDate VALUATION_GER = date(2011, 9, 2);
private static final LocalDate SETTLEMENT_GER =
PRODUCT_GER.getSettlementDateOffset().adjust(VALUATION_GER);
private static final LocalDate VALUATION_LAST_GER = date(2014, 6, 3);
private static final LocalDate SETTLEMENT_LAST_GER =
PRODUCT_GER.getSettlementDateOffset().adjust(VALUATION_LAST_GER);
private static final double YIELD_GER = 0.04;
public void dirtyPriceFromYieldGerman() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
assertEquals(dirtyPrice, 1.027750910332271, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_GER, SETTLEMENT_GER, dirtyPrice);
assertEquals(yield, YIELD_GER, TOL);
}
public void dirtyPriceFromYieldGermanLastPeriod() {
double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
assertEquals(dirtyPrice, 1.039406595790844, TOL); // 2.x.
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_GER, SETTLEMENT_LAST_GER, dirtyPrice);
assertEquals(yield, YIELD_GER, TOL);
}
public void modifiedDurationFromYieldGER() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
double price = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYieldGERLastPeriod() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
double price = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldGER() {
double computed = PRICER.convexityFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldGERLastPeriod() {
double computed = PRICER.convexityFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void macaulayDurationFromYieldGER() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER);
assertEquals(duration, 2.861462874541554, TOL); // 2.x.
}
public void macaulayDurationFromYieldGERLastPeriod() {
double duration = PRICER.macaulayDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER);
assertEquals(duration, 0.26231286613148186, TOL); // 2.x.
}
/* Japan simple convention */
private static final LocalDate START_JP = date(2015, 9, 20);
private static final LocalDate END_JP = START_JP.plusYears(10);
private static final PeriodicSchedule SCHEDULE_JP =
PeriodicSchedule.of(
START_JP,
END_JP,
Frequency.P6M,
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendars.JPTO),
StubConvention.SHORT_INITIAL,
false);
private static final double RATE_JP = 0.004;
private static final FixedCouponBond PRODUCT_JP =
FixedCouponBond.builder()
.dayCount(DayCounts.NL_365)
.fixedRate(RATE_JP)
.legalEntityId(ISSUER_ID)
.currency(Currency.JPY)
.notional(100)
.periodicSchedule(SCHEDULE_JP)
.settlementDateOffset(DaysAdjustment.ofBusinessDays(3, HolidayCalendars.JPTO))
.yieldConvention(YieldConvention.JAPAN_SIMPLE)
.exCouponPeriod(DaysAdjustment.NONE)
.build();
private static final LocalDate VALUATION_JP = date(2015, 9, 24);
private static final LocalDate SETTLEMENT_JP =
PRODUCT_JP.getSettlementDateOffset().adjust(VALUATION_JP);
private static final LocalDate VALUATION_LAST_JP = date(2025, 6, 3);
private static final LocalDate SETTLEMENT_LAST_JP =
PRODUCT_JP.getSettlementDateOffset().adjust(VALUATION_LAST_JP);
private static final LocalDate VALUATION_ENDED_JP = date(2026, 8, 3);
private static final LocalDate SETTLEMENT_ENDED_JP =
PRODUCT_JP.getSettlementDateOffset().adjust(VALUATION_ENDED_JP);
private static final double YIELD_JP = 0.00321;
public void dirtyPriceFromYieldJP() {
double computed = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double maturity = DayCounts.NL_365.relativeYearFraction(SETTLEMENT_JP, END_JP);
double expected =
PRICER.dirtyPriceFromCleanPrice(
PRODUCT_JP, SETTLEMENT_JP, (1d + RATE_JP * maturity) / (1d + YIELD_JP * maturity));
assertEquals(computed, expected, TOL);
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_JP, SETTLEMENT_JP, computed);
assertEquals(yield, YIELD_JP, TOL);
}
public void dirtyPriceFromYieldJPLastPeriod() {
double computed = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double maturity = DayCounts.NL_365.relativeYearFraction(SETTLEMENT_LAST_JP, END_JP);
double expected =
PRICER.dirtyPriceFromCleanPrice(
PRODUCT_JP, SETTLEMENT_LAST_JP, (1d + RATE_JP * maturity) / (1d + YIELD_JP * maturity));
assertEquals(computed, expected, TOL);
double yield = PRICER.yieldFromDirtyPrice(PRODUCT_JP, SETTLEMENT_LAST_JP, computed);
assertEquals(yield, YIELD_JP, TOL);
}
public void dirtyPriceFromYieldJPEnded() {
double computed = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_ENDED_JP, YIELD_JP);
assertEquals(computed, 0d, TOL);
}
public void modifiedDurationFromYielddJP() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double price = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYieldJPLastPeriod() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double price = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP + EPS);
double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP - EPS);
double expected = 0.5 * (priceDw - priceUp) / price / EPS;
assertEquals(computed, expected, EPS);
}
public void modifiedDurationFromYielddJPEnded() {
double computed = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_ENDED_JP, YIELD_JP);
assertEquals(computed, 0d, EPS);
}
public void convexityFromYieldJP() {
double computed = PRICER.convexityFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP);
double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP + EPS);
double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldJPLastPeriod() {
double computed = PRICER.convexityFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double duration = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP);
double durationUp =
PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP + EPS);
double durationDw =
PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP - EPS);
double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration;
assertEquals(computed, expected, EPS);
}
public void convexityFromYieldJPEnded() {
double computed = PRICER.convexityFromYield(PRODUCT_JP, SETTLEMENT_ENDED_JP, YIELD_JP);
assertEquals(computed, 0d, EPS);
}
public void macaulayDurationFromYieldYieldJP() {
assertThrows(
() -> PRICER.macaulayDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP),
UnsupportedOperationException.class,
"The convention JAPAN_SIMPLE is not supported.");
}
}
