@Test
public void sensitivityTest() {
final VolatilitySurfaceProvider vsPro =
new BasisSplineVolatilitySurfaceProvider(0.0, 0.15, 10, 3, 0.0, 10.0, 7, 2);
final DoubleMatrix1D w = new DoubleMatrix1D(vsPro.getNumModelParameters());
for (int i = 0; i < w.getNumberOfElements(); i++) {
w.getData()[i] = RANDOM.nextDouble();
}
final VolatilitySurface volSurf = vsPro.getVolSurface(w);
final Surface<Double, Double, DoubleMatrix1D> senseSurf =
vsPro.getParameterSensitivitySurface(w);
final Surface<Double, Double, Pair<Double, DoubleMatrix1D>> volAndSenseSurf =
vsPro.getVolAndParameterSensitivitySurface(w);
final int nSamples = 20;
final DoublesPair[] points = new DoublesPair[nSamples];
for (int i = 0; i < nSamples; i++) {
final double t = 10.0 * RANDOM.nextDouble();
final double k = 0.15 * RANDOM.nextDouble();
points[i] = DoublesPair.of(t, k);
final double vol = volSurf.getVolatility(points[i]);
final DoubleMatrix1D sense = senseSurf.getZValue(points[i].toPair());
final Pair<Double, DoubleMatrix1D> volAndSense =
volAndSenseSurf.getZValue(points[i].toPair());
assertEquals(vol, volAndSense.getFirst(), 1e-15);
AssertMatrix.assertEqualsVectors(sense, volAndSense.getSecond(), 1e-15);
}
// create a DiscreteVolatilityFunctionProvider in order to compute the Jacobian for a (random)
// set the points
final DiscreteVolatilityFunctionProvider dvfp =
new DiscreteVolatilityFunctionProviderFromVolSurface(vsPro);
final DiscreteVolatilityFunction func = dvfp.from(points);
final DoubleMatrix2D jac = func.calculateJacobian(w);
final DoubleMatrix2D jacFD = func.calculateJacobianViaFD(w);
AssertMatrix.assertEqualsMatrix(jacFD, jac, 1e-10);
}
public void partitionByValue() {
List<LocalDate> dates =
dates(DATE_2010_01_01, DATE_2011_06_01, DATE_2012_01_01, DATE_2013_06_01, DATE_2014_01_01);
LocalDateDoubleTimeSeries series =
LocalDateDoubleTimeSeries.builder().putAll(dates, VALUES_10_14).build();
Pair<LocalDateDoubleTimeSeries, LocalDateDoubleTimeSeries> partition =
series.partitionByValue(d -> d > 10 && d < 14);
LocalDateDoubleTimeSeries mid = partition.getFirst();
LocalDateDoubleTimeSeries extreme = partition.getSecond();
assertThat(mid.size()).isEqualTo(3);
assertThat(extreme.size()).isEqualTo(2);
assertThat(mid.get(DATE_2011_06_01)).hasValue(11);
assertThat(mid.get(DATE_2012_01_01)).hasValue(12);
assertThat(mid.get(DATE_2013_06_01)).hasValue(13);
assertThat(extreme.get(DATE_2010_01_01)).hasValue(10);
assertThat(extreme.get(DATE_2014_01_01)).hasValue(14);
}
public void partition() {
List<LocalDate> dates =
dates(DATE_2010_01_01, DATE_2011_06_01, DATE_2012_01_01, DATE_2013_06_01, DATE_2014_01_01);
LocalDateDoubleTimeSeries series =
LocalDateDoubleTimeSeries.builder().putAll(dates, VALUES_10_14).build();
Pair<LocalDateDoubleTimeSeries, LocalDateDoubleTimeSeries> partition =
series.partition((ld, d) -> ld.getYear() % 2 == 0);
LocalDateDoubleTimeSeries even = partition.getFirst();
LocalDateDoubleTimeSeries odd = partition.getSecond();
assertThat(even.size()).isEqualTo(3);
assertThat(odd.size()).isEqualTo(2);
assertThat(even.get(DATE_2010_01_01)).hasValue(10);
assertThat(even.get(DATE_2012_01_01)).hasValue(12);
assertThat(even.get(DATE_2014_01_01)).hasValue(14);
assertThat(odd.get(DATE_2011_06_01)).hasValue(11);
assertThat(odd.get(DATE_2013_06_01)).hasValue(13);
}
/**
* The value of the function at the given point and its sensitivity to the weights of the basis
* functions.
*
* @param x value to be evaluated
* @return value and weight sensitivity
*/
public Pair<Double, DoubleArray> valueAndWeightSensitivity(T x) {
ArgChecker.notNull(x, "x");
int n = _w.length;
double sum = 0;
double[] data = new double[n];
for (int i = 0; i < n; i++) {
double temp = _f.get(i).apply(x);
if (temp != 0.0) {
sum += _w[i] * temp;
data[i] = temp;
}
}
return Pair.of(sum, DoubleArray.ofUnsafe(data));
}
/** Tests combining rating and sector. */
@Test
public void testRatingAndSector() {
final LegalEntityCombiningFilter filter = new LegalEntityCombiningFilter();
final Set<LegalEntityFilter<LegalEntity>> underlyingFilters = new HashSet<>();
final LegalEntityCreditRatings ratingsFilter = new LegalEntityCreditRatings();
ratingsFilter.setPerAgencyRatings(Collections.singleton("S&P"));
underlyingFilters.add(ratingsFilter);
final LegalEntitySector sectorFilter = new LegalEntitySector();
sectorFilter.setUseSectorName(true);
underlyingFilters.add(sectorFilter);
underlyingFilters.add(new LegalEntityCombiningFilter());
filter.setFiltersToUse(underlyingFilters);
final Set<Object> expected = new HashSet<>();
expected.add(LegalEntityTest.SECTOR.getName());
expected.add(Pair.of("S&P", "A"));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY_RED_CODE));
assertEquals(
ParameterizedTypeImpl.of(
Set.class,
VariantType.either(
String.class, ParameterizedTypeImpl.of(Pair.class, String.class, String.class))),
filter.getFilteredDataType());
}
/** Tests ratings requests. */
@Test
public void testCreditRatings() {
LegalEntityCreditRatings filter = new LegalEntityCreditRatings();
assertEquals(
LegalEntityTest.CREDIT_RATINGS, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY));
assertEquals(
LegalEntityTest.CREDIT_RATINGS,
filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY_RED_CODE));
final Set<CreditRating> creditRatings = new HashSet<>(LegalEntityTest.CREDIT_RATINGS);
creditRatings.add(CreditRating.of("C", "Poor", "Test", false));
assertEquals(
ParameterizedTypeImpl.of(Set.class, CreditRating.class), filter.getFilteredDataType());
filter = new LegalEntityCreditRatings();
filter.setUseRating(true);
Set<Pair<String, String>> expected = new HashSet<>();
expected.add(Pair.of("Moody's", "B"));
expected.add(Pair.of("S&P", "A"));
expected.add(Pair.of("Test", "C"));
assertEquals(
expected,
filter.getFilteredData(
new LegalEntity(null, LegalEntityTest.SHORT_NAME, creditRatings, null, null)));
assertEquals(
expected,
filter.getFilteredData(
new LegalEntityWithREDCode(
null, LegalEntityTest.SHORT_NAME, creditRatings, null, null, "")));
expected = new HashSet<>();
expected.add(Pair.of("Moody's", "B"));
expected.add(Pair.of("S&P", "A"));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY_RED_CODE));
assertEquals(
ParameterizedTypeImpl.of(
Set.class, ParameterizedTypeImpl.of(Pair.class, String.class, String.class)),
filter.getFilteredDataType());
filter = new LegalEntityCreditRatings();
filter.setPerAgencyRatings(Collections.singleton("Moody's"));
expected = new HashSet<>();
expected.add(Pair.of("Moody's", "B"));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY_RED_CODE));
assertEquals(
ParameterizedTypeImpl.of(
Set.class, ParameterizedTypeImpl.of(Pair.class, String.class, String.class)),
filter.getFilteredDataType());
filter = new LegalEntityCreditRatings();
filter.setPerAgencyRatings(Collections.singleton("S&P"));
expected = new HashSet<>();
expected.add(Pair.of("S&P", "A"));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY_RED_CODE));
assertEquals(
ParameterizedTypeImpl.of(
Set.class, ParameterizedTypeImpl.of(Pair.class, String.class, String.class)),
filter.getFilteredDataType());
filter = new LegalEntityCreditRatings();
filter.setUseRatingDescription(true);
expected = new HashSet<>();
expected.add(Pair.of("Moody's", "Investment Grade"));
expected.add(Pair.of("S&P", "Prime"));
expected.add(Pair.of("Test", "Poor"));
assertEquals(
expected,
filter.getFilteredData(
new LegalEntity(null, LegalEntityTest.SHORT_NAME, creditRatings, null, null)));
assertEquals(
expected,
filter.getFilteredData(
new LegalEntityWithREDCode(
null, LegalEntityTest.SHORT_NAME, creditRatings, null, null, "")));
expected = new HashSet<>();
expected.add(Pair.of("Moody's", "Investment Grade"));
expected.add(Pair.of("S&P", "Prime"));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY_RED_CODE));
assertEquals(
ParameterizedTypeImpl.of(
Set.class, ParameterizedTypeImpl.of(Pair.class, String.class, String.class)),
filter.getFilteredDataType());
filter = new LegalEntityCreditRatings();
filter.setPerAgencyRatingDescriptions(Collections.singleton("Moody's"));
expected = new HashSet<>();
expected.add(Pair.of("Moody's", "Investment Grade"));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY_RED_CODE));
filter = new LegalEntityCreditRatings();
filter.setPerAgencyRatingDescriptions(Collections.singleton("S&P"));
expected = new HashSet<>();
expected.add(Pair.of("S&P", "Prime"));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY));
assertEquals(expected, filter.getFilteredData(LegalEntityTest.LEGAL_ENTITY_RED_CODE));
assertEquals(
ParameterizedTypeImpl.of(
Set.class, ParameterizedTypeImpl.of(Pair.class, String.class, String.class)),
filter.getFilteredDataType());
}
@Test(enabled = true)
public void swapRateDx2Ddcf() {
final double theta = 1.99;
final double rhog2pp = MODEL_PARAMETERS.getCorrelation();
final double[][] gamma = MODEL_G2PP.gamma(MODEL_PARAMETERS, 0, theta);
double[][] alphaFixed = new double[T_FIXED.length][2];
double[] tau2Fixed = new double[T_FIXED.length];
final double[][] alphaIbor = new double[T_IBOR.length][2];
final double[] tau2Ibor = new double[T_IBOR.length];
final double[][] hthetaFixed =
MODEL_G2PP.volatilityMaturityPart(MODEL_PARAMETERS, theta, T_FIXED);
alphaFixed = new double[2][T_FIXED.length];
tau2Fixed = new double[T_FIXED.length];
for (int loopcf = 0; loopcf < T_FIXED.length; loopcf++) {
alphaFixed[loopcf][0] = Math.sqrt(gamma[0][0]) * hthetaFixed[0][loopcf];
alphaFixed[loopcf][1] = Math.sqrt(gamma[1][1]) * hthetaFixed[1][loopcf];
tau2Fixed[loopcf] =
alphaFixed[loopcf][0] * alphaFixed[loopcf][0]
+ alphaFixed[loopcf][1] * alphaFixed[loopcf][1]
+ 2 * rhog2pp * gamma[0][1] * hthetaFixed[0][loopcf] * hthetaFixed[1][loopcf];
}
final double[][] hthetaIbor =
MODEL_G2PP.volatilityMaturityPart(MODEL_PARAMETERS, theta, T_IBOR);
for (int loopcf = 0; loopcf < T_IBOR.length; loopcf++) {
alphaIbor[loopcf][0] = Math.sqrt(gamma[0][0]) * hthetaIbor[0][loopcf];
alphaIbor[loopcf][1] = Math.sqrt(gamma[1][1]) * hthetaIbor[1][loopcf];
tau2Ibor[loopcf] =
alphaIbor[loopcf][0] * alphaIbor[loopcf][0]
+ alphaIbor[loopcf][1] * alphaIbor[loopcf][1]
+ 2 * rhog2pp * gamma[0][1] * hthetaIbor[0][loopcf] * hthetaIbor[1][loopcf];
}
final double shift = 1.0E-7;
final double[] x = {0.0, 0.1};
final Pair<double[][][], double[][][]> dx2ddcfComputed =
MODEL_G2PP.swapRateDdcfDx2(
x, DCF_FIXED, alphaFixed, tau2Fixed, DCF_IBOR, alphaIbor, tau2Ibor);
final double[][][] dx2DdcffExpected = new double[DCF_FIXED.length][2][2];
for (int loopcf = 0; loopcf < DCF_FIXED.length; loopcf++) {
final double[] dsf_bumped = DCF_FIXED.clone();
dsf_bumped[loopcf] += shift;
final double[] d1Plus = new double[2];
final double[][] d2Plus = new double[2][2];
MODEL_G2PP.swapRate(
x, dsf_bumped, alphaFixed, tau2Fixed, DCF_IBOR, alphaIbor, tau2Ibor, d1Plus, d2Plus);
dsf_bumped[loopcf] -= 2 * shift;
final double[] d1Minus = new double[2];
final double[][] d2Minus = new double[2][2];
MODEL_G2PP.swapRate(
x, dsf_bumped, alphaFixed, tau2Fixed, DCF_IBOR, alphaIbor, tau2Ibor, d1Minus, d2Minus);
for (int loopd1 = 0; loopd1 < 2; loopd1++) {
for (int loopd2 = loopd1; loopd2 < 2; loopd2++) {
dx2DdcffExpected[loopcf][loopd1][loopd2] =
(d2Plus[loopd1][loopd2] - d2Minus[loopd1][loopd2]) / (2 * shift);
assertEquals(
"Hull-White model: swap rate",
dx2DdcffExpected[loopcf][loopd1][loopd2],
dx2ddcfComputed.getFirst()[loopcf][loopd1][loopd2],
TOLERANCE_RATE_DELTA2);
}
}
}
final double[][][] dx2DdcfiExpected = new double[DCF_IBOR.length][2][2];
for (int loopcf = 0; loopcf < DCF_IBOR.length; loopcf++) {
final double[] dsf_bumped = DCF_IBOR.clone();
dsf_bumped[loopcf] += shift;
final double[] d1Plus = new double[2];
final double[][] d2Plus = new double[2][2];
MODEL_G2PP.swapRate(
x, DCF_FIXED, alphaFixed, tau2Fixed, dsf_bumped, alphaIbor, tau2Ibor, d1Plus, d2Plus);
dsf_bumped[loopcf] -= 2 * shift;
final double[] d1Minus = new double[2];
final double[][] d2Minus = new double[2][2];
MODEL_G2PP.swapRate(
x, DCF_FIXED, alphaFixed, tau2Fixed, dsf_bumped, alphaIbor, tau2Ibor, d1Minus, d2Minus);
for (int loopd1 = 0; loopd1 < 2; loopd1++) {
for (int loopd2 = loopd1; loopd2 < 2; loopd2++) {
dx2DdcfiExpected[loopcf][loopd1][loopd2] =
(d2Plus[loopd1][loopd2] - d2Minus[loopd1][loopd2]) / (2 * shift);
assertEquals(
"Hull-White model: swap rate",
dx2DdcfiExpected[loopcf][loopd1][loopd2],
dx2ddcfComputed.getSecond()[loopcf][loopd1][loopd2],
TOLERANCE_RATE_DELTA2);
}
}
}
}
/** 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.");
}
}
