/** Calculates the present value of a bond from the clean price and a curve bundle. */ public class InflationBondPresentValueFromCleanPriceFunction extends InflationBondFromCleanPriceAndCurvesFunction { /** The present value calculator */ private static final BondCapitalIndexedSecurityDiscountingMethod CALCULATOR = BondCapitalIndexedSecurityDiscountingMethod.getInstance(); private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance(); /** Sets the value requirement name to {@link ValueRequirementNames#PRESENT_VALUE}. */ public InflationBondPresentValueFromCleanPriceFunction() { super(PRESENT_VALUE); } @Override protected Set<ComputedValue> getResult( final FunctionInputs inputs, final BondCapitalIndexedTransaction<?> bond, final InflationIssuerProviderInterface provider, final double cleanPrice, final ValueSpecification spec) { final String expectedCurrency = spec.getProperty(CURRENCY); final MultipleCurrencyAmount pvBond = CALCULATOR.presentValueFromCleanRealPrice(bond.getBondTransaction(), provider, cleanPrice); final MultipleCurrencyAmount pvSettlement = bond.getBondTransaction() .getSettlement() .accept(PVIC, provider.getInflationProvider()) .multipliedBy( bond.getQuantity() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional()); final MultipleCurrencyAmount pv = pvBond.plus(pvSettlement); if (pv.size() != 1 || !(expectedCurrency.equals(pv.getCurrencyAmounts()[0].getCurrency().getCode()))) { throw new OpenGammaRuntimeException("Expecting a single result in " + expectedCurrency); } return Collections.singleton(new ComputedValue(spec, pv.getCurrencyAmounts()[0].getAmount())); } @Override protected ValueProperties.Builder getResultProperties(final ComputationTarget target) { final String currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode(); return super.getResultProperties(target).with(CURRENCY, currency); } }
/** Build of inflation curve in several blocks with relevant Jacobian matrice. */ public class InflationBuildingCurveSimpleTestEUR { private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator( Interpolator1DFactory.LOG_LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR, Interpolator1DFactory.FLAT_EXTRAPOLATOR); private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance(); private static final double TOLERANCE_ROOT = 1.0E-10; private static final int STEP_MAX = 100; private static final Currency EUR = Currency.EUR; private static final double NOTIONAL = 1.0; private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFLATION_SWAP = GeneratorSwapFixedInflationMaster.getInstance().getGenerator("EURHICP"); private static final IndexPrice EUR_HICP = GENERATOR_INFLATION_SWAP.getIndexPrice(); private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 9, 28); private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {200, 200}); private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {100}); @SuppressWarnings("rawtypes") private static final DoubleTimeSeries[] TS_FIXED_PRICE_INDEX_USD_WITH_TODAY = new DoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY}; @SuppressWarnings("rawtypes") private static final DoubleTimeSeries[] TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY = new DoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITHOUT_TODAY}; private static final String CURVE_NAME_HICP_EUR = "EUR HICP"; /** Market values for the HICP EUR curve */ public static final double[] HICP_EUR_MARKET_QUOTES = new double[] { 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200 }; /** Generators for the HICP EUR curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] HICP_EUR_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP }; /** Tenors for the HICP EUR curve */ private static final Period[] HICP_EUR_TENOR = new Period[] { Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(6), Period.ofYears(7), Period.ofYears(8), Period.ofYears(9), Period.ofYears(10), Period.ofYears(12), Period.ofYears(15), Period.ofYears(20), Period.ofYears(25), Period.ofYears(30) }; private static final GeneratorAttributeIR[] HICP_EUR_ATTR = new GeneratorAttributeIR[HICP_EUR_TENOR.length]; static { for (int loopins = 0; loopins < HICP_EUR_TENOR.length; loopins++) { HICP_EUR_ATTR[loopins] = new GeneratorAttributeIR(HICP_EUR_TENOR[loopins]); } } /** Standard EUR HICP curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_HICP_EUR; /** Units of curves */ private static final int[] NB_UNITS = new int[] {1}; private static final int NB_BLOCKS = NB_UNITS.length; private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][]; private static final GeneratorPriceIndexCurve[][][] GENERATORS_UNITS = new GeneratorPriceIndexCurve[NB_BLOCKS][][]; private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][]; private static final MulticurveProviderDiscount eurMulticurveProviderDiscount = MulticurveProviderDiscountDataSets.createMulticurveEurUsd().copy(); private static final InflationProviderDiscount KNOWN_DATA = new InflationProviderDiscount(eurMulticurveProviderDiscount); private static final LinkedHashMap<String, IndexPrice[]> EUR_HICP_MAP = new LinkedHashMap<>(); static { DEFINITIONS_HICP_EUR = getDefinitions(HICP_EUR_MARKET_QUOTES, HICP_EUR_GENERATORS, HICP_EUR_ATTR); for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][]; GENERATORS_UNITS[loopblock] = new GeneratorPriceIndexCurve[NB_UNITS[loopblock]][]; NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][]; } DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_HICP_EUR}; final GeneratorPriceIndexCurve genIntLin = new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); GENERATORS_UNITS[0][0] = new GeneratorPriceIndexCurve[] {genIntLin}; NAMES_UNITS[0][0] = new String[] {CURVE_NAME_HICP_EUR}; EUR_HICP_MAP.put(CURVE_NAME_HICP_EUR, new IndexPrice[] {EUR_HICP}); } private static final String NOT_USED = "Not used"; private static final String[] NOT_USED_2 = {NOT_USED, NOT_USED}; public static InstrumentDefinition<?>[] getDefinitions( final double[] marketQuotes, final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute) { final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length]; for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) { definitions[loopmv] = generators[loopmv].generateInstrument( NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]); } return definitions; } private static List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>>(); // Calculator private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance(); private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC = ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance(); private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC = ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance(); private static final InflationDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new InflationDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX); private static final double TOLERANCE_CAL = 1.0E-9; @BeforeSuite static void initClass() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add( makeCurvesFromDefinitions( DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, PSIMQC, PSIMQCSC, false)); } } @Test(enabled = false) public void performance() { long startTime, endTime; final int nbTest = 1000; startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { makeCurvesFromDefinitions( DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC, false); } endTime = System.currentTimeMillis(); System.out.println( "InflationBuildingCurveSimpleTestEUR - " + nbTest + " curve construction Price index EUR 1 units: " + (endTime - startTime) + " ms"); // Performance note: curve construction Price index EUR 1 units: 27-Mar-13: On Dell Precision // T1850 3.5 GHz Quad-Core Intel Xeon: 2816 ms for 1000 sets. } @Test public void curveConstructionGeneratorOtherBlocks() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { curveConstructionTest( DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), false, loopblock); } } public void curveConstructionTest( final InstrumentDefinition<?>[][][] definitions, final InflationProviderDiscount curves, final boolean withToday, final int block) { final int nbBlocks = definitions.length; for (int loopblock = 0; loopblock < nbBlocks; loopblock++) { final InstrumentDerivative[][] instruments = convert(definitions[loopblock], loopblock, withToday); final double[][] pv = new double[instruments.length][]; for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) { pv[loopcurve] = new double[instruments[loopcurve].length]; for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) { pv[loopcurve][loopins] = curves .getFxRates() .convert(instruments[loopcurve][loopins].accept(PVIC, curves), EUR) .getAmount(); assertEquals( "Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL); } } } } private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions( final InstrumentDefinition<?>[][][] definitions, final GeneratorPriceIndexCurve[][] curveGenerators, final String[][] curveNames, final InflationProviderDiscount knownData, final InstrumentDerivativeVisitor<InflationProviderInterface, Double> calculator, final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity> sensitivityCalculator, final boolean withToday) { final int nbUnits = curveGenerators.length; final double[][] parametersGuess = new double[nbUnits][]; final GeneratorPriceIndexCurve[][] generatorFinal = new GeneratorPriceIndexCurve[nbUnits][]; final InstrumentDerivative[][][] instruments = new InstrumentDerivative[nbUnits][][]; for (int loopunit = 0; loopunit < nbUnits; loopunit++) { generatorFinal[loopunit] = new GeneratorPriceIndexCurve[curveGenerators[loopunit].length]; int nbInsUnit = 0; for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) { nbInsUnit += definitions[loopunit][loopcurve].length; } parametersGuess[loopunit] = new double[nbInsUnit]; int startCurve = 0; // First parameter index of the curve in the unit. instruments[loopunit] = convert(definitions[loopunit], loopunit, withToday); for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) { generatorFinal[loopunit][loopcurve] = curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]); final double[] guessCurve = generatorFinal[loopunit][loopcurve].initialGuess( initialGuess(definitions[loopunit][loopcurve])); System.arraycopy( guessCurve, 0, parametersGuess[loopunit], startCurve, instruments[loopunit][loopcurve].length); startCurve += instruments[loopunit][loopcurve].length; } } return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives( instruments, generatorFinal, curveNames, parametersGuess, knownData, EUR_HICP_MAP, calculator, sensitivityCalculator); } @SuppressWarnings("unchecked") private static InstrumentDerivative[][] convert( final InstrumentDefinition<?>[][] definitions, final int unit, final boolean withToday) { // int nbDef = 0; // for (final InstrumentDefinition<?>[] definition : definitions) { // nbDef += definition.length; // } final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][]; for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) { instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length]; int loopins = 0; for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) { InstrumentDerivative ird; if (instrument instanceof SwapFixedInflationZeroCouponDefinition) { /* ird = ((SwapFixedInflationZeroCouponDefinition) instrument).toDerivative(NOW, getTSSwapFixedInflation(withToday, unit), NOT_USED_2);*/ final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument) .getFirstLeg() .toDerivative(NOW, NOT_USED_2); final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument) .getSecondLeg() .toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY, NOT_USED_2); ird = new Swap<>(ird1, ird2); } else { ird = instrument.toDerivative(NOW, NOT_USED_2); } instruments[loopcurve][loopins++] = ird; } } return instruments; } @SuppressWarnings("rawtypes") private static DoubleTimeSeries[] getTSSwapFixedInflation( final Boolean withToday, final Integer unit) { switch (unit) { case 0: return withToday ? TS_FIXED_PRICE_INDEX_USD_WITH_TODAY : TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY; case 1: return withToday ? TS_FIXED_PRICE_INDEX_USD_WITH_TODAY : TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY; default: throw new IllegalArgumentException(unit.toString()); } } private static double[] initialGuess(final InstrumentDefinition<?>[] definitions) { final double[] result = new double[definitions.length]; int loopr = 0; for (final InstrumentDefinition<?> definition : definitions) { result[loopr++] = initialGuess(definition); } return result; } private static double initialGuess(final InstrumentDefinition<?> instrument) { if (instrument instanceof SwapFixedONDefinition) { return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof SwapFixedIborDefinition) { return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof SwapFixedInflationZeroCouponDefinition) { if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0) instanceof CouponInflationZeroCouponMonthlyDefinition) { return ((CouponInflationZeroCouponMonthlyDefinition) ((SwapFixedInflationZeroCouponDefinition) instrument) .getFirstLeg() .getNthPayment(0)) .getIndexStartValue(); } if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0) instanceof CouponInflationZeroCouponInterpolationDefinition) { return ((CouponInflationZeroCouponInterpolationDefinition) ((SwapFixedInflationZeroCouponDefinition) instrument) .getFirstLeg() .getNthPayment(0)) .getIndexStartValue(); } return 100; } if (instrument instanceof ForwardRateAgreementDefinition) { return ((ForwardRateAgreementDefinition) instrument).getRate(); } if (instrument instanceof CashDefinition) { return ((CashDefinition) instrument).getRate(); } return 1; } }
/** * Build of inflation curve and discount curve simultaneously in several blocks with relevant * Jacobian matrices. */ @Test(groups = TestGroup.UNIT) public class InflationBuildingCurveWithDiscountTestUSD { private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator( Interpolator1DFactory.LOG_LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR, Interpolator1DFactory.FLAT_EXTRAPOLATOR); private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance(); private static final double TOLERANCE_ROOT = 1.0E-10; private static final int STEP_MAX = 100; private static final Currency USD = Currency.USD; private static final Calendar NYC = new MondayToFridayCalendar("NYC"); private static final FXMatrix FX_MATRIX = new FXMatrix(USD); private static final double NOTIONAL = 1.0; private static final GeneratorSwapFixedON GENERATOR_OIS_USD = GeneratorSwapFixedONMaster.getInstance().getGenerator("USD1YFEDFUND", NYC); private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex(); private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD = new GeneratorDepositON("USD Deposit ON", USD, NYC, INDEX_ON_USD.getDayCount()); private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFALTION_SWAP = GeneratorSwapFixedInflationMaster.getInstance().getGenerator("USCPI"); private static final IndexPrice US_CPI = GENERATOR_INFALTION_SWAP.getIndexPrice(); private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 9, 28); private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28), DateUtils.getUTCDate(2012, 6, 30), DateUtils.getUTCDate(2012, 7, 31) }, new double[] {200, 200, 200, 200}); private static final String CURVE_NAME_DSC_USD = "USD Dsc"; private static final String CURVE_NAME_CPI_USD = "USD CPI"; /** Market values for the dsc USD curve */ private static final double[] DSC_USD_MARKET_QUOTES = new double[] { 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 }; /** Generators for the dsc USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_DEPOSIT_ON_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD }; /** Tenors for the dsc USD curve */ private static final Period[] DSC_USD_TENOR = new Period[] { Period.ofDays(0), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) }; private static final GeneratorAttributeIR[] DSC_USD_ATTR = new GeneratorAttributeIR[DSC_USD_TENOR.length]; static { for (int loopins = 0; loopins < DSC_USD_TENOR.length; loopins++) { DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]); } } /** Market values for the CPI USD curve */ public static final double[] CPI_USD_MARKET_QUOTES = new double[] { 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200 }; /** Generators for the CPI USD curve */ public static final GeneratorInstrument<? extends GeneratorAttribute>[] CPI_USD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP }; /** Tenors for the CPI USD curve */ public static final Period[] CPI_USD_TENOR = new Period[] { Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(6), Period.ofYears(7), Period.ofYears(8), Period.ofYears(9), Period.ofYears(10), Period.ofYears(12), Period.ofYears(15), Period.ofYears(20), Period.ofYears(25), Period.ofYears(30) }; public static final GeneratorAttributeIR[] CPI_USD_ATTR = new GeneratorAttributeIR[CPI_USD_TENOR.length]; static { for (int loopins = 0; loopins < CPI_USD_TENOR.length; loopins++) { CPI_USD_ATTR[loopins] = new GeneratorAttributeIR(CPI_USD_TENOR[loopins]); } } /** Standard USD discounting curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD; /** Standard USD CPI curve instrument definitions */ public static final InstrumentDefinition<?>[] DEFINITIONS_CPI_USD; /** Units of curves */ public static final int[] NB_UNITS = new int[] {2, 1}; public static final int NB_BLOCKS = NB_UNITS.length; public static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][]; public static final GeneratorCurve[][][] GENERATORS_UNITS = new GeneratorCurve[NB_BLOCKS][][]; public static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][]; private static final InflationProviderDiscount KNOWN_DATA = new InflationProviderDiscount(FX_MATRIX); private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>(); public static final LinkedHashMap<String, IndexPrice[]> US_CPI_MAP = new LinkedHashMap<>(); static { DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR); DEFINITIONS_CPI_USD = getDefinitions(CPI_USD_MARKET_QUOTES, CPI_USD_GENERATORS, CPI_USD_ATTR); for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][]; GENERATORS_UNITS[loopblock] = new GeneratorCurve[NB_UNITS[loopblock]][]; NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][]; } DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD}; DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_CPI_USD}; DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD, DEFINITIONS_CPI_USD}; final GeneratorYDCurve genIntLinDiscount = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); final GeneratorPriceIndexCurve genIntLinInflation = new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLinDiscount}; GENERATORS_UNITS[0][1] = new GeneratorPriceIndexCurve[] {genIntLinInflation}; GENERATORS_UNITS[1][0] = new GeneratorCurve[] {genIntLinDiscount, genIntLinInflation}; NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD}; NAMES_UNITS[0][1] = new String[] {CURVE_NAME_CPI_USD}; NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD, CURVE_NAME_CPI_USD}; DSC_MAP.put(CURVE_NAME_DSC_USD, USD); FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD}); US_CPI_MAP.put(CURVE_NAME_CPI_USD, new IndexPrice[] {US_CPI}); } @SuppressWarnings({"unchecked", "rawtypes"}) public static InstrumentDefinition<?>[] getDefinitions( final double[] marketQuotes, final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute) { final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length]; for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) { definitions[loopmv] = generators[loopmv].generateInstrument( NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]); } return definitions; } private static List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>(); // Calculator private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance(); private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDIC = PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance(); private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC = ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance(); private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC = ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance(); private static final InflationDiscountBuildingRepositoryWithDiscount CURVE_BUILDING_REPOSITORY = new InflationDiscountBuildingRepositoryWithDiscount(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX); private static final double TOLERANCE_CAL = 1.0E-9; @BeforeSuite static void initClass() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add( makeCurvesFromDefinitions( DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, PSIMQC, PSIMQCSC)); } } public List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> getCurvesWithBlock() { initClass(); return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK; } @Test(enabled = false) public void comparison1Unit2Units() { final InflationProviderDiscount[] units = new InflationProviderDiscount[2]; final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2]; final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2]; final PriceIndexCurve[] curveInflation = new PriceIndexCurve[2]; for (int loopblock = 0; loopblock < 2; loopblock++) { units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(); bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond(); curveDsc[loopblock] = units[loopblock].getCurve(USD); curveInflation[loopblock] = units[loopblock].getCurve(US_CPI); } assertEquals( "Curve construction: 1 unit / 3 units ", curveDsc[0].getNumberOfParameters(), curveDsc[1].getNumberOfParameters()); assertEquals( "Curve construction: 1 unit / 3 units ", curveInflation[0].getNumberOfParameters(), curveInflation[1].getNumberOfParameters()); assertArrayEquals( "Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()), ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()), TOLERANCE_CAL); assertArrayEquals( "Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()), ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()), TOLERANCE_CAL); assertArrayEquals( "Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getXData()), ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getXData()), TOLERANCE_CAL); assertArrayEquals( "Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getYData()), ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getYData()), TOLERANCE_CAL); } @Test(enabled = false) public void performance() { long startTime, endTime; final int nbTest = 1000; startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { makeCurvesFromDefinitions( DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC); } endTime = System.currentTimeMillis(); System.out.println( "MulticurveBuildingDiscountingDiscountXCcyTest - " + nbTest + " curve construction / USD/EUR 3 units: " + (endTime - startTime) + " ms"); // Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On // Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 5869 ms for 1000 sets. startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { makeCurvesFromDefinitions( DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSIMQC, PSIMQCSC); } endTime = System.currentTimeMillis(); System.out.println(nbTest + " curve construction / 1 unit: " + (endTime - startTime) + " ms"); // Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On // Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 9153 ms for 1000 sets. } @Test public void curveConstructionGeneratorOtherBlocks() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { curveConstructionTest( DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), loopblock); } } @Test(enabled = false) /** Analyzes the shape of the forward curve. */ public void marketQuoteSensitivityAnalysis() { final InflationProviderDiscount multicurves7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst(); multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst()); final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond(); blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond()); final double spreadJPYEUR = 0.0010; // 10bps final double notional = 100000; final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4)); final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute); final InstrumentDerivative swap = swapDefinition.toDerivative( NOW, new ZonedDateTimeDoubleTimeSeries[] { TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY }); final ParameterSensitivityInflationParameterCalculator<ParameterInflationProviderInterface> PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDIC); final MarketQuoteInflationSensitivityBlockCalculator<ParameterInflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>(PSC); @SuppressWarnings("unused") final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7); } private void curveConstructionTest( final InstrumentDefinition<?>[][][] definitions, final InflationProviderDiscount curves, final int block) { final int nbBlocks = definitions.length; for (int loopblock = 0; loopblock < nbBlocks; loopblock++) { final InstrumentDerivative[][] instruments = convert(definitions[loopblock]); final double[][] pv = new double[instruments.length][]; for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) { pv[loopcurve] = new double[instruments[loopcurve].length]; for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) { pv[loopcurve][loopins] = curves .getFxRates() .convert(instruments[loopcurve][loopins].accept(PVIC, curves), USD) .getAmount(); assertEquals( "Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL); } } } } @SuppressWarnings("unchecked") private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions( final InstrumentDefinition<?>[][][] definitions, final GeneratorCurve[][] curveGenerators, final String[][] curveNames, final InflationProviderDiscount knownData, final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, Double> calculator, final InstrumentDerivativeVisitor< ParameterInflationProviderInterface, InflationSensitivity> sensitivityCalculator) { final int nUnits = definitions.length; final MultiCurveBundle<GeneratorCurve>[] curveBundles = new MultiCurveBundle[nUnits]; for (int i = 0; i < nUnits; i++) { final int nCurves = definitions[i].length; final SingleCurveBundle<GeneratorCurve>[] singleCurves = new SingleCurveBundle[nCurves]; for (int j = 0; j < nCurves; j++) { final int nInstruments = definitions[i][j].length; final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments]; final double[] initialGuess = new double[nInstruments]; for (int k = 0; k < nInstruments; k++) { derivatives[k] = convert(definitions[i][j][k]); initialGuess[k] = initialGuess(definitions[i][j][k]); } final GeneratorCurve generator = curveGenerators[i][j].finalGenerator(derivatives); singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator); } curveBundles[i] = new MultiCurveBundle<>(singleCurves); } return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives( curveBundles, knownData, DSC_MAP, FWD_ON_MAP, US_CPI_MAP, calculator, sensitivityCalculator); } private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions) { final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][]; for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) { instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length]; int loopins = 0; for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) { InstrumentDerivative ird; if (instrument instanceof SwapFixedInflationZeroCouponDefinition) { final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW); final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument) .getSecondLeg() .toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY); ird = new Swap<>(ird1, ird2); } else { ird = instrument.toDerivative(NOW); } instruments[loopcurve][loopins++] = ird; } } return instruments; } private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) { InstrumentDerivative ird; if (instrument instanceof SwapFixedInflationZeroCouponDefinition) { final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW); final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument) .getSecondLeg() .toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY); ird = new Swap<>(ird1, ird2); } else { ird = instrument.toDerivative(NOW); } return ird; } private static double initialGuess(final InstrumentDefinition<?> instrument) { if (instrument instanceof SwapFixedONDefinition) { return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof SwapFixedIborDefinition) { return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof SwapFixedInflationZeroCouponDefinition) { if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0) instanceof CouponInflationZeroCouponMonthlyDefinition) { return 100.0; } if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0) instanceof CouponInflationZeroCouponInterpolationDefinition) { return 100.0; } return 100; } if (instrument instanceof ForwardRateAgreementDefinition) { return ((ForwardRateAgreementDefinition) instrument).getRate(); } if (instrument instanceof CashDefinition) { return ((CashDefinition) instrument).getRate(); } return 100; } }
/** Tests the present value of Capital inflation indexed bonds. */ @Test public class BondCapitalIndexedSecurityDiscountingMethodTest { private static final InflationIssuerProviderDiscount MARKET = MulticurveProviderDiscountDataSets.createMarket1(); private static final IndexPrice[] PRICE_INDEXES = MulticurveProviderDiscountDataSets.getPriceIndexes(); private static final IndexPrice PRICE_INDEX_UKRPI = PRICE_INDEXES[1]; private static final IndexPrice PRICE_INDEX_USCPI = PRICE_INDEXES[2]; private static final IndexPrice PRICE_INDEX_AUDCPI = PRICE_INDEXES[3]; private static final String[] ISSUER_NAMES = MulticurveProviderDiscountDataSets.getIssuerNames(); private static final String ISSUER_US_GOVT = ISSUER_NAMES[0]; private static final String ISSUER_UK_GOVT = ISSUER_NAMES[1]; private static final String ISSUER_AUD_GOVT = ISSUER_NAMES[3]; private static final double SHIFT_FD = 1.0E-9; private static final double TOLERANCE_PV_DELTA = 1.0E+2; private static final double TOLERANCE_SENSI_DELTA = 1.0E-6; private static final ZonedDateTime PRICING_DATE = DateUtils.getUTCDate(2011, 8, 8); private static final BondCapitalIndexedSecurityDiscountingMethod METHOD_BOND_INFLATION = new BondCapitalIndexedSecurityDiscountingMethod(); private static final CouponInflationZeroCouponMonthlyGearingDiscountingMethod METHOD_INFLATION_ZC_MONTHLY = new CouponInflationZeroCouponMonthlyGearingDiscountingMethod(); private static final CouponInflationZeroCouponInterpolationGearingDiscountingMethod METHOD_INFLATION_ZC_INTERPOLATION = new CouponInflationZeroCouponInterpolationGearingDiscountingMethod(); private static final PresentValueDiscountingInflationCalculator PVDIC = PresentValueDiscountingInflationCalculator.getInstance(); private static final NetAmountInflationCalculator NADIC = NetAmountInflationCalculator.getInstance(); private static final PresentValueDiscountingInflationIssuerCalculator PVDIIC = PresentValueDiscountingInflationIssuerCalculator.getInstance(); private static final ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator PS_PV_FDC = new ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator( PVDIC, SHIFT_FD); private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDC = PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance(); private static final ParameterSensitivityInflationParameterCalculator< ParameterInflationProviderInterface> PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDC); // Treasury Indexed Bonds CAIN 3% Index-linked Treasury Stock 2025 - AU0000XCLWP8 private static final HolidayCalendar CALENDAR_AUD = HolidayCalendars.SAT_SUN; private static final BusinessDayConvention BUSINESS_DAY_AUD = BusinessDayConventions.FOLLOWING; private static final DayCount DAY_COUNT_CAIN = DayCounts.ACT_ACT_ISDA; private static final boolean IS_EOM_CAIN = false; private static final ZonedDateTime START_DATE_CAIN = DateUtils.getUTCDate(2009, 9, 30); private static final ZonedDateTime FIRST_COUPON_DATE_CAIN = DateUtils.getUTCDate(2009, 12, 20); private static final ZonedDateTime MATURITY_DATE_CAIN = DateUtils.getUTCDate(2025, 12, 20); private static final YieldConvention YIELD_CONVENTION_CAIN = YieldConventionFactory.INSTANCE.getYieldConvention("UK:BUMP/DMO METHOD"); // To check private static final int MONTH_LAG_CAIN = 6; private static final double INDEX_START_CAIN = 173.60; // November 2001 private static final double NOTIONAL_CAIN = 1.00; private static final double REAL_RATE_CAIN = 0.03; private static final Period COUPON_PERIOD_CAIN = Period.ofMonths(3); private static final int SETTLEMENT_DAYS_CAIN = 2; // TODO: ex-coupon 7 days private static final BondCapitalIndexedSecurityDefinition< CouponInflationZeroCouponMonthlyGearingDefinition> BOND_SECURITY_CAIN_DEFINITION = BondCapitalIndexedSecurityDefinition.fromMonthly( PRICE_INDEX_AUDCPI, MONTH_LAG_CAIN, START_DATE_CAIN, INDEX_START_CAIN, FIRST_COUPON_DATE_CAIN, MATURITY_DATE_CAIN, COUPON_PERIOD_CAIN, NOTIONAL_CAIN, REAL_RATE_CAIN, BUSINESS_DAY_AUD, SETTLEMENT_DAYS_CAIN, CALENDAR_AUD, DAY_COUNT_CAIN, YIELD_CONVENTION_CAIN, IS_EOM_CAIN, ISSUER_AUD_GOVT); private static final DoubleTimeSeries<ZonedDateTime> AUD_CPI = MulticurveProviderDiscountDataSets.audCPIFrom2009(); private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_CAIN = BOND_SECURITY_CAIN_DEFINITION.toDerivative(PRICING_DATE, AUD_CPI); /** Tests the present value computation. */ public void presentValueCAIN() { final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount(); marketUKGovt.setCurve( BOND_SECURITY_CAIN.getCurrency(), MARKET.getCurve(BOND_SECURITY_CAIN.getIssuerEntity())); marketUKGovt.setCurve(PRICE_INDEX_AUDCPI, MARKET.getCurve(PRICE_INDEX_AUDCPI)); final MultiCurrencyAmount pvNominal = METHOD_INFLATION_ZC_MONTHLY.presentValue( (CouponInflationZeroCouponMonthlyGearing) BOND_SECURITY_CAIN.getNominal().getNthPayment(0), marketUKGovt); MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_CAIN.getCurrency(), 0.0); for (int loopcpn = 0; loopcpn < BOND_SECURITY_CAIN.getCoupon().getNumberOfPayments(); loopcpn++) { pvCoupon = pvCoupon.plus( BOND_SECURITY_CAIN.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt)); } final MultiCurrencyAmount pvExpectd = pvNominal.plus(pvCoupon); final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_CAIN, MARKET); assertEquals( "Inflation Capital Indexed bond: present value", pvExpectd.getAmount(BOND_SECURITY_CAIN.getCurrency()).getAmount(), pv.getAmount(BOND_SECURITY_CAIN.getCurrency()).getAmount(), 1.0E-2); } /** Tests the present value Method vs Calculator. */ public void presentValueMethodVsCalculatorCAIN() { final MultiCurrencyAmount pvMethod = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_CAIN, MARKET); final MultiCurrencyAmount pvCalculator = BOND_SECURITY_CAIN.accept(PVDIIC, MARKET); assertEquals("Inflation Capital Indexed bond: present value", pvMethod, pvCalculator); } /** Test the present value parameter curves sensitivity. */ public void presentValueParameterCurveSensitivityCAIN() { final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity( BOND_SECURITY_CAIN.getCoupon(), MARKET.getInflationProvider()); final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity( BOND_SECURITY_CAIN.getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames()); AssertSensitivityObjects.assertEquals( "Bond capital indexed security: presentValueParameterCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_SENSI_DELTA); } /** Test the present value curves sensitivity. */ public void presentValueCurveSensitivityCAIN() { MulticurveProviderInterface multicurveDecorated = new MulticurveProviderDiscountingDecoratedIssuer( MARKET.getIssuerProvider(), BOND_SECURITY_CAIN.getCurrency(), BOND_SECURITY_CAIN.getIssuerEntity()); InflationProviderInterface creditDiscounting = new InflationProviderDecoratedMulticurve( MARKET.getInflationProvider(), multicurveDecorated); final MultipleCurrencyInflationSensitivity sensitivityNominal = BOND_SECURITY_CAIN.getNominal().accept(PVCSDC, creditDiscounting); final MultipleCurrencyInflationSensitivity sensitivityCoupon = BOND_SECURITY_CAIN.getCoupon().accept(PVCSDC, creditDiscounting); final MultipleCurrencyInflationSensitivity pvcisCalculated = sensitivityNominal.plus(sensitivityCoupon); final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD_BOND_INFLATION.presentValueCurveSensitivity(BOND_SECURITY_CAIN, MARKET); AssertSensitivityObjects.assertEquals( "Bond capital indexed security: presentValueCurveSensitivity ", pvcisCalculated, pvcisMethod, TOLERANCE_PV_DELTA); } // Index-Lined Gilt 2% Index-linked Treasury Stock 2035 - GB0031790826 private static final HolidayCalendar CALENDAR_GBP = HolidayCalendars.SAT_SUN; private static final BusinessDayConvention BUSINESS_DAY_GBP = BusinessDayConventions.FOLLOWING; private static final DayCount DAY_COUNT_GILT_1 = DayCounts.ACT_ACT_ISDA; private static final boolean IS_EOM_GILT_1 = false; private static final ZonedDateTime START_DATE_GILT_1 = DateUtils.getUTCDate(2002, 7, 11); private static final ZonedDateTime FIRST_COUPON_DATE_GILT_1 = DateUtils.getUTCDate(2003, 1, 26); private static final ZonedDateTime MATURITY_DATE_GILT_1 = DateUtils.getUTCDate(2035, 1, 26); private static final YieldConvention YIELD_CONVENTION_GILT_1 = SimpleYieldConvention.UK_IL_BOND; // YieldConventionFactory.INSTANCE.getYieldConvention("UK:BUMP/DMO METHOD"); // To check private static final int MONTH_LAG_GILT_1 = 8; private static final double INDEX_START_GILT_1 = 173.60; // November 2001 private static final double NOTIONAL_GILT_1 = 1.00; private static final double REAL_RATE_GILT_1 = 0.02; private static final Period COUPON_PERIOD_GILT_1 = Period.ofMonths(6); private static final int SETTLEMENT_DAYS_GILT_1 = 2; // TODO: ex-coupon 7 days private static final BondCapitalIndexedSecurityDefinition< CouponInflationZeroCouponMonthlyGearingDefinition> BOND_SECURITY_GILT_1_DEFINITION = BondCapitalIndexedSecurityDefinition.fromMonthly( PRICE_INDEX_UKRPI, MONTH_LAG_GILT_1, START_DATE_GILT_1, INDEX_START_GILT_1, FIRST_COUPON_DATE_GILT_1, MATURITY_DATE_GILT_1, COUPON_PERIOD_GILT_1, NOTIONAL_GILT_1, REAL_RATE_GILT_1, BUSINESS_DAY_GBP, SETTLEMENT_DAYS_GILT_1, CALENDAR_GBP, DAY_COUNT_GILT_1, YIELD_CONVENTION_GILT_1, IS_EOM_GILT_1, ISSUER_UK_GOVT); private static final DoubleTimeSeries<ZonedDateTime> UK_RPI = MulticurveProviderDiscountDataSets.ukRpiFrom2010(); private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_GILT_1 = BOND_SECURITY_GILT_1_DEFINITION.toDerivative(PRICING_DATE, UK_RPI); /** Tests the present value computation. */ public void presentValueGilt1() { final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount(); marketUKGovt.setCurve( BOND_SECURITY_GILT_1.getCurrency(), MARKET.getCurve(BOND_SECURITY_GILT_1.getIssuerEntity())); marketUKGovt.setCurve(PRICE_INDEX_UKRPI, MARKET.getCurve(PRICE_INDEX_UKRPI)); final MultiCurrencyAmount pvNominal = METHOD_INFLATION_ZC_MONTHLY.presentValue( (CouponInflationZeroCouponMonthlyGearing) BOND_SECURITY_GILT_1.getNominal().getNthPayment(0), marketUKGovt); MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_GILT_1.getCurrency(), 0.0); for (int loopcpn = 0; loopcpn < BOND_SECURITY_GILT_1.getCoupon().getNumberOfPayments(); loopcpn++) { pvCoupon = pvCoupon.plus( BOND_SECURITY_GILT_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt)); } final MultiCurrencyAmount pvExpected = pvNominal.plus(pvCoupon); final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET); assertEquals( "Inflation Capital Indexed bond: present value", pvExpected.getAmount(BOND_SECURITY_GILT_1.getCurrency()).getAmount(), pv.getAmount(BOND_SECURITY_GILT_1.getCurrency()).getAmount(), 1.0E-2); } /** Tests the present value Method vs Calculator. */ public void presentValueMethodVsCalculator() { final MultiCurrencyAmount pvMethod = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET); final MultiCurrencyAmount pvCalculator = BOND_SECURITY_GILT_1.accept(PVDIIC, MARKET); assertEquals("Inflation Capital Indexed bond: present value", pvMethod, pvCalculator); } // 2% 10-YEAR TREASURY INFLATION-PROTECTED SECURITIES (TIPS) Due January 15, 2016 - US912828ET33 private static final HolidayCalendar CALENDAR_USD = HolidayCalendars.SAT_SUN; private static final BusinessDayConvention BUSINESS_DAY_USD = BusinessDayConventions.FOLLOWING; private static final DayCount DAY_COUNT_TIPS_1 = DayCounts.ACT_ACT_ICMA; private static final boolean IS_EOM_TIPS_1 = false; private static final ZonedDateTime START_DATE_TIPS_1 = DateUtils.getUTCDate(2006, 1, 15); private static final ZonedDateTime MATURITY_DATE_TIPS_1 = DateUtils.getUTCDate(2016, 1, 15); private static final YieldConvention YIELD_CONVENTION_TIPS_1 = SimpleYieldConvention.US_IL_REAL; private static final int MONTH_LAG_TIPS_1 = 3; private static final double INDEX_START_TIPS_1 = 198.47742; // Date: private static final double NOTIONAL_TIPS_1 = 100.00; private static final double REAL_RATE_TIPS_1 = 0.02; private static final Period COUPON_PERIOD_TIPS_1 = Period.ofMonths(6); private static final int SETTLEMENT_DAYS_TIPS_1 = 1; private static final BondCapitalIndexedSecurityDefinition< CouponInflationZeroCouponInterpolationGearingDefinition> BOND_SECURITY_TIPS_1_DEFINITION = BondCapitalIndexedSecurityDefinition.fromInterpolation( PRICE_INDEX_USCPI, MONTH_LAG_TIPS_1, START_DATE_TIPS_1, INDEX_START_TIPS_1, MATURITY_DATE_TIPS_1, COUPON_PERIOD_TIPS_1, NOTIONAL_TIPS_1, REAL_RATE_TIPS_1, BUSINESS_DAY_USD, SETTLEMENT_DAYS_TIPS_1, CALENDAR_USD, DAY_COUNT_TIPS_1, YIELD_CONVENTION_TIPS_1, IS_EOM_TIPS_1, ISSUER_US_GOVT); private static final DoubleTimeSeries<ZonedDateTime> US_CPI = MulticurveProviderDiscountDataSets.usCpiFrom2009(); private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_TIPS_1 = BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(PRICING_DATE, US_CPI); /** Tests the present value computation. */ public void presentValueTips1() { final InflationProviderDiscount marketUSGovt = new InflationProviderDiscount(); marketUSGovt.setCurve( BOND_SECURITY_TIPS_1.getCurrency(), MARKET.getCurve(BOND_SECURITY_TIPS_1.getIssuerEntity())); marketUSGovt.setCurve(PRICE_INDEX_USCPI, MARKET.getCurve(PRICE_INDEX_USCPI)); final MultiCurrencyAmount pvNominal = METHOD_INFLATION_ZC_INTERPOLATION.presentValue( (CouponInflationZeroCouponInterpolationGearing) BOND_SECURITY_TIPS_1.getNominal().getNthPayment(0), marketUSGovt); MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_TIPS_1.getCurrency(), 0.0); for (int loopcpn = 0; loopcpn < BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments(); loopcpn++) { pvCoupon = pvCoupon.plus( BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUSGovt)); } final MultiCurrencyAmount pvExpected = pvNominal.plus(pvCoupon); final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_TIPS_1, MARKET); assertEquals( "Inflation Capital Indexed bond: present value", pvExpected.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(), pv.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(), 1.0E-2); } /** Tests the present value computation. */ public void presentValueFromCleanPriceRealTips1() { final double cleanPriceReal = 1.05; Currency ccy = BOND_SECURITY_TIPS_1.getCurrency(); final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValueFromCleanRealPrice( BOND_SECURITY_TIPS_1, MARKET, cleanPriceReal); MultiCurrencyAmount pvPriceReal = BOND_SECURITY_TIPS_1.getSettlement().accept(PVDIIC, MARKET).multipliedBy(cleanPriceReal); MultiCurrencyAmount pvAccrued = BOND_SECURITY_TIPS_1 .getSettlement() .accept(PVDIC, MARKET) .multipliedBy(BOND_SECURITY_TIPS_1.getAccruedInterest()); MultiCurrencyAmount pvExpected = pvPriceReal.plus(pvAccrued); assertEquals( "Inflation Capital Indexed bond: present value from clean real price", pvExpected.getAmount(ccy).getAmount(), pv.getAmount(ccy).getAmount(), 1.0E-6); } /** Tests the present value computation. */ public void presentValueFromCleanPriceNominalTips1() { final double cleanPriceNominal = 1.05; Currency ccy = BOND_SECURITY_TIPS_1.getCurrency(); final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValueFromCleanNominalPrice( BOND_SECURITY_TIPS_1, MARKET, cleanPriceNominal); MultiCurrencyAmount pvAccrued = BOND_SECURITY_TIPS_1 .getSettlement() .accept(PVDIC, MARKET) .multipliedBy(BOND_SECURITY_TIPS_1.getAccruedInterest()); double pvPriceNominal = cleanPriceNominal * MARKET.getDiscountFactor(ccy, BOND_SECURITY_TIPS_1.getSettlementTime()) * NOTIONAL_TIPS_1; double pvExpected = pvPriceNominal + pvAccrued.getAmount(ccy).getAmount(); assertEquals( "Inflation Capital Indexed bond: present value from clean real price", pvExpected, pv.getAmount(ccy).getAmount(), 1.0E-6); } /** Tests the clean real price from the dirty real price. */ public void cleanNominalPriceFromDirtyNominalPriceTips1() { final double dirtyNominal = 1.01; final double cleanReal = METHOD_BOND_INFLATION.cleanNominalPriceFromDirtyNominalPrice( BOND_SECURITY_TIPS_1, dirtyNominal); final double indexRatio = BOND_SECURITY_TIPS_1.getIndexRatio(); final double cleanRealExpected = dirtyNominal - BOND_SECURITY_TIPS_1.getAccruedInterest() / NOTIONAL_TIPS_1 * indexRatio; assertEquals( "Inflation Capital Indexed bond: clean from dirty", cleanRealExpected, cleanReal, 1.0E-8); } /** Tests the clean real price from the dirty real price. */ public void cleanRealFromDirtyRealTips1() { final double dirtyReal = 1.01; final double cleanReal = METHOD_BOND_INFLATION.cleanRealPriceFromDirtyRealPrice(BOND_SECURITY_TIPS_1, dirtyReal); final double cleanRealExpected = dirtyReal - BOND_SECURITY_TIPS_1.getAccruedInterest() / NOTIONAL_TIPS_1; assertEquals( "Inflation Capital Indexed bond: clean from dirty", cleanRealExpected, cleanReal, 1.0E-8); } /** Tests the dirty real price computation from the real yield in the "US I/L real" convention. */ public void dirtyRealPriceFromRealYieldTips1() { final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03}; final int nbCoupon = BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments(); final double[] dirtyRealPrice = new double[yield.length]; final double[] dirtyRealPriceExpected = new double[yield.length]; for (int loopyield = 0; loopyield < yield.length; loopyield++) { dirtyRealPrice[loopyield] = METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]); final double factorOnPeriod = 1 + yield[loopyield] / BOND_SECURITY_TIPS_1.getCouponPerYear(); double pvAtFirstCoupon = 0; for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) { pvAtFirstCoupon += ((CouponInflationGearing) BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn)) .getFactor() / BOND_SECURITY_TIPS_1.getCouponPerYear() / Math.pow(factorOnPeriod, loopcpn); } pvAtFirstCoupon += 1.0 / Math.pow(factorOnPeriod, nbCoupon - 1); dirtyRealPriceExpected[loopyield] = pvAtFirstCoupon / (1 + BOND_SECURITY_TIPS_1.getAccrualFactorToNextCoupon() * yield[loopyield] / BOND_SECURITY_TIPS_1.getCouponPerYear()); assertEquals( "Inflation Capital Indexed bond: yield " + loopyield, dirtyRealPriceExpected[loopyield], dirtyRealPrice[loopyield], 1.0E-8); } } /** Tests the clean real price from the dirty real price. */ public void yieldRealFromDirtyRealTips1() { final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03}; final double[] dirtyRealPrice = new double[yield.length]; final double[] yieldComputed = new double[yield.length]; for (int loopyield = 0; loopyield < yield.length; loopyield++) { dirtyRealPrice[loopyield] = METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]); yieldComputed[loopyield] = METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice( BOND_SECURITY_TIPS_1, dirtyRealPrice[loopyield]); assertEquals( "Inflation Capital Indexed bond: yield " + loopyield, yield[loopyield], yieldComputed[loopyield], 1.0E-8); } } @Test(enabled = false) /** Tests the clean, dirty and yield vs external hard-coded values. */ public void priceYieldExternalValues1() { final double m1 = 1000000; // Notional of the external figures. final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 16); // Spot 18-Aug-2011 final InflationIssuerProviderDiscount market = MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817); final double cleanRealPrice = 1.00; final BondCapitalIndexedSecurity<Coupon> bond_110817 = BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI); final double referenceIndexExpected = 225.83129; final MultiCurrencyAmount netAmountSettle = bond_110817.getSettlement().accept(NADIC, market.getInflationProvider()); final double referenceIndexComputed = netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount() * BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue() / bond_110817.getSettlement().getNotional(); assertEquals( "Inflation Capital Indexed bond: index", referenceIndexExpected, referenceIndexComputed, 1.0E-5); final double indexRatioExpected = 1.13782; final MultiCurrencyAmount indexRatioCalculated = bond_110817.getSettlement().accept(NADIC, market.getInflationProvider()); assertEquals( "Inflation Capital Indexed bond: indexRatio", indexRatioExpected, indexRatioCalculated.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() / NOTIONAL_TIPS_1, 1.0E-5); final double yieldExpected = 1.999644 / 100.0; final double dirtyRealPriceComputed = METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice); final double yieldComputed = METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed); assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8); final double accruedExpected = 2102.49; final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected; final double accruedReal = bond_110817.getAccruedInterest(); assertEquals( "Inflation Capital Indexed bond: accrued", accruedRealExpected, accruedReal / NOTIONAL_TIPS_1, 1.0E-8); final double netAmountExpected = 1139922.49; // For 1m; uses the rounding rules. final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected; assertEquals( "Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2); final MultiCurrencyAmount netAmount = METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice); assertEquals( "Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1, 2.0E+0); // The difference is due to rounding. } @Test(enabled = false) /** Tests the clean, dirty and yield vs external hard-coded values. */ public void priceYieldExternalValues2() { final double m1 = 1000000; // Notional of the external figures. final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 17); // Spot 18-Aug-2011 final InflationIssuerProviderDiscount market = MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817); final double cleanRealPrice = 1.13 + 0.01 / 32; final BondCapitalIndexedSecurity<Coupon> bond_110817 = BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI); final double referenceIndexExpected = 225.83129; final MultiCurrencyAmount netAmountSettle = bond_110817.getSettlement().accept(NADIC, market.getInflationProvider()); final double referenceIndexComputed = netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount() * BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue() / bond_110817.getSettlement().getNotional(); assertEquals( "Inflation Capital Indexed bond: index", referenceIndexExpected, referenceIndexComputed, 1.0E-5); final double indexRatioExpected = 1.13782; assertEquals( "Inflation Capital Indexed bond: indexRatio", indexRatioExpected, referenceIndexComputed / INDEX_START_TIPS_1, 1.0E-5); final double yieldExpected = -0.892152 / 100.0; final double dirtyRealPriceComputed = METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice); final double yieldComputed = METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed); assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8); final double accruedExpected = 2102.49; final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected; final double accruedReal = bond_110817.getAccruedInterest(); assertEquals( "Inflation Capital Indexed bond: accrued", accruedRealExpected, accruedReal / NOTIONAL_TIPS_1, 1.0E-8); final double netAmountExpected = 1288194.66; // For 1m; uses the rounding rules. final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected; assertEquals( "Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2); final MultiCurrencyAmount netAmount = METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice); assertEquals( "Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1, 2.0E+0); // The difference is due to rounding. } @Test(enabled = false) /** Tests the clean, dirty and yield vs external hard-coded values. */ public void priceYieldExternalValues3() { final double m1 = 1000000; // Notional of the external figures. final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 18); // Spot 19-Aug-2011 final InflationIssuerProviderDiscount market = MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817); final double cleanRealPrice = 1.00; final BondCapitalIndexedSecurity<Coupon> bond_110817 = BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI); final double referenceIndexExpected = 225.82348; final MultiCurrencyAmount netAmountSettle = bond_110817.getSettlement().accept(NADIC, market.getInflationProvider()); final double referenceIndexComputed = netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount() * BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue() / bond_110817.getSettlement().getNotional(); assertEquals( "Inflation Capital Indexed bond: index", referenceIndexExpected, referenceIndexComputed, 1.0E-5); final double indexRatioExpected = 1.13778; final double yieldExpected = 1.999636 / 100.0; final double dirtyRealPriceComputed = METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice); final double yieldComputed = METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed); assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8); final double accruedExpected = 2164.26; final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected; final double accruedReal = bond_110817.getAccruedInterest(); assertEquals( "Inflation Capital Indexed bond: accrued", accruedRealExpected, accruedReal / NOTIONAL_TIPS_1, 1.0E-8); final double netAmountExpected = 1139944.26; // For 1m; uses the rounding rules. final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected; assertEquals( "Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2); final MultiCurrencyAmount netAmount = METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice); assertEquals( "Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1, 2.0E+0); // The difference is due to rounding. } /** Test the present value parameter curves sensitivity. */ public void presentValueParameterCurveSensitivity() { final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity( BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider()); final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity( BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames()); AssertSensitivityObjects.assertEquals( "Bond capital indexed security: presentValueParameterCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA); } /** Test the present value curves sensitivity. */ public void presentValueCurveSensitivity() { MulticurveProviderInterface multicurveDecorated = new MulticurveProviderDiscountingDecoratedIssuer( MARKET.getIssuerProvider(), BOND_SECURITY_GILT_1.getCurrency(), BOND_SECURITY_GILT_1.getIssuerEntity()); InflationProviderInterface inflationDecorated = new InflationProviderDecoratedMulticurve( MARKET.getInflationProvider(), multicurveDecorated); final MultipleCurrencyInflationSensitivity sensitivityNominal = BOND_SECURITY_GILT_1.getNominal().accept(PVCSDC, inflationDecorated); final MultipleCurrencyInflationSensitivity sensitivityCoupon = BOND_SECURITY_GILT_1.getCoupon().accept(PVCSDC, inflationDecorated); final MultipleCurrencyInflationSensitivity pvcisCalculated = sensitivityNominal.plus(sensitivityCoupon); final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD_BOND_INFLATION.presentValueCurveSensitivity(BOND_SECURITY_GILT_1, MARKET); AssertSensitivityObjects.assertEquals( "Bond capital indexed security: presentValueCurveSensitivity ", pvcisCalculated, pvcisMethod, TOLERANCE_PV_DELTA); } }