/**
* Returns a periodic frequency backed by a period of years.
*
* @param years the number of years
* @return the periodic frequency
* @throws IllegalArgumentException if years is negative, zero or over 1,000
*/
public static Frequency ofYears(int years) {
if (years > MAX_YEARS) {
throw new IllegalArgumentException("Years must not exceed 1,000");
}
return new Frequency(Period.ofYears(years));
}
/**
* A periodic frequency used by financial products that have a specific event every so often.
*
* <p>Frequency is primarily intended to be used to subdivide events within a year.
*
* <p>A frequency is allowed to be any non-negative period of days, weeks, month or years. This
* class provides constants for common frequencies which are best used by static import.
*
* <p>A special value, 'Term', is provided for when there are no subdivisions of the entire term.
* This is also know as 'zero-coupon' or 'once'. It is represented using the period 10,000 years,
* which allows addition/subtraction to work, producing a date after the end of the term.
*
* <p>Each frequency is based on a {@link Period}. The months and years of the period are not
* normalized, thus it is possible to have a frequency of 12 months and a different one of 1 year.
* When used, standard date addition rules apply, thus there is no difference between them. Call
* {@link #normalized()} to apply normalization.
*
* <p>The periodic frequency is often expressed as a number of events per year. The {@link
* #eventsPerYear()} method can be used to obtain this for common frequencies.
*
* <h4>Usage</h4>
*
* {@code Frequency} implements {@code TemporalAmount} allowing it to be directly added to a date:
*
* <pre>
* LocalDate later = baseDate.plus(frequency);
* </pre>
*/
public final class Frequency implements TemporalAmount, Serializable {
/** Serialization version. */
private static final long serialVersionUID = 1;
/** The artificial maximum length of a normal tenor in years. */
private static final int MAX_YEARS = 1_000;
/** The artificial maximum length of a normal tenor in months. */
private static final int MAX_MONTHS = MAX_YEARS * 12;
/** The artificial length in years of the 'Term' frequency. */
private static final int TERM_YEARS = 10_000;
/**
* A periodic frequency of one day. Also known as daily. There are considered to be 364 events per
* year with this frequency.
*/
public static final Frequency P1D = ofDays(1);
/**
* A periodic frequency of 1 week (7 days). Also known as weekly. There are considered to be 52
* events per year with this frequency.
*/
public static final Frequency P1W = ofWeeks(1);
/**
* A periodic frequency of 2 weeks (14 days). Also known as bi-weekly. There are considered to be
* 26 events per year with this frequency.
*/
public static final Frequency P2W = ofWeeks(2);
/**
* A periodic frequency of 4 weeks (28 days). Also known as lunar. There are considered to be 13
* events per year with this frequency.
*/
public static final Frequency P4W = ofWeeks(4);
/**
* A periodic frequency of 13 weeks (91 days). There are considered to be 4 events per year with
* this frequency.
*/
public static final Frequency P13W = ofWeeks(13);
/**
* A periodic frequency of 26 weeks (182 days). There are considered to be 2 events per year with
* this frequency.
*/
public static final Frequency P26W = ofWeeks(26);
/**
* A periodic frequency of 52 weeks (364 days). There is considered to be 1 event per year with
* this frequency.
*/
public static final Frequency P52W = ofWeeks(52);
/**
* A periodic frequency of 1 month. Also known as monthly. There are 12 events per year with this
* frequency.
*/
public static final Frequency P1M = ofMonths(1);
/**
* A periodic frequency of 2 months. Also known as bi-monthly. There are 6 events per year with
* this frequency.
*/
public static final Frequency P2M = ofMonths(2);
/**
* A periodic frequency of 3 months. Also known as quarterly. There are 4 events per year with
* this frequency.
*/
public static final Frequency P3M = ofMonths(3);
/** A periodic frequency of 4 months. There are 3 events per year with this frequency. */
public static final Frequency P4M = ofMonths(4);
/**
* A periodic frequency of 6 months. Also known as semi-annual. There are 2 events per year with
* this frequency.
*/
public static final Frequency P6M = ofMonths(6);
/**
* A periodic frequency of 12 months (1 year). Also known as annual. There is 1 event per year
* with this frequency.
*/
public static final Frequency P12M = ofMonths(12);
/**
* A periodic frequency matching the term. Also known as zero-coupon. This is represented using
* the period 10,000 years. There are no events per year with this frequency.
*/
public static final Frequency TERM = new Frequency(Period.ofYears(TERM_YEARS), "Term");
/** The period of the frequency. */
private final Period period;
/** The name of the frequency. */
private final String name;
// -------------------------------------------------------------------------
/**
* Obtains a periodic frequency from a {@code Period}.
*
* <p>The period normally consists of either days and weeks, or months and years. It must also be
* positive and non-zero.
*
* <p>If the number of days is an exact multiple of 7 it will be converted to weeks. Months are
* not normalized into years.
*
* <p>The maximum tenor length is 1,000 years.
*
* @param period the period to convert to a periodic frequency
* @return the periodic frequency
* @throws IllegalArgumentException if the period is negative, zero or too large
*/
public static Frequency of(Period period) {
ArgChecker.notNull(period, "period");
int days = period.getDays();
long months = period.toTotalMonths();
if (months == 0 && days != 0) {
return ofDays(days);
}
if (months > MAX_MONTHS) {
throw new IllegalArgumentException("Period must not exceed 1000 years");
}
return new Frequency(period);
}
/**
* Returns a periodic frequency backed by a period of days.
*
* <p>If the number of days is an exact multiple of 7 it will be converted to weeks.
*
* @param days the number of days
* @return the periodic frequency
* @throws IllegalArgumentException if days is negative or zero
*/
public static Frequency ofDays(int days) {
if (days % 7 == 0) {
return ofWeeks(days / 7);
}
return new Frequency(Period.ofDays(days));
}
/**
* Returns a periodic frequency backed by a period of weeks.
*
* @param weeks the number of weeks
* @return the periodic frequency
* @throws IllegalArgumentException if weeks is negative or zero
*/
public static Frequency ofWeeks(int weeks) {
return new Frequency(Period.ofWeeks(weeks), "P" + weeks + "W");
}
/**
* Returns a periodic frequency backed by a period of months.
*
* <p>Months are not normalized into years.
*
* @param months the number of months
* @return the periodic frequency
* @throws IllegalArgumentException if months is negative, zero or over 12,000
*/
public static Frequency ofMonths(int months) {
if (months > MAX_MONTHS) {
throw new IllegalArgumentException("Months must not exceed 12,000");
}
return new Frequency(Period.ofMonths(months));
}
/**
* Returns a periodic frequency backed by a period of years.
*
* @param years the number of years
* @return the periodic frequency
* @throws IllegalArgumentException if years is negative, zero or over 1,000
*/
public static Frequency ofYears(int years) {
if (years > MAX_YEARS) {
throw new IllegalArgumentException("Years must not exceed 1,000");
}
return new Frequency(Period.ofYears(years));
}
// -------------------------------------------------------------------------
/**
* Parses a formatted string representing the frequency.
*
* <p>The format can either be based on ISO-8601, such as 'P3M' or without the 'P' prefix e.g.
* '2W'.
*
* <p>The period must be positive and non-zero.
*
* @param toParse the string representing the frequency
* @return the frequency
* @throws IllegalArgumentException if the frequency cannot be parsed
*/
@FromString
public static Frequency parse(String toParse) {
ArgChecker.notNull(toParse, "toParse");
if (toParse.equalsIgnoreCase("Term")) {
return TERM;
}
String prefixed = toParse.startsWith("P") ? toParse : "P" + toParse;
try {
return Frequency.of(Period.parse(prefixed));
} catch (DateTimeParseException ex) {
throw new IllegalArgumentException(ex);
}
}
// -------------------------------------------------------------------------
/**
* Creates a periodic frequency.
*
* @param period the period to represent
*/
private Frequency(Period period) {
this(period, period.toString());
}
/**
* Creates a periodic frequency.
*
* @param period the period to represent
* @param name the name
*/
private Frequency(Period period, String name) {
ArgChecker.notNull(period, "period");
ArgChecker.isFalse(period.isZero(), "Period must not be zero");
ArgChecker.isFalse(period.isNegative(), "Period must not be negative");
this.period = period;
this.name = name;
}
// safe deserialization
private Object readResolve() {
if (this.equals(TERM)) {
return TERM;
}
return of(period);
}
// -------------------------------------------------------------------------
/**
* Gets the underlying period of the frequency.
*
* @return the period
*/
public Period getPeriod() {
return period;
}
/**
* Checks if the periodic frequency is the 'Term' instance.
*
* <p>The term instance corresponds to there being no subdivisions of the entire term.
*
* @return true if this is the 'Term' instance
*/
public boolean isTerm() {
return this == TERM;
}
// -------------------------------------------------------------------------
/**
* Normalizes the months and years of this tenor.
*
* <p>This method returns a tenor of an equivalent length but with any number of months greater
* than 12 normalized into a combination of months and years.
*
* @return the normalized tenor
*/
public Frequency normalized() {
Period norm = period.normalized();
return (norm != period ? Frequency.of(norm) : this);
}
// -------------------------------------------------------------------------
/**
* Checks if the periodic frequency is week-based.
*
* <p>A week-based frequency consists of an integral number of weeks. There must be no day, month
* or year element.
*
* @return true if this is week-based
*/
public boolean isWeekBased() {
return period.toTotalMonths() == 0 && period.getDays() % 7 == 0;
}
/**
* Checks if the periodic frequency is month-based.
*
* <p>A month-based frequency consists of an integral number of months. Any year-based frequency
* is also counted as month-based. There must be no day or week element.
*
* @return true if this is month-based
*/
public boolean isMonthBased() {
return period.toTotalMonths() > 0 && period.getDays() == 0 && isTerm() == false;
}
// -------------------------------------------------------------------------
/**
* Calculates the number of events that occur in a year.
*
* <p>The number of events per year is the number of times that the period occurs per year. Not
* all periodic frequency instances can be converted to an integer events per year. All constants
* declared on this class will return a result.
*
* <p>Month-based and year-based periodic frequencies are converted by dividing 12 by the number
* of months. Only the following periodic frequencies return a value - P1M, P2M, P3M, P4M, P6M,
* P1Y.
*
* <p>Day-based and week-based periodic frequencies are converted by dividing 364 by the number of
* days. Only the following periodic frequencies return a value - P1D, P2D, P4D, P1W, P2W, P4W,
* P13W, P26W, P52W.
*
* <p>The 'Term' periodic frequency returns zero.
*
* @return the number of events per year
* @throws IllegalArgumentException if unable to calculate the number of events per year
*/
public int eventsPerYear() {
if (isTerm()) {
return 0;
}
long months = period.toTotalMonths();
int days = period.getDays();
if (isMonthBased()) {
if (12 % months == 0) {
return (int) (12 / months);
}
} else if (months == 0 && 364 % days == 0) {
return (int) (364 / days);
}
throw new IllegalArgumentException("Unable to calculate events per year: " + this);
}
// -------------------------------------------------------------------------
/**
* Exactly divides this frequency by another.
*
* <p>This calculates the integer division of this frequency by the specified frequency. If the
* result is not an integer, an exception is thrown.
*
* <p>Month-based and year-based periodic frequencies are calculated by dividing the total number
* of months. For example, P6M divided by P3M results in 2, and P2Y divided by P6M returns 4.
*
* <p>Day-based and week-based periodic frequencies are calculated by dividing the total number of
* days. For example, P26W divided by P13W results in 2, and P2W divided by P1D returns 14.
*
* <p>The 'Term' frequency throws an exception.
*
* @param other the other frequency to divide into this one
* @return this frequency divided by the other frequency
* @throws IllegalArgumentException if the frequency does not exactly divide into this one
*/
public int exactDivide(Frequency other) {
ArgChecker.notNull(other, "other");
if (isMonthBased() && other.isMonthBased()) {
long paymentMonths = getPeriod().toTotalMonths();
long accrualMonths = other.getPeriod().toTotalMonths();
if ((paymentMonths % accrualMonths) == 0) {
return Math.toIntExact(paymentMonths / accrualMonths);
}
} else if (period.toTotalMonths() == 0 && other.period.toTotalMonths() == 0) {
long paymentDays = getPeriod().getDays();
long accrualDays = other.getPeriod().getDays();
if ((paymentDays % accrualDays) == 0) {
return Math.toIntExact(paymentDays / accrualDays);
}
}
throw new IllegalArgumentException(
Messages.format("Frequency '{}' is not a multiple of '{}'", this, other));
}
// -------------------------------------------------------------------------
/**
* Gets the value of the specified unit.
*
* <p>This will return a value for the years, months and days units. Note that weeks are not
* included. All other units throw an exception.
*
* <p>The 'Term' period is returned as a period of 10,000 years.
*
* <p>This method implements {@link TemporalAmount}. It is not intended to be called directly.
*
* @param unit the unit to query
* @return the value of the unit
* @throws UnsupportedTemporalTypeException if the unit is not supported
*/
@Override
public long get(TemporalUnit unit) {
return period.get(unit);
}
/**
* Gets the unit of this periodic frequency.
*
* <p>This returns a list containing years, months and days. Note that weeks are not included.
*
* <p>The 'Term' period is returned as a period of 10,000 years.
*
* <p>This method implements {@link TemporalAmount}. It is not intended to be called directly.
*
* @return a list containing the years, months and days units
*/
@Override
public List<TemporalUnit> getUnits() {
return period.getUnits();
}
/**
* Adds the period of this frequency to the specified date.
*
* <p>This method implements {@link TemporalAmount}. It is not intended to be called directly. Use
* {@link LocalDate#plus(TemporalAmount)} instead.
*
* @param temporal the temporal object to add to
* @return the result with this frequency added
* @throws DateTimeException if unable to add
* @throws ArithmeticException if numeric overflow occurs
*/
@Override
public Temporal addTo(Temporal temporal) {
// special case for performance
if (temporal instanceof LocalDate) {
LocalDate date = (LocalDate) temporal;
return date.plusMonths(period.toTotalMonths()).plusDays(period.getDays());
}
return period.addTo(temporal);
}
/**
* Subtracts the period of this frequency from the specified date.
*
* <p>This method implements {@link TemporalAmount}. It is not intended to be called directly. Use
* {@link LocalDate#minus(TemporalAmount)} instead.
*
* @param temporal the temporal object to subtract from
* @return the result with this frequency subtracted
* @throws DateTimeException if unable to subtract
* @throws ArithmeticException if numeric overflow occurs
*/
@Override
public Temporal subtractFrom(Temporal temporal) {
// special case for performance
if (temporal instanceof LocalDate) {
LocalDate date = (LocalDate) temporal;
return date.minusMonths(period.toTotalMonths()).minusDays(period.getDays());
}
return period.subtractFrom(temporal);
}
// -------------------------------------------------------------------------
/**
* Checks if this periodic frequency equals another periodic frequency.
*
* <p>The comparison checks the frequency period.
*
* @param obj the other frequency, null returns false
* @return true if equal
*/
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj == null || getClass() != obj.getClass()) {
return false;
}
Frequency other = (Frequency) obj;
return period.equals(other.period);
}
/**
* Returns a suitable hash code for the periodic frequency.
*
* @return the hash code
*/
@Override
public int hashCode() {
return period.hashCode();
}
/**
* Returns a formatted string representing the periodic frequency.
*
* <p>The format is a combination of the quantity and unit, such as P1D, P2W, P3M, P4Y. The 'Term'
* amount is returned as 'Term'.
*
* @return the formatted frequency
*/
@ToString
@Override
public String toString() {
return name;
}
}
@Test
public void consistencyTest() {
final double tol = 1.e-12;
final LocalDate optionExpiry = getNextIMMDate(TRADE_DATE).minusDays(1);
final double timeToExpiry = ACT365F.yearFraction(TRADE_DATE, optionExpiry);
final CDSAnalytic fwdCDX = FACTORY.makeCDX(optionExpiry, Period.ofYears(5));
final CDSAnalytic fwdStartingCDX = fwdCDX.withOffset(timeToExpiry);
final double[] indexPUF = new double[] {0.0556, 0.0582, 0.0771, 0.0652};
final CDSAnalytic[] indexCDS = FACTORY.makeCDX(TRADE_DATE, INDEX_PILLARS);
final IntrinsicIndexDataBundle adjCurves =
PSA.adjustCurves(indexPUF, indexCDS, INDEX_COUPON, YIELD_CURVE, INTRINSIC_DATA);
final double fwdSpread =
INDEX_CAL.defaultAdjustedForwardSpread(
fwdStartingCDX, timeToExpiry, YIELD_CURVE, adjCurves);
final double fwdAnnuity = INDEX_CAL.indexAnnuity(fwdStartingCDX, YIELD_CURVE, adjCurves);
final BlackIndexOptionPricer pricerWithFwd =
new BlackIndexOptionPricer(
fwdCDX, timeToExpiry, YIELD_CURVE, INDEX_COUPON, fwdSpread, fwdAnnuity);
final BlackIndexOptionPricer pricerNoFwd =
new BlackIndexOptionPricer(fwdCDX, timeToExpiry, YIELD_CURVE, INDEX_COUPON, adjCurves);
final boolean[] payer = new boolean[] {true, false};
final double vol = 0.4;
final double strikeSpread = 0.015;
final ISDACompliantYieldCurve fwdYC = YIELD_CURVE.withOffset(timeToExpiry);
final double strikePrice =
CONVERTER.quotedSpreadToPUF(fwdCDX, INDEX_COUPON, fwdYC, strikeSpread);
final IndexOptionStrike exPriceAmount = new ExerciseAmount(strikePrice);
final IndexOptionStrike exSpreadAmount = new SpreadBasedStrike(strikeSpread);
for (int i = 0; i < 2; ++i) {
/** Consistency between option pricing methods */
final double premFromPrice = pricerWithFwd.getOptionPremium(exPriceAmount, vol, payer[i]);
final double premFromSpread = pricerWithFwd.getOptionPremium(exSpreadAmount, vol, payer[i]);
final double premFromPriceBare =
pricerWithFwd.getOptionPriceForPriceQuotedIndex(strikePrice, vol, payer[i]);
final double premFromSpreadBare =
pricerWithFwd.getOptionPriceForSpreadQuotedIndex(strikeSpread, vol, payer[i]);
assertEquals(premFromPrice, premFromSpread, tol);
assertEquals(premFromSpread, premFromPriceBare, tol);
assertEquals(premFromPriceBare, premFromSpreadBare, tol);
/** Consistency between constructors */
final double PremFromPriceNoFwd = pricerNoFwd.getOptionPremium(exPriceAmount, vol, payer[i]);
assertEquals(premFromPrice, PremFromPriceNoFwd, tol);
/** Consistency with implied vol */
final double vol1 =
pricerWithFwd.getImpliedVolatility(exPriceAmount, premFromPrice, payer[i]);
final double vol2 =
pricerWithFwd.getImpliedVolatility(exSpreadAmount, premFromSpread, payer[i]);
final double vol3 =
pricerWithFwd.getImpliedVolForExercisePrice(strikePrice, premFromPriceBare, payer[i]);
final double vol4 =
pricerWithFwd.getImpliedVolForSpreadStrike(strikeSpread, premFromSpreadBare, payer[i]);
assertEquals(vol, vol1, tol);
assertEquals(vol, vol2, tol);
assertEquals(vol, vol3, tol);
assertEquals(vol, vol4, tol);
}
}
/**
* Test class for the replication method for CMS caplet/floorlet using a SABR smile with
* extrapolation.
*/
@Test
public class CapFloorCMSSABRExtrapolationRightReplicationMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR6M =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1];
private static final Currency EUR = EURIBOR6M.getCurrency();
private static final HolidayCalendar CALENDAR =
MulticurveProviderDiscountDataSets.getEURCalendar();
private static final SABRInterestRateParameters SABR_PARAMETER = SABRDataSets.createSABR1();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
GeneratorSwapFixedIborMaster.getInstance().getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final SABRSwaptionProviderDiscount SABR_MULTICURVES =
new SABRSwaptionProviderDiscount(MULTICURVES, SABR_PARAMETER, EUR1YEURIBOR6M);
// Swap 5Y
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventions.MODIFIED_FOLLOWING;
private static final boolean IS_EOM = true;
private static final Period ANNUITY_TENOR = Period.ofYears(5);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2020, 4, 28);
// Fixed leg: Semi-annual bond
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCounts.THIRTY_U_360;
private static final double RATE = 0.0325;
private static final boolean FIXED_IS_PAYER = true;
private static final AnnuityCouponFixedDefinition FIXED_ANNUITY =
AnnuityCouponFixedDefinition.from(
EUR,
SETTLEMENT_DATE,
ANNUITY_TENOR,
FIXED_PAYMENT_PERIOD,
CALENDAR,
FIXED_DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
1.0,
RATE,
FIXED_IS_PAYER);
// Ibor leg: quarterly money
private static final AnnuityCouponIborDefinition IBOR_ANNUITY =
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, ANNUITY_TENOR, 1.0, EURIBOR6M, !FIXED_IS_PAYER, CALENDAR);
// CMS coupon construction
private static final IndexSwap CMS_INDEX =
new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, EURIBOR6M, ANNUITY_TENOR, CALENDAR);
private static final SwapFixedIborDefinition SWAP_DEFINITION =
new SwapFixedIborDefinition(FIXED_ANNUITY, IBOR_ANNUITY);
private static final ZonedDateTime FIXING_DATE =
ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -EURIBOR6M.getSpotLag(), CALENDAR);
private static final ZonedDateTime ACCRUAL_START_DATE = SETTLEMENT_DATE; // pre-fixed
private static final ZonedDateTime ACCRUAL_END_DATE =
ScheduleCalculator.getAdjustedDate(
ACCRUAL_START_DATE, FIXED_PAYMENT_PERIOD, BUSINESS_DAY, CALENDAR);
private static final ZonedDateTime PAYMENT_DATE = ACCRUAL_END_DATE;
private static final DayCount PAYMENT_DAY_COUNT = DayCounts.ACT_360;
private static final double ACCRUAL_FACTOR =
DayCountUtils.yearFraction(PAYMENT_DAY_COUNT, ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double NOTIONAL = 10000000; // 10m
private static final CouponCMSDefinition CMS_COUPON_RECEIVER_DEFINITION =
CouponCMSDefinition.from(
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
ACCRUAL_FACTOR,
NOTIONAL,
FIXING_DATE,
SWAP_DEFINITION,
CMS_INDEX);
private static final CouponCMSDefinition CMS_COUPON_PAYER_DEFINITION =
CouponCMSDefinition.from(
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
ACCRUAL_FACTOR,
-NOTIONAL,
FIXING_DATE,
SWAP_DEFINITION,
CMS_INDEX);
// Cap/Floor construction
private static final double STRIKE = 0.04;
private static final boolean IS_CAP = true;
private static final CapFloorCMSDefinition CMS_CAP_LONG_DEFINITION =
CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, STRIKE, IS_CAP);
private static final CapFloorCMSDefinition CMS_CAP_SHORT_DEFINITION =
CapFloorCMSDefinition.from(CMS_COUPON_PAYER_DEFINITION, STRIKE, IS_CAP);
private static final CapFloorCMSDefinition CMS_CAP_0_DEFINITION =
CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, 0.0, IS_CAP);
// to derivatives
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
private static final CouponCMS CMS_COUPON =
(CouponCMS) CMS_COUPON_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_0 =
(CapFloorCMS) CMS_CAP_0_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_LONG =
(CapFloorCMS) CMS_CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_SHORT =
(CapFloorCMS) CMS_CAP_SHORT_DEFINITION.toDerivative(REFERENCE_DATE);
// Calculators & methods
private static final CapFloorCMSSABRReplicationMethod METHOD_STANDARD_CAP =
CapFloorCMSSABRReplicationMethod.getDefaultInstance();
private static final CouponCMSSABRReplicationMethod METHOD_STANDARD_CPN =
CouponCMSSABRReplicationMethod.getInstance();
private static final CouponCMSDiscountingMethod METHOD_DSC_CPN =
CouponCMSDiscountingMethod.getInstance();
private static final double CUT_OFF_STRIKE = 0.10;
private static final double MU = 2.50;
private static final CapFloorCMSSABRExtrapolationRightReplicationMethod METHOD_EXTRAPOLATION_CAP =
new CapFloorCMSSABRExtrapolationRightReplicationMethod(CUT_OFF_STRIKE, MU);
private static final CouponCMSSABRExtrapolationRightReplicationMethod METHOD_EXTRAPOLATION_CPN =
new CouponCMSSABRExtrapolationRightReplicationMethod(CUT_OFF_STRIKE, MU);
// Calculators
private static final PresentValueSABRSwaptionRightExtrapolationCalculator PVSSXC =
new PresentValueSABRSwaptionRightExtrapolationCalculator(CUT_OFF_STRIKE, MU);
private static final PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator
PVCSSSXC =
new PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator(
CUT_OFF_STRIKE, MU);
private static final PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator
PVSSSSXC =
new PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator(
CUT_OFF_STRIKE, MU);
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<SABRSwaptionProviderInterface>
PS_SS_C = new ParameterSensitivityParameterCalculator<>(PVCSSSXC);
private static final ParameterSensitivitySABRSwaptionDiscountInterpolatedFDCalculator PS_SS_FDC =
new ParameterSensitivitySABRSwaptionDiscountInterpolatedFDCalculator(PVSSXC, SHIFT);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 5.0E+3; // 0.01 currency unit for 1 bp.
/**
* Test the present value for a CMS coupon with pricing by replication in the SABR with
* extrapolation framework. The present value is tested against hard-coded value and cap of strike
* 0.
*/
public void presentValue() {
// CMS cap/floor with strike 0 has the same price as a CMS coupon.
final double priceCouponStd =
METHOD_STANDARD_CPN.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR).getAmount();
final double rateCouponStd =
priceCouponStd
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
final double priceCouponExtra =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double rateCouponExtra =
priceCouponExtra
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
final double priceCouponNoAdj =
METHOD_DSC_CPN.presentValue(CMS_COUPON, MULTICURVES).getAmount(EUR).getAmount();
final double rateCouponNoAdj =
priceCouponNoAdj
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
assertEquals(
"Extrapolation: comparison with standard method", rateCouponStd > rateCouponExtra, true);
assertEquals(
"Extrapolation: comparison with no convexity adjustment",
rateCouponExtra > rateCouponNoAdj,
true);
final double rateCouponExtraExpected = 0.0189864; // From previous run.
assertEquals("Extrapolation: hard-coded value", rateCouponExtraExpected, rateCouponExtra, 1E-6);
final double priceCap0Extra =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_0, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
assertEquals(
"Extrapolation: CMS coupon vs Cap 0", priceCouponExtra, priceCap0Extra, TOLERANCE_PV);
}
/**
* Tests the price of CMS coupon and cap/floor using replication in the SABR framework. Method v
* Calculator.
*/
public void presentValueMethodVsCalculator() {
final double pvMethod =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double pvCalculator =
CMS_CAP_LONG.accept(PVSSXC, SABR_MULTICURVES).getAmount(EUR).getAmount();
assertEquals(
"CMS cap/floor SABR: Present value : method vs calculator",
pvMethod,
pvCalculator,
TOLERANCE_PV);
}
/**
* Test the present value for a CMS cap with pricing by replication in the SABR with extrapolation
* framework. The present value is tested against hard-coded value and a long/short parity is
* tested.
*/
public void presentValueReplicationCap() {
// CMS cap/floor with strike 0 has the same price as a CMS coupon.
final double priceCapLongStd =
METHOD_STANDARD_CAP.presentValue(CMS_CAP_LONG, SABR_MULTICURVES).getAmount(EUR).getAmount();
final double priceCapLongExtra =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double priceCapShortExtra =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_SHORT, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
assertEquals(
"CMS cap by replication - Extrapolation: comparison with standard method",
priceCapLongStd > priceCapLongExtra,
true);
final double priceCapExtraExpected = 30696.572; // From previous run.
assertEquals(
"CMS cap by replication - Extrapolation: hard-coded value",
priceCapExtraExpected,
priceCapLongExtra,
TOLERANCE_PV);
assertEquals(
"CMS cap by replication - Extrapolation: long/short parity",
-priceCapShortExtra,
priceCapLongExtra,
TOLERANCE_PV);
}
/**
* Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR
* with extrapolation framework.
*/
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsCapLongExact =
PS_SS_C.calculateSensitivity(
CMS_CAP_LONG, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsCapLongFD =
PS_SS_FDC.calculateSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ",
pvpsCapLongExact,
pvpsCapLongFD,
TOLERANCE_PV_DELTA);
final MultipleCurrencyParameterSensitivity pvpsCapShortExact =
PS_SS_C.calculateSensitivity(
CMS_CAP_SHORT,
SABR_MULTICURVES,
SABR_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsCapShortFD =
PS_SS_FDC.calculateSensitivity(CMS_CAP_SHORT, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ",
pvpsCapShortExact,
pvpsCapShortFD,
TOLERANCE_PV_DELTA);
}
/**
* Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR
* with extrapolation framework. Method v Calculator.
*/
public void presentValueCurveSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod =
METHOD_EXTRAPOLATION_CAP.presentValueCurveSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator =
CMS_CAP_LONG.accept(PVCSSSXC, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"CMS cap/floor SABR: Present value : method vs calculator",
pvcsMethod,
pvcsCalculator,
TOLERANCE_PV_DELTA);
}
/** Tests the cap present value SABR parameters sensitivity vs finite difference. */
public void presentValueSABRSensitivity() {
final double pv =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final PresentValueSABRSensitivityDataBundle pvsCapLong =
METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
// SABR sensitivity vs finite difference
final double shift = 0.0001;
final double shiftAlpha = 0.00001;
final double maturity =
CMS_CAP_LONG
.getUnderlyingSwap()
.getFixedLeg()
.getNthPayment(
CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1)
.getPaymentTime()
- CMS_CAP_LONG.getSettlementTime();
final DoublesPair expectedExpiryTenor = DoublesPair.of(CMS_CAP_LONG.getFixingTime(), maturity);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped =
SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
final SABRSwaptionProviderDiscount sabrBundleAlphaBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
final double pvLongPayerAlphaBumped =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, sabrBundleAlphaBumped)
.getAmount(EUR)
.getAmount();
final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
assertEquals(
"Alpha sensitivity expiry/tenor",
pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Alpha sensitivity value",
expectedAlphaSensi,
pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
final SABRSwaptionProviderDiscount sabrBundleRhoBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
final double pvLongPayerRhoBumped =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, sabrBundleRhoBumped)
.getAmount(EUR)
.getAmount();
final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
assertEquals(
"Rho sensitivity expiry/tenor",
pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Rho sensitivity value",
expectedRhoSensi,
pvsCapLong.getRho().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
final SABRSwaptionProviderDiscount sabrBundleNuBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
final double pvLongPayerNuBumped =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, sabrBundleNuBumped)
.getAmount(EUR)
.getAmount();
final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
assertTrue(
"Nu sensitivity expiry/tenor",
pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor));
assertEquals(
"Nu sensitivity value",
expectedNuSensi,
pvsCapLong.getNu().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
}
/** Tests the coupon present value SABR parameters sensitivity vs finite difference. */
public void presentValueSABRSensitivityCoupon() {
final double pv =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final PresentValueSABRSensitivityDataBundle pvsCpn =
METHOD_EXTRAPOLATION_CPN.presentValueSABRSensitivity(CMS_COUPON, SABR_MULTICURVES);
// SABR sensitivity vs finite difference
final double shift = 0.0001;
final double shiftAlpha = 0.00001;
final double maturity =
CMS_COUPON
.getUnderlyingSwap()
.getFixedLeg()
.getNthPayment(
CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1)
.getPaymentTime()
- CMS_COUPON.getSettlementTime();
final DoublesPair expectedExpiryTenor = DoublesPair.of(CMS_COUPON.getFixingTime(), maturity);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped =
SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
final SABRSwaptionProviderDiscount sabrBundleAlphaBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
final double pvLongPayerAlphaBumped =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, sabrBundleAlphaBumped)
.getAmount(EUR)
.getAmount();
final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
assertEquals("Number of alpha sensitivity", pvsCpn.getAlpha().getMap().keySet().size(), 1);
assertEquals(
"Alpha sensitivity expiry/tenor",
pvsCpn.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Alpha sensitivity value",
expectedAlphaSensi,
pvsCpn.getAlpha().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
final SABRSwaptionProviderDiscount sabrBundleRhoBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
final double pvLongPayerRhoBumped =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, sabrBundleRhoBumped)
.getAmount(EUR)
.getAmount();
final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
assertEquals("Number of rho sensitivity", pvsCpn.getRho().getMap().keySet().size(), 1);
assertEquals(
"Rho sensitivity expiry/tenor",
pvsCpn.getRho().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Rho sensitivity value",
expectedRhoSensi,
pvsCpn.getRho().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Nu sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
final SABRSwaptionProviderDiscount sabrBundleNuBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
final double pvLongPayerNuBumped =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, sabrBundleNuBumped)
.getAmount(EUR)
.getAmount();
final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
assertEquals("Number of nu sensitivity", pvsCpn.getNu().getMap().keySet().size(), 1);
assertTrue(
"Nu sensitivity expiry/tenor",
pvsCpn.getNu().getMap().keySet().contains(expectedExpiryTenor));
assertEquals(
"Nu sensitivity value",
expectedNuSensi,
pvsCpn.getNu().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
}
/** Tests the present value SABR parameters sensitivity: Method vs Calculator. */
public void presentValueSABRSensitivityMethodVsCalculator() {
final PresentValueSABRSensitivityDataBundle pvssMethod =
METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
final PresentValueSABRSensitivityDataBundle pvssCalculator =
CMS_CAP_LONG.accept(PVSSSSXC, SABR_MULTICURVES);
assertEquals(
"CMS cap/floor SABR: Present value SABR sensitivity: method vs calculator",
pvssMethod,
pvssCalculator);
}
/** Tests the present value strike sensitivity: Cap. */
public void presentValueStrikeSensitivityCap() {
final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400, 0.0500};
final int nbStrikes = strikes.length;
final double shift = 1.0E-5;
final double[] errorRelative = new double[nbStrikes];
for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
final CapFloorCMSDefinition cmsCapDefinition =
CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike], IS_CAP);
final CapFloorCMSDefinition cmsCapShiftUpDefinition =
CapFloorCMSDefinition.from(
CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
final CapFloorCMSDefinition cmsCapShiftDoDefinition =
CapFloorCMSDefinition.from(
CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsCapShiftUp =
(CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsCapShiftDo =
(CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
final double pvShiftUp =
METHOD_EXTRAPOLATION_CAP
.presentValue(cmsCapShiftUp, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double pvShiftDo =
METHOD_EXTRAPOLATION_CAP
.presentValue(cmsCapShiftDo, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
final double sensiComputed =
METHOD_EXTRAPOLATION_CAP.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
assertEquals(
"CMS cap/floor SABR: Present value strike sensitivity " + loopstrike,
0,
errorRelative[loopstrike],
5.0E-3);
}
}
/**
* Tests to estimate the impact of mu on the CMS coupon pricing. "enabled = false" for the
* standard testing.
*/
public void testPriceMultiMu() {
final double[] mu = new double[] {1.10, 1.30, 1.55, 2.25, 3.50, 6.00, 15.0};
final int nbMu = mu.length;
final double priceCouponStd =
METHOD_STANDARD_CPN.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR).getAmount();
@SuppressWarnings("unused")
final double rateCouponStd =
priceCouponStd
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
final double[] priceCouponExtra = new double[nbMu];
final double[] rateCouponExtra = new double[nbMu];
for (int loopmu = 0; loopmu < nbMu; loopmu++) {
final CouponCMSSABRExtrapolationRightReplicationMethod methodExtrapolation =
new CouponCMSSABRExtrapolationRightReplicationMethod(CUT_OFF_STRIKE, mu[loopmu]);
priceCouponExtra[loopmu] =
methodExtrapolation.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR).getAmount();
rateCouponExtra[loopmu] =
priceCouponExtra[loopmu]
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
}
final double priceCouponNoAdj =
METHOD_DSC_CPN.presentValue(CMS_COUPON, MULTICURVES).getAmount(EUR).getAmount();
final double rateCouponNoAdj =
priceCouponNoAdj
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
for (int loopmu = 1; loopmu < nbMu; loopmu++) {
assertTrue(
"Extrapolation: comparison with standard method",
rateCouponExtra[loopmu - 1] > rateCouponExtra[loopmu]);
}
assertTrue(
"Extrapolation: comparison with standard method",
rateCouponExtra[nbMu - 1] > rateCouponNoAdj);
}
}
@SuppressWarnings("unused")
@Test
public void limitTest() {
final LocalDate optionExpiry = getNextIMMDate(TRADE_DATE).minusDays(1);
final double timeToExpiry = ACT365F.yearFraction(TRADE_DATE, optionExpiry);
final CDSAnalytic fwdCDX = FACTORY.makeCDX(optionExpiry, Period.ofYears(5));
final CDSAnalytic fwdStartingCDX = fwdCDX.withOffset(timeToExpiry);
final double[] indexPUF = new double[] {0.0556, 0.0582, 0.0771, 0.0652};
final CDSAnalytic[] indexCDS = FACTORY.makeCDX(TRADE_DATE, INDEX_PILLARS);
final IntrinsicIndexDataBundle adjCurves =
PSA.adjustCurves(indexPUF, indexCDS, INDEX_COUPON, YIELD_CURVE, INTRINSIC_DATA);
final double fwdSpread =
INDEX_CAL.defaultAdjustedForwardSpread(
fwdStartingCDX, timeToExpiry, YIELD_CURVE, adjCurves);
final double fwdAnnuity = INDEX_CAL.indexAnnuity(fwdStartingCDX, YIELD_CURVE, adjCurves);
final BlackIndexOptionPricer pricerWithFwd =
new BlackIndexOptionPricer(
fwdCDX, timeToExpiry, YIELD_CURVE, INDEX_COUPON, fwdSpread, fwdAnnuity);
final double modStrikeLimit = INDEX_COUPON + fwdCDX.getLGD() / fwdAnnuity;
final double vol = 0.4;
final double payLargeSpLimit =
fwdAnnuity
* BlackFormulaRepository.price(fwdSpread, modStrikeLimit, timeToExpiry, vol, true);
final double recLargeSpLimit =
fwdAnnuity
* BlackFormulaRepository.price(fwdSpread, modStrikeLimit, timeToExpiry, vol, false);
final double largeStrikeSp = 75.0;
final double payLargeStrikeSp =
pricerWithFwd.getOptionPriceForSpreadQuotedIndex(largeStrikeSp, vol, true);
final double recLargeStrikeSp =
pricerWithFwd.getOptionPriceForSpreadQuotedIndex(largeStrikeSp, vol, false);
assertEquals(payLargeSpLimit, payLargeStrikeSp, 1.e-12);
assertEquals(
recLargeSpLimit,
recLargeStrikeSp,
1.e-3); // larger strike spread ends up with failure in root-finding
/** Exception expected */
final double negativeTime = -0.5;
try {
new BlackIndexOptionPricer(
fwdCDX, negativeTime, YIELD_CURVE, INDEX_COUPON, fwdSpread, fwdAnnuity);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("timeToExpiry must be positive. Value given " + negativeTime, e.getMessage());
}
try {
new BlackIndexOptionPricer(
fwdStartingCDX, timeToExpiry, YIELD_CURVE, INDEX_COUPON, fwdSpread, fwdAnnuity);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("fwdCDS should be a Forward CDS", e.getMessage());
}
final double negativeCoupon = -150.0 * 1.0e-4;
try {
new BlackIndexOptionPricer(
fwdCDX, timeToExpiry, YIELD_CURVE, negativeCoupon, fwdSpread, fwdAnnuity);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("indexCoupon must be positive", e.getMessage());
}
final double negativeFwdSp = -0.5;
try {
new BlackIndexOptionPricer(
fwdCDX, timeToExpiry, YIELD_CURVE, INDEX_COUPON, negativeFwdSp, fwdAnnuity);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("defaultAdjustedFwdSpread must be positive", e.getMessage());
}
final double negativeAnn = -0.3;
try {
new BlackIndexOptionPricer(
fwdCDX, timeToExpiry, YIELD_CURVE, INDEX_COUPON, fwdSpread, negativeAnn);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("pvFwdAnnuity must be positive", e.getMessage());
}
final double largeAnn = fwdCDX.getProtectionEnd() * 2.0;
try {
new BlackIndexOptionPricer(
fwdCDX, timeToExpiry, YIELD_CURVE, INDEX_COUPON, fwdSpread, largeAnn);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals(
"Value of annuity of "
+ largeAnn
+ " is greater than length (in years) of forward CDS. Annuity should be given for unit notional",
e.getMessage());
}
final double smallStrike = -0.9;
try {
pricerWithFwd.getOptionPriceForPriceQuotedIndex(smallStrike, vol, true);
throw new RuntimeException();
} catch (final Exception e) {
assertTrue(e instanceof IllegalArgumentException);
}
final double largeStrike = 0.9;
try {
pricerWithFwd.getOptionPriceForPriceQuotedIndex(largeStrike, vol, true);
throw new RuntimeException();
} catch (final Exception e) {
assertTrue(e instanceof IllegalArgumentException);
}
try {
pricerWithFwd.getOptionPriceForSpreadQuotedIndex(smallStrike, vol, true);
throw new RuntimeException();
} catch (final Exception e) {
assertTrue(e instanceof IllegalArgumentException);
}
}
/**
* Build of curve in several blocks with relevant Jacobian matrices. EUR: discounting/ON forward;
* USD: discounting/ON forward. Standard test data set: 2014-03-10
*/
public class StandardDataSetsEURUSDForex {
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2014, 3, 10);
private static final Interpolator1D INTERPOLATOR_LINEAR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.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 HolidayCalendar TARGET = HolidayCalendars.EUTA;
private static final HolidayCalendar NYC = HolidayCalendars.SAT_SUN;
private static final Currency EUR = Currency.EUR;
private static final Currency USD = Currency.USD;
private static final double FX_EURUSD = 1.38775;
private static final FxMatrix FX_MATRIX = FxMatrix.builder().addRate(EUR, USD, FX_EURUSD).build();
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_EUR =
GeneratorSwapFixedONMaster.getInstance().getGenerator("EUR1YEONIA", TARGET);
private static final IndexON EUREONIA = GENERATOR_OIS_EUR.getIndex();
private static final GeneratorSwapFixedON GENERATOR_OIS_USD =
GeneratorSwapFixedONMaster.getInstance().getGenerator("USD1YFEDFUND", NYC);
private static final IndexON USDFEDFUND = GENERATOR_OIS_USD.getIndex();
private static final IndexON INDEX_ON_EUR = GENERATOR_OIS_EUR.getIndex();
private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_EUR =
new GeneratorDepositON("EUR Deposit ON", EUR, TARGET, INDEX_ON_EUR.getDayCount());
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD =
new GeneratorDepositON("USD Deposit ON", USD, TARGET, INDEX_ON_USD.getDayCount());
private static final GeneratorForexSwap GENERATOR_FX_EURUSD =
new GeneratorForexSwap(
"EURUSD", EUR, USD, TARGET, 2, GENERATOR_OIS_EUR.getBusinessDayConvention(), true);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY =
ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28)
},
new double[] {0.07, 0.08});
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_WITHOUT_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28)
},
new double[] {0.07, 0.08});
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITH_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITH_TODAY};
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITHOUT_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITHOUT_TODAY};
private static final String CURVE_NAME_DSC_EUR = "EUR Dsc";
private static final String CURVE_NAME_DSC_USD = "USD Dsc";
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_MARKET_QUOTES =
new double[] {
0.0015, 0.0015, 7.9E-4, 7.8E-4, 8.3E-4, 0.0009, 0.0010, 0.00112, 0.0030525, 0.00686, 0.0109,
0.01465, 0.01782, 0.02048, 0.02264, 0.02445, 0.02597
};
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_DEPOSIT_ON_USD,
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,
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.ofDays(1),
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(6),
Period.ofYears(7),
Period.ofYears(8),
Period.ofYears(9),
Period.ofYears(10)
};
private static final GeneratorAttributeIR[] DSC_USD_ATTR =
new GeneratorAttributeIR[DSC_USD_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Market values for the dsc EUR curve - calibrated on OIS */
private static final double[] DSC_EUR_MARKET_QUOTES =
new double[] {
0.001725, 0.00170, 0.00196, 0.00193, 0.00186, 0.00181, 0.00172, 0.00174, 0.002015, 0.00321,
0.00491, 0.0068, 0.01061, 0.01539
};
/** Generators for the dsc EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EUR_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_DEPOSIT_ON_EUR,
GENERATOR_DEPOSIT_ON_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR
};
/** Tenors for the dsc EUR curve */
private static final Period[] DSC_EUR_TENOR =
new Period[] {
Period.ofDays(0),
Period.ofDays(1),
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(7),
Period.ofYears(10)
};
private static final GeneratorAttributeIR[] DSC_EUR_ATTR =
new GeneratorAttributeIR[DSC_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_EUR_TENOR.length; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins]);
}
}
/** Market values for the FX EUR USD FX swaps */
private static final double[] DSC_EURUSD_MARKET_FORWARD =
new double[] {
1.387673, 1.387625, 1.3875895, 1.38755, 1.387566,
1.387777, 1.39303, 1.406789, 1.427726, 1.4525105
};
private static final int NB_DSC_EURUSD_QUOTES = DSC_EURUSD_MARKET_FORWARD.length;
private static final double[] DSC_EURUSD_MARKET_QUOTES = new double[NB_DSC_EURUSD_QUOTES];
static {
for (int loopquote = 0; loopquote < NB_DSC_EURUSD_QUOTES; loopquote++) {
DSC_EURUSD_MARKET_QUOTES[loopquote] = DSC_EURUSD_MARKET_FORWARD[loopquote] - FX_EURUSD;
}
}
/** Generators for the dsc FX curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EURUSD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD,
GENERATOR_FX_EURUSD,
GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD,
GENERATOR_FX_EURUSD
};
/** Tenors for the dsc FX curve */
private static final Period[] DSC_EURUSD_TENOR =
new Period[] {
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)
};
private static final GeneratorAttribute[] DSC_EURUSD_ATTR =
new GeneratorAttribute[DSC_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_EURUSD_TENOR.length; loopins++) {
DSC_EURUSD_ATTR[loopins] = new GeneratorAttributeFX(DSC_EURUSD_TENOR[loopins], FX_MATRIX);
}
}
/** Standard USD discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD;
/** Standard EUR discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_EUR;
/** Standard EUR discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_FX;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2, 2, 2};
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS =
new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorYDCurve[][][] GENERATORS_UNITS =
new GeneratorYDCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount MULTICURVE_KNOWN_DATA =
new MulticurveProviderDiscount(FX_MATRIX);
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR);
DEFINITIONS_DSC_EUR = getDefinitions(DSC_EUR_MARKET_QUOTES, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
DEFINITIONS_DSC_FX =
getDefinitions(DSC_EURUSD_MARKET_QUOTES, DSC_EURUSD_GENERATORS, DSC_EURUSD_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorYDCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0] = new InstrumentDefinition<?>[NB_UNITS[0]][][];
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD};
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR};
DEFINITIONS_UNITS[1] = new InstrumentDefinition<?>[NB_UNITS[0]][][];
DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD};
DEFINITIONS_UNITS[1][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_FX};
DEFINITIONS_UNITS[2] = new InstrumentDefinition<?>[NB_UNITS[0]][][];
DEFINITIONS_UNITS[2][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR};
DEFINITIONS_UNITS[2][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_FX};
final GeneratorYDCurve genIntLin =
new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0] = new GeneratorYDCurve[NB_UNITS[0]][];
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[1] = new GeneratorYDCurve[NB_UNITS[0]][];
GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[1][1] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[2] = new GeneratorYDCurve[NB_UNITS[0]][];
GENERATORS_UNITS[2][0] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[2][1] = new GeneratorYDCurve[] {genIntLin};
NAMES_UNITS[0] = new String[NB_UNITS[0]][];
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD};
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_DSC_EUR};
NAMES_UNITS[1] = new String[NB_UNITS[0]][];
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD};
NAMES_UNITS[1][1] = new String[] {CURVE_NAME_DSC_EUR};
NAMES_UNITS[2] = new String[NB_UNITS[0]][];
NAMES_UNITS[2][0] = new String[] {CURVE_NAME_DSC_EUR};
NAMES_UNITS[2][1] = new String[] {CURVE_NAME_DSC_USD};
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
DSC_MAP.put(CURVE_NAME_DSC_EUR, EUR);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD});
FWD_ON_MAP.put(CURVE_NAME_DSC_EUR, new IndexON[] {INDEX_ON_EUR});
}
@SuppressWarnings("unchecked")
public static InstrumentDefinition<?>[] getDefinitions(
final double[] marketQuotes,
@SuppressWarnings("rawtypes") 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<MulticurveProviderDiscount, CurveBuildingBlockBundle>>
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculators
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC =
ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC =
ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
static {
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],
MULTICURVE_KNOWN_DATA,
PSMQDC,
PSMQCSDC,
false));
}
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEUROisUSDOis() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0);
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesUSDOisEURFx() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1);
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEUROisUSDFx() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(2);
}
/**
* Returns the array of overnight index used in the curve data set.
*
* @return The array: USDFEDFUND, EUREOINIA
*/
public static IndexON[] indexONArray() {
return new IndexON[] {USDFEDFUND, EUREONIA};
}
/**
* Returns the array of calendars used in the curve data set.
*
* @return The array: NYC, TARGET
*/
public static HolidayCalendar[] calendarArray() {
return new HolidayCalendar[] {NYC, TARGET};
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>
makeCurvesFromDefinitions(
final InstrumentDefinition<?>[][][] definitions,
final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames,
final MulticurveProviderDiscount knownData,
final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity>
sensitivityCalculator,
final boolean withToday) {
final int nUnits = definitions.length;
final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorYDCurve>[] 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[] rates = new double[nInstruments];
for (int k = 0; k < nInstruments; k++) {
derivatives[k] = convert(definitions[i][j][k], withToday);
rates[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
final double[] initialGuess = generator.initialGuess(rates);
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_IBOR_MAP,
FWD_ON_MAP,
calculator,
sensitivityCalculator);
}
private static InstrumentDerivative convert(
final InstrumentDefinition<?> instrument, final boolean withToday) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
ird = instrument.toDerivative(NOW);
}
return ird;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday) {
return withToday ? TS_FIXED_OIS_USD_WITH_TODAY : TS_FIXED_OIS_USD_WITHOUT_TODAY;
}
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 ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
if (instrument instanceof InterestRateFutureTransactionDefinition) {
return 1 - ((InterestRateFutureTransactionDefinition) instrument).getTradePrice();
}
return 0.01;
}
}
/**
* Test for curve calibration in USD and EUR. The USD curve is obtained by OIS and the EUR one by FX
* Swaps from USD.
*/
@Test
public class CalibrationZeroRateUsdEur2OisFxTest {
private static final LocalDate VAL_DATE = LocalDate.of(2015, 11, 2);
private static final CurveInterpolator INTERPOLATOR_LINEAR = CurveInterpolators.LINEAR;
private static final CurveExtrapolator EXTRAPOLATOR_FLAT = CurveExtrapolators.FLAT;
private static final DayCount CURVE_DC = ACT_365F;
private static final String SCHEME = "CALIBRATION";
/** Curve names */
private static final String USD_DSCON_STR = "USD-DSCON-OIS";
private static final CurveName USD_DSCON_CURVE_NAME = CurveName.of(USD_DSCON_STR);
private static final String EUR_DSC_STR = "EUR-DSC-FX";
private static final CurveName EUR_DSC_CURVE_NAME = CurveName.of(EUR_DSC_STR);
/** Curves associations to currencies and indices. */
private static final Map<CurveName, Currency> DSC_NAMES = new HashMap<>();
private static final Map<CurveName, Set<Index>> IDX_NAMES = new HashMap<>();
private static final Map<Index, LocalDateDoubleTimeSeries> TS = new HashMap<>();
static {
DSC_NAMES.put(USD_DSCON_CURVE_NAME, USD);
Set<Index> usdFedFundSet = new HashSet<>();
usdFedFundSet.add(USD_FED_FUND);
IDX_NAMES.put(USD_DSCON_CURVE_NAME, usdFedFundSet);
}
/** Data FX * */
private static final FxRate FX_RATE_EUR_USD = FxRate.of(EUR, USD, 1.10);
/** Data for USD-DSCON curve */
/* Market values */
private static final double[] USD_DSC_MARKET_QUOTES =
new double[] {
0.0016, 0.0022, 0.0013, 0.0016, 0.0020, 0.0026, 0.0033, 0.0039, 0.0053, 0.0066, 0.0090,
0.0111
};
private static final int USD_DSC_NB_NODES = USD_DSC_MARKET_QUOTES.length;
private static final String[] USD_DSC_ID_VALUE =
new String[] {
"USD-ON",
"USD-TN",
"USD-OIS-1M",
"USD-OIS-2M",
"USD-OIS-3M",
"USD-OIS-6M",
"USD-OIS-9M",
"USD-OIS-1Y",
"USD-OIS-18M",
"USD-OIS-2Y",
"USD-OIS-3Y",
"USD-OIS-4Y"
};
/* Nodes */
private static final CurveNode[] USD_DSC_NODES = new CurveNode[USD_DSC_NB_NODES];
/* Tenors */
private static final int[] USD_DSC_DEPO_OFFSET = new int[] {0, 1};
private static final int USD_DSC_NB_DEPO_NODES = USD_DSC_DEPO_OFFSET.length;
private static final Period[] USD_DSC_OIS_TENORS =
new Period[] {
Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6),
Period.ofMonths(9),
Period.ofYears(1), Period.ofMonths(18), Period.ofYears(2), Period.ofYears(3),
Period.ofYears(4)
};
private static final int USD_DSC_NB_OIS_NODES = USD_DSC_OIS_TENORS.length;
static {
USD_DSC_NODES[0] =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T0),
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0])));
USD_DSC_NODES[1] =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T1),
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1])));
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) {
USD_DSC_NODES[USD_DSC_NB_DEPO_NODES + i] =
FixedOvernightSwapCurveNode.of(
FixedOvernightSwapTemplate.of(
Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS),
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[USD_DSC_NB_DEPO_NODES + i])));
}
}
/** Data for EUR-DSC curve */
/* Market values */
private static final double[] EUR_DSC_MARKET_QUOTES =
new double[] {
0.0004, 0.0012, 0.0019, 0.0043, 0.0074,
0.0109, 0.0193, 0.0294, 0.0519, 0.0757
};
private static final int EUR_DSC_NB_NODES = EUR_DSC_MARKET_QUOTES.length;
private static final String[] EUR_DSC_ID_VALUE =
new String[] {
"EUR-USD-FX-1M", "EUR-USD-FX-2M", "EUR-USD-FX-3M", "EUR-USD-FX-6M", "EUR-USD-FX-9M",
"EUR-USD-FX-1Y", "EUR-USD-FX-18M", "EUR-USD-FX-2Y", "EUR-USD-FX-3Y", "EUR-USD-FX-4Y"
};
/* Nodes */
private static final CurveNode[] EUR_DSC_NODES = new CurveNode[EUR_DSC_NB_NODES];
/* Tenors */
private static final Period[] EUR_DSC_FX_TENORS =
new Period[] {
Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6),
Period.ofMonths(9),
Period.ofYears(1), Period.ofMonths(18), Period.ofYears(2), Period.ofYears(3),
Period.ofYears(4)
};
private static final int EUR_DSC_NB_FX_NODES = EUR_DSC_FX_TENORS.length;
static {
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++) {
EUR_DSC_NODES[i] =
FxSwapCurveNode.of(
FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD),
QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])));
}
}
/** All quotes for the curve calibration */
private static final ImmutableMarketData ALL_QUOTES;
static {
Map<MarketDataKey<?>, Object> map = new HashMap<>();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
map.put(QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
map.put(QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]);
}
map.put(FxRateKey.of(EUR, USD), FX_RATE_EUR_USD);
ALL_QUOTES = ImmutableMarketData.of(map);
}
private static final DiscountingSwapProductPricer SWAP_PRICER =
DiscountingSwapProductPricer.DEFAULT;
private static final DiscountingTermDepositProductPricer DEPO_PRICER =
DiscountingTermDepositProductPricer.DEFAULT;
private static final DiscountingFxSwapProductPricer FX_PRICER =
DiscountingFxSwapProductPricer.DEFAULT;
private static final MarketQuoteSensitivityCalculator MQC =
MarketQuoteSensitivityCalculator.DEFAULT;
private static final CalibrationMeasures CALIBRATION_MEASURES = CalibrationMeasures.DEFAULT;
private static final CurveCalibrator CALIBRATOR =
CurveCalibrator.of(1e-9, 1e-9, 100, CALIBRATION_MEASURES);
// Constants
private static final double TOLERANCE_PV = 1.0E-6;
private static final double TOLERANCE_PV_DELTA = 1.0E+3;
private static final CurveGroupName CURVE_GROUP_NAME = CurveGroupName.of("USD-DSCON-EUR-DSC");
private static final InterpolatedNodalCurveDefinition USD_DSC_CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(USD_DSCON_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(USD_DSC_NODES)
.build();
private static final InterpolatedNodalCurveDefinition EUR_DSC_CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(EUR_DSC_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(EUR_DSC_NODES)
.build();
private static final CurveGroupDefinition CURVE_GROUP_CONFIG =
CurveGroupDefinition.builder()
.name(CURVE_GROUP_NAME)
.addCurve(USD_DSC_CURVE_DEFN, USD, USD_FED_FUND)
.addDiscountCurve(EUR_DSC_CURVE_DEFN, EUR)
.build();
// -------------------------------------------------------------------------
public void calibration_present_value_oneGroup() {
ImmutableRatesProvider result =
CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, VAL_DATE, ALL_QUOTES, TS);
assertPresentValue(result);
}
private void assertPresentValue(ImmutableRatesProvider result) {
// Test PV USD;
List<Trade> usdTrades = new ArrayList<>();
for (int i = 0; i < USD_DSC_NODES.length; i++) {
usdTrades.add(USD_DSC_NODES[i].trade(VAL_DATE, ALL_QUOTES));
}
// Depo
for (int i = 0; i < USD_DSC_NB_DEPO_NODES; i++) {
CurrencyAmount pvDep =
DEPO_PRICER.presentValue(((TermDepositTrade) usdTrades.get(i)).getProduct(), result);
assertEquals(pvDep.getAmount(), 0.0, TOLERANCE_PV);
}
// OIS
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) {
MultiCurrencyAmount pvOis =
SWAP_PRICER.presentValue(
((SwapTrade) usdTrades.get(USD_DSC_NB_DEPO_NODES + i)).getProduct(), result);
assertEquals(pvOis.getAmount(USD).getAmount(), 0.0, TOLERANCE_PV);
}
// Test PV EUR;
List<Trade> eurTrades = new ArrayList<>();
for (int i = 0; i < EUR_DSC_NODES.length; i++) {
eurTrades.add(EUR_DSC_NODES[i].trade(VAL_DATE, ALL_QUOTES));
}
// Depo
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++) {
MultiCurrencyAmount pvFx =
FX_PRICER.presentValue(((FxSwapTrade) eurTrades.get(i)).getProduct(), result);
assertEquals(pvFx.convertedTo(USD, result).getAmount(), 0.0, TOLERANCE_PV);
}
}
public void calibration_market_quote_sensitivity_one_group() {
double shift = 1.0E-6;
Function<MarketData, ImmutableRatesProvider> f =
ov -> CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, VAL_DATE, ov, TS);
calibration_market_quote_sensitivity_check(f, shift);
}
private void calibration_market_quote_sensitivity_check(
Function<MarketData, ImmutableRatesProvider> calibrator, double shift) {
double notional = 100_000_000.0;
double fx = 1.1111;
double fxPts = 0.0012;
FxSwapTrade trade =
EUR_USD.toTrade(
VAL_DATE, Period.ofWeeks(6), Period.ofMonths(5), BuySell.BUY, notional, fx, fxPts);
ImmutableRatesProvider result =
CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, VAL_DATE, ALL_QUOTES, TS);
PointSensitivities pts = FX_PRICER.presentValueSensitivity(trade.getProduct(), result);
CurveCurrencyParameterSensitivities ps = result.curveParameterSensitivity(pts);
CurveCurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pvUsd = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(USD).getAmount();
double pvEur = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(EUR).getAmount();
double[] mqsUsd1Computed =
mqs.getSensitivity(USD_DSCON_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
USD_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(USD).getAmount();
assertEquals(mqsUsd1Computed[i], (pvS - pvUsd) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsUsd2Computed =
mqs.getSensitivity(USD_DSCON_CURVE_NAME, EUR).getSensitivity().toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
USD_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData ov = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(ov);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
assertEquals(mqsUsd2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsEur1Computed =
mqs.getSensitivity(EUR_DSC_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
assertEquals(mqsEur1Computed[i], 0.0, TOLERANCE_PV_DELTA);
}
double[] mqsEur2Computed =
mqs.getSensitivity(EUR_DSC_CURVE_NAME, EUR).getSensitivity().toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])),
EUR_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
assertEquals(mqsEur2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA, "Node " + i);
}
}
}
/** Test. */
@Test
public class CdsDatesLogicTest {
private static final Period[] TENORS =
new Period[] {
Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2),
Period.ofYears(3), Period.ofYears(5), Period.ofYears(10)
};
public void isCdsTest() {
LocalDate date = LocalDate.of(2013, Month.MARCH, 20);
assertTrue(isCdsDate(date));
date = LocalDate.of(2013, Month.APRIL, 20);
assertFalse(isCdsDate(date));
date = LocalDate.of(2013, Month.DECEMBER, 23);
assertFalse(isCdsDate(date));
}
public void onCdsDateTest() {
final LocalDate today = LocalDate.of(2013, Month.MARCH, 20);
final LocalDate nextCds = getNextCdsDate(today);
final LocalDate[] dates = getCdsDateSet(nextCds, TENORS);
assertEquals(dates.length, TENORS.length);
assertEquals(LocalDate.of(2013, Month.DECEMBER, 20), dates[0]);
}
public void cdsSetTest() {
final LocalDate date = LocalDate.of(2013, Month.MARCH, 20);
final int n = 5;
final LocalDate[] cdsDates = getCdsDateSet(date, n);
assertTrue(cdsDates.length == n);
assertEquals(date, cdsDates[0]);
assertEquals(LocalDate.of(2013, Month.JUNE, 20), cdsDates[1]);
assertEquals(LocalDate.of(2013, Month.SEPTEMBER, 20), cdsDates[2]);
assertEquals(LocalDate.of(2013, Month.DECEMBER, 20), cdsDates[3]);
assertEquals(LocalDate.of(2014, Month.MARCH, 20), cdsDates[4]);
}
public void nonCdsDateTest() {
final LocalDate today = LocalDate.of(2013, Month.MARCH, 26);
final LocalDate nextCds = getNextCdsDate(today);
final LocalDate[] dates = getCdsDateSet(nextCds, TENORS);
assertEquals(dates.length, TENORS.length);
assertEquals(LocalDate.of(2013, Month.DECEMBER, 20), dates[0]);
}
public void cdsDateM1Test() {
final LocalDate today = LocalDate.of(2013, Month.MARCH, 19);
final LocalDate nextCds = getNextCdsDate(today);
final LocalDate[] dates = getCdsDateSet(nextCds, TENORS);
assertEquals(dates.length, TENORS.length);
assertEquals(LocalDate.of(2013, Month.SEPTEMBER, 20), dates[0]);
}
public void stepinCdsDateM2Test() {
final LocalDate today = LocalDate.of(2013, Month.MARCH, 18);
final LocalDate nextCds = getNextCdsDate(today);
final LocalDate[] dates = getCdsDateSet(nextCds, TENORS);
assertEquals(dates.length, TENORS.length);
assertEquals(LocalDate.of(2013, Month.SEPTEMBER, 20), dates[0]);
}
public void nextCdsTest() {
LocalDate today = LocalDate.of(2011, Month.JUNE, 21);
LocalDate nextCds = getNextCdsDate(today);
assertEquals(LocalDate.of(2011, Month.SEPTEMBER, 20), nextCds);
today = LocalDate.of(2011, Month.JUNE, 20);
nextCds = getNextCdsDate(today);
assertEquals(LocalDate.of(2011, Month.SEPTEMBER, 20), nextCds);
today = LocalDate.of(2011, Month.DECEMBER, 20);
nextCds = getNextCdsDate(today);
assertEquals(LocalDate.of(2012, Month.MARCH, 20), nextCds);
today = LocalDate.of(2011, Month.JUNE, 18);
nextCds = getNextCdsDate(today);
assertEquals(LocalDate.of(2011, Month.JUNE, 20), nextCds);
today = LocalDate.of(1976, Month.JULY, 30);
nextCds = getNextCdsDate(today);
assertEquals(LocalDate.of(1976, Month.SEPTEMBER, 20), nextCds);
today = LocalDate.of(1977, Month.FEBRUARY, 13);
nextCds = getNextCdsDate(today);
assertEquals(LocalDate.of(1977, Month.MARCH, 20), nextCds);
today = LocalDate.of(2013, Month.MARCH, 1);
nextCds = getNextCdsDate(today);
assertEquals(LocalDate.of(2013, Month.MARCH, 20), nextCds);
today = LocalDate.of(2013, Month.DECEMBER, 25);
nextCds = getNextCdsDate(today);
assertEquals(LocalDate.of(2014, Month.MARCH, 20), nextCds);
}
public void prevCdsTest() {
LocalDate today = LocalDate.of(2011, Month.JUNE, 21);
LocalDate prevCds = getPreviousCdsDate(today);
assertEquals(LocalDate.of(2011, Month.JUNE, 20), prevCds);
today = LocalDate.of(2011, Month.JUNE, 20);
prevCds = getPreviousCdsDate(today);
assertEquals(LocalDate.of(2011, Month.MARCH, 20), prevCds);
prevCds = getPreviousCdsDate(prevCds);
assertEquals(LocalDate.of(2010, Month.DECEMBER, 20), prevCds);
today = LocalDate.of(2011, Month.JUNE, 18);
prevCds = getPreviousCdsDate(today);
assertEquals(LocalDate.of(2011, Month.MARCH, 20), prevCds);
today = LocalDate.of(1976, Month.JULY, 30);
prevCds = getPreviousCdsDate(today);
assertEquals(LocalDate.of(1976, Month.JUNE, 20), prevCds);
today = LocalDate.of(1977, Month.FEBRUARY, 13);
prevCds = getPreviousCdsDate(today);
assertEquals(LocalDate.of(1976, Month.DECEMBER, 20), prevCds);
today = LocalDate.of(2013, Month.MARCH, 1);
prevCds = getPreviousCdsDate(today);
assertEquals(LocalDate.of(2012, Month.DECEMBER, 20), prevCds);
}
public void isIndexRollDateTest() {
LocalDate date0 = LocalDate.of(2013, 3, 14);
LocalDate date1 = LocalDate.of(2013, 6, 20);
LocalDate date2 = LocalDate.of(2013, 3, 20);
LocalDate date3 = LocalDate.of(2013, 9, 20);
assertFalse(isIndexRollDate(date0));
assertFalse(isIndexRollDate(date1));
assertTrue(isIndexRollDate(date2));
assertTrue(isIndexRollDate(date3));
}
public void getNextIndexRollDateTest() {
final LocalDate[] dates =
new LocalDate[] {
LocalDate.of(2013, 3, 14),
LocalDate.of(2013, 6, 20),
LocalDate.of(2013, 3, 20),
LocalDate.of(2013, 9, 20),
LocalDate.of(2013, 1, 21),
LocalDate.of(2013, 3, 21),
LocalDate.of(2013, 9, 19),
LocalDate.of(2013, 9, 21),
LocalDate.of(2013, 11, 21)
};
final LocalDate[] datesExp =
new LocalDate[] {
LocalDate.of(2013, 3, 20),
LocalDate.of(2013, 9, 20),
LocalDate.of(2013, 9, 20),
LocalDate.of(2014, 3, 20),
LocalDate.of(2013, 3, 20),
LocalDate.of(2013, 9, 20),
LocalDate.of(2013, 9, 20),
LocalDate.of(2014, 3, 20),
LocalDate.of(2014, 3, 20)
};
for (int i = 0; i < dates.length; ++i) {
assertEquals(getNextIndexRollDate(dates[i]), datesExp[i]);
}
}
// -------------------------------------------------------------------------
public void coverage() {
coverPrivateConstructor(CdsDatesLogic.class);
}
}
/** Tests related to the construction of CMS cap/floor. */
@Test
public class AnnuityCapFloorCMSDefinitionTest {
private static final Currency CUR = Currency.EUR;
private static final HolidayCalendar CALENDAR = HolidayCalendars.SAT_SUN;
// Ibor index
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventions.MODIFIED_FOLLOWING;
private static final boolean IS_EOM = true;
private static final Period IBOR_TENOR = Period.ofMonths(3);
private static final int IBOR_SETTLEMENT_DAYS = 2;
private static final DayCount IBOR_DAY_COUNT = DayCounts.ACT_360;
private static final IborIndex IBOR_INDEX =
new IborIndex(
CUR, IBOR_TENOR, IBOR_SETTLEMENT_DAYS, IBOR_DAY_COUNT, BUSINESS_DAY, IS_EOM, "Ibor");
// CMS 10Y
private static final Period CMS_TENOR = Period.ofYears(10);
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCounts.THIRTY_U_360;
private static final IndexSwap CMS_INDEX =
new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, IBOR_INDEX, CMS_TENOR, CALENDAR);
// Annuity
private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2011, 3, 17);
private static final Period ANNUITY_TENOR = Period.ofYears(5);
private static final ZonedDateTime MATURITY_DATE = START_DATE.plus(ANNUITY_TENOR);
private static final double NOTIONAL = 100000000; // 100m
private static final Period LEG_PAYMENT_PERIOD = Period.ofMonths(12);
private static final DayCount LEG_DAY_COUNT = DayCounts.ACT_365F;
private static final boolean IS_PAYER = true;
private static final double STRIKE = 0.04;
private static final boolean IS_CAP = true;
private static final AnnuityCapFloorCMSDefinition CMS_LEG =
AnnuityCapFloorCMSDefinition.from(
START_DATE,
MATURITY_DATE,
NOTIONAL,
CMS_INDEX,
LEG_PAYMENT_PERIOD,
LEG_DAY_COUNT,
IS_PAYER,
STRIKE,
IS_CAP,
CALENDAR);
@Test
public void dates() {
final IborIndex fakeIborIndex12 =
new IborIndex(
CUR,
LEG_PAYMENT_PERIOD,
IBOR_SETTLEMENT_DAYS,
LEG_DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
"Ibor");
final AnnuityCouponIborDefinition iborLeg =
AnnuityCouponIborDefinition.from(
START_DATE, MATURITY_DATE, NOTIONAL, fakeIborIndex12, IS_PAYER, CALENDAR);
for (int loopcpn = 0; loopcpn < iborLeg.getNumberOfPayments(); loopcpn++) {
assertEquals(
iborLeg.getNthPayment(loopcpn).getAccrualStartDate(),
CMS_LEG.getNthPayment(loopcpn).getAccrualStartDate());
assertEquals(
iborLeg.getNthPayment(loopcpn).getAccrualEndDate(),
CMS_LEG.getNthPayment(loopcpn).getAccrualEndDate());
assertEquals(
iborLeg.getNthPayment(loopcpn).getPaymentYearFraction(),
CMS_LEG.getNthPayment(loopcpn).getPaymentYearFraction());
assertEquals(
iborLeg.getNthPayment(loopcpn).getPaymentDate(),
CMS_LEG.getNthPayment(loopcpn).getPaymentDate());
assertEquals(
iborLeg.getNthPayment(loopcpn).getFixingDate(),
CMS_LEG.getNthPayment(loopcpn).getFixingDate());
}
}
@Test
public void common() {
for (int loopcpn = 0; loopcpn < CMS_LEG.getNumberOfPayments(); loopcpn++) {
assertEquals(CMS_INDEX, CMS_LEG.getNthPayment(loopcpn).getCMSIndex());
assertEquals(
NOTIONAL * (IS_PAYER ? -1.0 : 1.0), CMS_LEG.getNthPayment(loopcpn).getNotional());
assertEquals(STRIKE, CMS_LEG.getNthPayment(loopcpn).getStrike());
assertEquals(IS_CAP, CMS_LEG.getNthPayment(loopcpn).isCap());
}
final AnnuityCapFloorCMSDefinition cmsCapReceiver =
AnnuityCapFloorCMSDefinition.from(
START_DATE,
MATURITY_DATE,
NOTIONAL,
CMS_INDEX,
LEG_PAYMENT_PERIOD,
LEG_DAY_COUNT,
!IS_PAYER,
STRIKE,
IS_CAP,
CALENDAR);
for (int loopcpn = 0; loopcpn < CMS_LEG.getNumberOfPayments(); loopcpn++) {
assertEquals(CMS_INDEX, cmsCapReceiver.getNthPayment(loopcpn).getCMSIndex());
assertEquals(
-NOTIONAL * (IS_PAYER ? -1.0 : 1.0), cmsCapReceiver.getNthPayment(loopcpn).getNotional());
}
}
}
