/** Tests related to the construction of CapFloorCMSSpread. */
public class CapFloorCMSSpreadTest {
// Swaps
private static final Currency CUR = Currency.USD;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 3, 17);
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
private static final boolean FIXED_IS_PAYER = true; // Irrelevant for the underlying
private static final double RATE = 0.0; // Irrelevant for the underlying
private static final Period INDEX_TENOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final IborIndex IBOR_INDEX =
new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM);
// Swap 10Y
private static final Period ANNUITY_TENOR_1 = Period.ofYears(10);
private static final IndexSwap CMS_INDEX_1 =
new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, IBOR_INDEX, ANNUITY_TENOR_1);
private static final SwapFixedIborDefinition SWAP_DEFINITION_1 =
SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX_1, 1.0, RATE, FIXED_IS_PAYER);
// Swap 2Y
private static final Period ANNUITY_TENOR_2 = Period.ofYears(2);
private static final IndexSwap CMS_INDEX_2 =
new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, IBOR_INDEX, ANNUITY_TENOR_2);
private static final SwapFixedIborDefinition SWAP_DEFINITION_2 =
SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX_2, 1.0, RATE, FIXED_IS_PAYER);
// CMS spread coupon
private static final double NOTIONAL = 10000000;
private static final ZonedDateTime PAYMENT_DATE = DateUtils.getUTCDate(2011, 4, 6);
private static final ZonedDateTime FIXING_DATE = DateUtils.getUTCDate(2010, 12, 30);
private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 1, 5);
private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 4, 5);
private static final DayCount PAYMENT_DAY_COUNT =
DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final double PAYMENT_ACCRUAL_FACTOR =
PAYMENT_DAY_COUNT.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double STRIKE = 0.0050; // 50 bps
private static final boolean IS_CAP = true;
// to derivatives
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
private static final String FUNDING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_1_NAME = "Forward 1";
// private static final String FORWARD_CURVE_2_NAME = "Forward 2";
private static final String[] CURVES_2_NAME = {FUNDING_CURVE_NAME, FORWARD_CURVE_1_NAME};
// private static final String[] CURVES_3_NAME = {FUNDING_CURVE_NAME, FORWARD_CURVE_1_NAME,
// FORWARD_CURVE_2_NAME};
private static final FixedCouponSwap<? extends Payment> SWAP_1 =
SWAP_DEFINITION_1.toDerivative(REFERENCE_DATE, CURVES_2_NAME);
private static final FixedCouponSwap<? extends Payment> SWAP_2 =
SWAP_DEFINITION_2.toDerivative(REFERENCE_DATE, CURVES_2_NAME);
private static final DayCount ACT_ACT =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final ZonedDateTime REFERENCE_DATE_ZONED =
ZonedDateTime.of(LocalDateTime.ofMidnight(REFERENCE_DATE), TimeZone.UTC);
private static final double PAYMENT_TIME =
ACT_ACT.getDayCountFraction(REFERENCE_DATE_ZONED, PAYMENT_DATE);
private static final double FIXING_TIME =
ACT_ACT.getDayCountFraction(REFERENCE_DATE_ZONED, FIXING_DATE);
private static final double SETTLEMENT_TIME =
ACT_ACT.getDayCountFraction(
REFERENCE_DATE_ZONED,
SWAP_DEFINITION_1.getFixedLeg().getNthPayment(0).getAccrualStartDate());
private static final CapFloorCMSSpread CMS_SPREAD =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
@Test
public void testGetter() {
assertEquals(SWAP_1, CMS_SPREAD.getUnderlyingSwap1());
assertEquals(CMS_INDEX_1, CMS_SPREAD.getCmsIndex1());
assertEquals(SWAP_2, CMS_SPREAD.getUnderlyingSwap2());
assertEquals(CMS_INDEX_2, CMS_SPREAD.getCmsIndex2());
assertEquals(STRIKE, CMS_SPREAD.getStrike(), 1E-10);
assertEquals(IS_CAP, CMS_SPREAD.isCap());
}
@Test
public void testEqualHash() {
final CapFloorCMSSpread newCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(newCMSSpread.equals(CMS_SPREAD), true);
assertEquals(newCMSSpread.hashCode() == CMS_SPREAD.hashCode(), true);
final Currency newCur = Currency.EUR;
CapFloorCMSSpread modifiedCMSSpread;
modifiedCMSSpread =
new CapFloorCMSSpread(
newCur,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME + 1.0,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR + 1.0,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL + 1.0,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME + 1.0,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME + 1.0,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE + 1.0,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
!IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_2,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_2,
SWAP_2,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_1,
CMS_INDEX_2,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
modifiedCMSSpread =
new CapFloorCMSSpread(
CUR,
PAYMENT_TIME,
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXING_TIME,
SWAP_1,
CMS_INDEX_1,
SWAP_2,
CMS_INDEX_1,
SETTLEMENT_TIME,
STRIKE,
IS_CAP,
FUNDING_CURVE_NAME);
assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
}
}
/** Tests related to the construction of interest rate future security. */
public class InterestRateFutureSecurityTest {
// EURIBOR 3M Index
private static final Period TENOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT_INDEX =
DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Currency CUR = Currency.EUR;
private static final IborIndex IBOR_INDEX =
new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM);
// Future
private static final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtil.getUTCDate(2012, 9, 19);
private static final ZonedDateTime LAST_TRADING_DATE =
ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, CALENDAR, -SETTLEMENT_DAYS);
private static final ZonedDateTime FIXING_END_DATE =
ScheduleCalculator.getAdjustedDate(
SPOT_LAST_TRADING_DATE, BUSINESS_DAY, CALENDAR, IS_EOM, TENOR);
private static final double NOTIONAL = 1000000.0; // 1m
private static final double FUTURE_FACTOR = 0.25;
private static final String NAME = "ERU2";
// private static final InterestRateFutureSecurityDefinition ERU2 = new
// InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, IBOR_INDEX, NOTIONAL, FUTURE_FACTOR,
// NAME);
private static final LocalDate REFERENCE_DATE = LocalDate.of(2010, 8, 18);
private static final DayCount ACT_ACT =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final ZonedDateTime REFERENCE_DATE_ZONED =
ZonedDateTime.of(LocalDateTime.ofMidnight(REFERENCE_DATE), TimeZone.UTC);
private static final double LAST_TRADING_TIME =
ACT_ACT.getDayCountFraction(REFERENCE_DATE_ZONED, LAST_TRADING_DATE);
private static final double FIXING_START_TIME =
ACT_ACT.getDayCountFraction(REFERENCE_DATE_ZONED, SPOT_LAST_TRADING_DATE);
private static final double FIXING_END_TIME =
ACT_ACT.getDayCountFraction(REFERENCE_DATE_ZONED, FIXING_END_DATE);
private static final double FIXING_ACCRUAL =
DAY_COUNT_INDEX.getDayCountFraction(SPOT_LAST_TRADING_DATE, FIXING_END_DATE);
private static final String DISCOUNTING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final InterestRateFutureSecurity ERU2 =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullIndex() {
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
null,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullName() {
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
null,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDscCurve() {
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
null,
FORWARD_CURVE_NAME);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullForwardCurve() {
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
null);
}
@Test
public void getter() {
assertEquals(LAST_TRADING_TIME, ERU2.getLastTradingTime());
assertEquals(IBOR_INDEX, ERU2.getIborIndex());
assertEquals(NOTIONAL, ERU2.getNotional());
assertEquals(FUTURE_FACTOR, ERU2.getPaymentAccrualFactor());
assertEquals(DISCOUNTING_CURVE_NAME, ERU2.getDiscountingCurveName());
assertEquals(FORWARD_CURVE_NAME, ERU2.getForwardCurveName());
assertEquals(NAME, ERU2.getName());
assertEquals(FIXING_START_TIME, ERU2.getFixingPeriodStartTime());
assertEquals(FIXING_END_TIME, ERU2.getFixingPeriodEndTime());
assertEquals(FIXING_ACCRUAL, ERU2.getFixingPeriodAccrualFactor());
}
@Test
public void equalHash() {
assertTrue(ERU2.equals(ERU2));
InterestRateFutureSecurity other =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
assertTrue(ERU2.equals(other));
assertTrue(ERU2.hashCode() == other.hashCode());
assertEquals(ERU2.toString(), other.toString());
InterestRateFutureSecurity modifiedFuture;
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME - 0.01,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
assertFalse(ERU2.equals(modifiedFuture));
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME + 0.01,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
assertFalse(ERU2.equals(modifiedFuture));
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME + 0.01,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
assertFalse(ERU2.equals(modifiedFuture));
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL + 0.01,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
assertFalse(ERU2.equals(modifiedFuture));
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL + 1.0,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
assertFalse(ERU2.equals(modifiedFuture));
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR + 0.25,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
assertFalse(ERU2.equals(modifiedFuture));
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME + "NO",
FORWARD_CURVE_NAME);
assertFalse(ERU2.equals(modifiedFuture));
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME + "NO");
assertFalse(ERU2.equals(modifiedFuture));
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME + NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
assertFalse(ERU2.equals(modifiedFuture));
IborIndex otherIndex =
new IborIndex(
CUR, TENOR, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM);
modifiedFuture =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
otherIndex,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
assertFalse(ERU2.equals(modifiedFuture));
assertFalse(ERU2.equals(LAST_TRADING_DATE));
assertFalse(ERU2.equals(null));
}
}
/**
* Tests for the methods related to interest rate securities pricing with Hull-White model convexity
* adjustment.
*/
public class InterestRateFutureSecurityHullWhiteMethodTest {
// EURIBOR 3M Index
private static final Period TENOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT_INDEX =
DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Currency CUR = Currency.EUR;
private static final IborIndex IBOR_INDEX =
new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM);
// Future
private static final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtil.getUTCDate(2012, 9, 19);
private static final ZonedDateTime LAST_TRADING_DATE =
ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, CALENDAR, -SETTLEMENT_DAYS);
private static final ZonedDateTime FIXING_END_DATE =
ScheduleCalculator.getAdjustedDate(
SPOT_LAST_TRADING_DATE, BUSINESS_DAY, CALENDAR, IS_EOM, TENOR);
private static final double NOTIONAL = 1000000.0; // 1m
private static final double FUTURE_FACTOR = 0.25;
private static final String NAME = "ERU2";
// Time version
private static final LocalDate REFERENCE_DATE = LocalDate.of(2011, 5, 12);
private static final DayCount ACT_ACT =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final ZonedDateTime REFERENCE_DATE_ZONED =
ZonedDateTime.of(LocalDateTime.ofMidnight(REFERENCE_DATE), TimeZone.UTC);
private static final double LAST_TRADING_TIME =
ACT_ACT.getDayCountFraction(REFERENCE_DATE_ZONED, LAST_TRADING_DATE);
private static final double FIXING_START_TIME =
ACT_ACT.getDayCountFraction(REFERENCE_DATE_ZONED, SPOT_LAST_TRADING_DATE);
private static final double FIXING_END_TIME =
ACT_ACT.getDayCountFraction(REFERENCE_DATE_ZONED, FIXING_END_DATE);
private static final double FIXING_ACCRUAL =
DAY_COUNT_INDEX.getDayCountFraction(SPOT_LAST_TRADING_DATE, FIXING_END_DATE);
private static final String DISCOUNTING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final InterestRateFutureSecurity ERU2 =
new InterestRateFutureSecurity(
LAST_TRADING_TIME,
IBOR_INDEX,
FIXING_START_TIME,
FIXING_END_TIME,
FIXING_ACCRUAL,
NOTIONAL,
FUTURE_FACTOR,
NAME,
DISCOUNTING_CURVE_NAME,
FORWARD_CURVE_NAME);
private static final double MEAN_REVERSION = 0.01;
private static final double[] VOLATILITY = new double[] {0.01, 0.011, 0.012, 0.013, 0.014};
private static final double[] VOLATILITY_TIME = new double[] {0.5, 1.0, 2.0, 5.0};
private static final HullWhiteOneFactorPiecewiseConstantParameters MODEL_PARAMETERS =
new HullWhiteOneFactorPiecewiseConstantParameters(
MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
private static final InterestRateFutureSecurityHullWhiteMethod METHOD =
new InterestRateFutureSecurityHullWhiteMethod(MODEL_PARAMETERS);
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL =
new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
@Test
/** Test the constructors. */
public void constructor() {
final InterestRateFutureSecurityHullWhiteMethod methodParameters =
new InterestRateFutureSecurityHullWhiteMethod(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
assertTrue(METHOD.equals(methodParameters));
}
@Test
/** Test the price computed from the curves */
public void price() {
final YieldCurveBundle curves = TestsDataSets.createCurves1();
final double price = METHOD.price(ERU2, curves);
final YieldAndDiscountCurve forwardCurve = curves.getCurve(FORWARD_CURVE_NAME);
final double forward =
(forwardCurve.getDiscountFactor(FIXING_START_TIME)
/ forwardCurve.getDiscountFactor(FIXING_END_TIME)
- 1)
/ FIXING_ACCRUAL;
final double factor = MODEL.futureConvexityFactor(ERU2, MODEL_PARAMETERS);
final double expectedPrice = 1.0 - factor * forward + (1 - factor) / FIXING_ACCRUAL;
assertEquals("Future price from curves in Hull-White one factor model", expectedPrice, price);
}
@Test
/** Compare the price with a price without convexity adjustment. */
public void comparisonDiscounting() {
final YieldCurveBundle curves = TestsDataSets.createCurves1();
final InterestRateFutureSecurityDiscountingMethod methodDiscounting =
InterestRateFutureSecurityDiscountingMethod.getInstance();
final double priceDiscounting = methodDiscounting.priceFromCurves(ERU2, curves);
final double priceHullWhite = METHOD.price(ERU2, curves);
assertTrue(
"Future price comparison with no convexity adjustment", priceDiscounting > priceHullWhite);
}
@Test
public void equalHash() {
assertTrue(METHOD.equals(METHOD));
InterestRateFutureSecurityHullWhiteMethod other =
new InterestRateFutureSecurityHullWhiteMethod(MODEL_PARAMETERS);
assertTrue(METHOD.equals(other));
assertTrue(METHOD.hashCode() == other.hashCode());
InterestRateFutureSecurityHullWhiteMethod modifiedMethod;
HullWhiteOneFactorPiecewiseConstantParameters modifiedParameter =
new HullWhiteOneFactorPiecewiseConstantParameters(
MEAN_REVERSION * 2, VOLATILITY, VOLATILITY_TIME);
modifiedMethod = new InterestRateFutureSecurityHullWhiteMethod(modifiedParameter);
assertFalse(METHOD.equals(modifiedMethod));
assertFalse(METHOD.equals(CUR));
assertFalse(METHOD.equals(null));
}
}
