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