Esempio n. 1
0
  // -----------------------------------------------------------------------
  // 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();
  }
/** 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);
  }
}