/**
* Test for the case where publication lag=0, effective offset=0 (GBP conventions) and no cutoff
* period. The arithmetic average coupons are used mainly in USD. This test is more for
* completeness than a real case.
*/
public void rateGbpNoCutOff() {
OvernightIndexRates mockRates = mock(OvernightIndexRates.class);
when(mockRates.getIndex()).thenReturn(GBP_SONIA);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < FIXING_DATES.length; i++) {
when(mockRates.rate(FIXING_DATES[i])).thenReturn(FIXING_RATES[i]);
}
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(GBP_SONIA, FIXING_START_DATE, FIXING_END_DATE, 0);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
double accrualFactorTotal = 0.0d;
double accruedRate = 0.0d;
int indexLast = 5; // Fixing in the observation period are from 1 to 5 (inclusive)
for (int i = 1; i <= indexLast; i++) {
LocalDate startDate = FIXING_DATES[i]; // no effective lag
LocalDate endDate = GBP_SONIA.calculateMaturityFromEffective(startDate);
double af = GBP_SONIA.getDayCount().yearFraction(startDate, endDate);
accrualFactorTotal += af;
accruedRate += FIXING_RATES[i] * af;
}
double rateExpected = accruedRate / accrualFactorTotal;
double rateComputed =
obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
assertEquals(rateExpected, rateComputed, TOLERANCE_RATE);
}
/**
* Test for the case where publication lag=0, effective offset=0 (GBP conventions) and no cutoff
* period. The arithmetic average coupons are used mainly in USD. This test is more for
* completeness than a real case.
*/
public void rateGbpNoCutOffSensitivity() {
OvernightIndexRates mockRates = mock(OvernightIndexRates.class);
when(mockRates.getIndex()).thenReturn(GBP_SONIA);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < FIXING_DATES.length; i++) {
when(mockRates.rate(FIXING_DATES[i])).thenReturn(FIXING_RATES[i]);
LocalDate fixingStartDate = GBP_SONIA.calculateEffectiveFromFixing(FIXING_DATES[i]);
LocalDate fixingEndDate = GBP_SONIA.calculateMaturityFromEffective(fixingStartDate);
OvernightRateSensitivity sensitivity =
OvernightRateSensitivity.of(
GBP_SONIA, FIXING_DATES[i], fixingEndDate, GBP_SONIA.getCurrency(), 1d);
when(mockRates.ratePointSensitivity(FIXING_DATES[i])).thenReturn(sensitivity);
}
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(GBP_SONIA, FIXING_START_DATE, FIXING_END_DATE, 0);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed =
obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
PointSensitivities sensitivityComputed = sensitivityBuilderComputed.build().normalized();
Double[] sensitivityExpected = computedSensitivityFD(ro, GBP_SONIA);
assertEquals(sensitivityComputed.getSensitivities().size(), sensitivityExpected.length);
for (int i = 0; i < sensitivityExpected.length; ++i) {
assertEquals(
sensitivityComputed.getSensitivities().get(i).getSensitivity(),
sensitivityExpected[i],
EPS_FD);
}
}
/**
* Test for the case where publication lag=1, effective offset=0 (USD conventions) and cutoff=2
* (FedFund swaps).
*/
public void rateFedFund() {
OvernightIndexRates mockRates = mock(OvernightIndexRates.class);
when(mockRates.getIndex()).thenReturn(USD_FED_FUND);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < FIXING_DATES.length; i++) {
when(mockRates.rate(FIXING_DATES[i])).thenReturn(FIXING_RATES[i]);
}
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(USD_FED_FUND, FIXING_START_DATE, FIXING_END_DATE, 2);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
double accrualFactorTotal = 0.0d;
double accruedRate = 0.0d;
int indexLast =
5; // Fixing in the observation period are from 1 to 5 (inclusive), but last is modified by
// cut-off
for (int i = 1; i <= indexLast - 1; i++) {
LocalDate endDate = USD_FED_FUND.calculateMaturityFromEffective(FIXING_DATES[i]);
double af = USD_FED_FUND.getDayCount().yearFraction(FIXING_DATES[i], endDate);
accrualFactorTotal += af;
accruedRate += FIXING_RATES[i] * af;
}
// CutOff
LocalDate endDate = USD_FED_FUND.calculateMaturityFromEffective(FIXING_DATES[indexLast]);
double af = USD_FED_FUND.getDayCount().yearFraction(FIXING_DATES[indexLast], endDate);
accrualFactorTotal += af;
accruedRate += FIXING_RATES[indexLast - 1] * af;
double rateExpected = accruedRate / accrualFactorTotal;
double rateComputed =
obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
assertEquals(rateExpected, rateComputed, TOLERANCE_RATE);
}
/**
* Test for the case where publication lag=1, effective offset=0 (USD conventions) and no cutoff
* period.
*/
public void rateFedFundNoCutOff() {
OvernightIndexRates mockRates = mock(OvernightIndexRates.class);
when(mockRates.getIndex()).thenReturn(USD_FED_FUND);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < FIXING_DATES.length; i++) {
when(mockRates.rate(FIXING_DATES[i])).thenReturn(FIXING_RATES[i]);
}
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(USD_FED_FUND, FIXING_START_DATE, FIXING_END_DATE, 0);
// Accrual dates = fixing dates
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
double accrualFactorTotal = 0.0d;
double accruedRate = 0.0d;
int indexLast = 5; // Fixing in the observation period are from 1 to 5 (inclusive)
for (int i = 1; i <= indexLast; i++) {
LocalDate endDate = USD_FED_FUND.calculateMaturityFromEffective(FIXING_DATES[i]);
double af = USD_FED_FUND.getDayCount().yearFraction(FIXING_DATES[i], endDate);
accrualFactorTotal += af;
accruedRate += FIXING_RATES[i] * af;
}
double rateExpected = accruedRate / accrualFactorTotal;
double rateComputed =
obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
assertEquals(rateExpected, rateComputed, TOLERANCE_RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
double explainedRate =
obsFn.explainRate(
ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv, builder);
assertEquals(explainedRate, rateExpected, TOLERANCE_RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).isPresent(), false);
assertEquals(
built.get(ExplainKey.COMBINED_RATE).get().doubleValue(), rateExpected, TOLERANCE_RATE);
}
/** Test parameter sensitivity with finite difference sensitivity calculator. No cutoff period. */
public void rateChfNoCutOffParameterSensitivity() {
LocalDate[] valuationDate = {date(2015, 1, 1), date(2015, 1, 8)};
double[] time = new double[] {0.0, 0.5, 1.0, 2.0, 5.0, 10.0};
double[] rate = new double[] {0.0100, 0.0110, 0.0115, 0.0130, 0.0135, 0.0135};
for (int loopvaldate = 0; loopvaldate < 2; loopvaldate++) {
Curve onCurve =
InterpolatedNodalCurve.of(Curves.zeroRates("ON", ACT_ACT_ISDA), time, rate, INTERPOLATOR);
ImmutableRatesProvider prov =
ImmutableRatesProvider.builder()
.valuationDate(valuationDate[loopvaldate])
.indexCurves(ImmutableMap.of(CHF_TOIS, onCurve))
.timeSeries(ImmutableMap.of(CHF_TOIS, TIME_SERIES_BUILDER.build()))
.build();
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(CHF_TOIS, FIXING_START_DATE, FIXING_END_DATE, 0);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed =
obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
CurveCurrencyParameterSensitivities parameterSensitivityComputed =
prov.curveParameterSensitivity(sensitivityBuilderComputed.build());
CurveCurrencyParameterSensitivities parameterSensitivityExpected =
CAL_FD.sensitivity(
prov,
(p) ->
CurrencyAmount.of(
CHF_TOIS.getCurrency(),
obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, (p))));
assertTrue(
parameterSensitivityComputed.equalWithTolerance(
parameterSensitivityExpected, EPS_FD * 10.0));
}
}