@Test
/** Test the convexity adjustment */
public void convexityAdjustment() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double forward =
MULTICURVES.getSimplyCompoundForwardRate(
EURIBOR3M,
ERU2.getFixingPeriodStartTime(),
ERU2.getFixingPeriodEndTime(),
ERU2.getFixingPeriodAccrualFactor());
final double convexityAdjustment = METHOD_IRFUT_HW.convexityAdjustment(ERU2, HW_MULTICURVES);
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: convexity adjustment",
price - (1.0d - forward),
convexityAdjustment,
TOLERANCE_PRICE);
final double caCalculator = ERU2.accept(CAHWC, HW_MULTICURVES);
assertEquals(
"DeliverableSwapFuturesSecurityDefinition: convexity adjustment",
caCalculator,
convexityAdjustment,
TOLERANCE_PRICE);
}
@Test
/** Test the price computed from the curves and HW parameters. */
public void price() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double forward =
MULTICURVES.getSimplyCompoundForwardRate(
EURIBOR3M,
ERU2.getFixingPeriodStartTime(),
ERU2.getFixingPeriodEndTime(),
ERU2.getFixingPeriodAccrualFactor());
final double factor =
MODEL.futuresConvexityFactor(
MODEL_PARAMETERS,
ERU2.getTradingLastTime(),
ERU2.getFixingPeriodStartTime(),
ERU2.getFixingPeriodEndTime());
final double expectedPrice =
1.0 - factor * forward + (1 - factor) / ERU2.getFixingPeriodAccrualFactor();
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: price",
expectedPrice,
price,
TOLERANCE_PRICE);
}