public void test_cashFlowEquivalentAndSensitivity_compounding() {
RatePaymentPeriod iborCmp =
RatePaymentPeriod.builder()
.paymentDate(PAYMENT2)
.accrualPeriods(IBOR1, IBOR2)
.dayCount(ACT_365F)
.currency(GBP)
.notional(-NOTIONAL)
.build();
ExpandedSwapLeg iborLegCmp =
ExpandedSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(iborCmp).build();
Swap swap1 = Swap.builder().legs(iborLegCmp, FIXED_LEG).build();
assertThrowsIllegalArg(
() ->
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(
swap1.expand(), PROVIDER));
RatePaymentPeriod fixedCmp =
RatePaymentPeriod.builder()
.paymentDate(PAYMENT2)
.accrualPeriods(FIXED1, FIXED2)
.dayCount(ACT_365F)
.currency(GBP)
.notional(NOTIONAL)
.build();
ExpandedSwapLeg fixedLegCmp =
ExpandedSwapLeg.builder().type(FIXED).payReceive(RECEIVE).paymentPeriods(fixedCmp).build();
Swap swap2 = Swap.builder().legs(IBOR_LEG, fixedLegCmp).build();
assertThrowsIllegalArg(
() ->
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(
swap2.expand(), PROVIDER));
}
public void test_cashFlowEquivalentAndSensitivity_wrongSwap() {
Swap swap1 = Swap.builder().legs(IBOR_LEG, FIXED_LEG, IBOR_LEG).build();
assertThrowsIllegalArg(
() ->
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(
swap1.expand(), PROVIDER));
Swap swap2 = Swap.builder().legs(FIXED_LEG, FIXED_LEG).build();
assertThrowsIllegalArg(
() ->
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(
swap2.expand(), PROVIDER));
Swap swap3 =
Swap.builder()
.legs(
FIXED_LEG,
CashFlowEquivalentCalculator.cashFlowEquivalentIborLeg(IBOR_LEG, PROVIDER))
.build();
assertThrowsIllegalArg(
() ->
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(
swap3.expand(), PROVIDER));
}
// -------------------------------------------------------------------------
public void test_cashFlowEquivalentAndSensitivity() {
Swap swap = Swap.builder().legs(IBOR_LEG, FIXED_LEG).build();
ImmutableMap<NotionalExchange, PointSensitivityBuilder> computedFull =
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap.expand(), PROVIDER);
ImmutableList<NotionalExchange> keyComputedFull = computedFull.keySet().asList();
ImmutableList<PointSensitivityBuilder> valueComputedFull = computedFull.values().asList();
ImmutableMap<NotionalExchange, PointSensitivityBuilder> computedIborLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityIborLeg(
IBOR_LEG.expand(), PROVIDER);
ImmutableMap<NotionalExchange, PointSensitivityBuilder> computedFixedLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityFixedLeg(
FIXED_LEG.expand(), PROVIDER);
assertEquals(computedFixedLeg.keySet().asList(), keyComputedFull.subList(0, 2));
assertEquals(computedIborLeg.keySet().asList(), keyComputedFull.subList(2, 6));
assertEquals(computedFixedLeg.values().asList(), valueComputedFull.subList(0, 2));
assertEquals(computedIborLeg.values().asList(), valueComputedFull.subList(2, 6));
double eps = 1.0e-7;
RatesFiniteDifferenceSensitivityCalculator calc =
new RatesFiniteDifferenceSensitivityCalculator(eps);
int size = keyComputedFull.size();
for (int i = 0; i < size; ++i) {
final int index = i;
CurveCurrencyParameterSensitivities expected =
calc.sensitivity(
PROVIDER,
p ->
((NotionalExchange)
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap.expand(), p)
.getPaymentEvents()
.get(index))
.getPaymentAmount());
PointSensitivityBuilder point =
computedFull.get(
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap.expand(), PROVIDER)
.getPaymentEvents()
.get(index));
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
assertTrue(computed.equalWithTolerance(expected, eps * NOTIONAL));
}
}
