// -------------------------------------------------------------------------
public void test_dirtyPriceFromCurves() {
double computed = PRICER.dirtyPriceFromCurves(BOND_SECURITY, PROVIDER);
CurrencyAmount pv = PRICER.presentValue(PRODUCT, PROVIDER);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.getAmount() / df / NOTIONAL);
}
/**
* Gets the notional amount, positive if receiving, negative if paying.
*
* <p>This is the notional amount applicable during the period. The currency of the notional is
* specified by {@code currency} unless there is the {@code fxReset} property is present.
*
* @return the notional as a {@code CurrencyAmount}
*/
@Override
public CurrencyAmount getNotionalAmount() {
if (fxReset != null) {
return CurrencyAmount.of(fxReset.getReferenceCurrency(), notional);
}
return CurrencyAmount.of(currency, notional);
}
/**
* Calculates the present value of the swaption product.
*
* <p>The result is expressed using the currency of the swapion.
*
* @param swaption the product to price
* @param ratesProvider the rates provider
* @param volatilityProvider the normal volatility provider
* @return the present value of the swaption product
*/
public CurrencyAmount presentValue(
SwaptionProduct swaption,
RatesProvider ratesProvider,
NormalVolatilitySwaptionProvider volatilityProvider) {
ExpandedSwaption expanded = swaption.expand();
validate(ratesProvider, expanded, volatilityProvider);
ZonedDateTime expiryDateTime = expanded.getExpiryDateTime();
double expiry = volatilityProvider.relativeTime(expiryDateTime);
ExpandedSwap underlying = expanded.getUnderlying();
ExpandedSwapLeg fixedLeg = fixedLeg(underlying);
if (expiry < 0.0d) { // Option has expired already
return CurrencyAmount.of(fixedLeg.getCurrency(), 0.0d);
}
double forward = swapPricer.parRate(underlying, ratesProvider);
double pvbp = swapPricer.getLegPricer().pvbp(fixedLeg, ratesProvider);
double strike = swapPricer.getLegPricer().couponEquivalent(fixedLeg, ratesProvider, pvbp);
double tenor = volatilityProvider.tenor(fixedLeg.getStartDate(), fixedLeg.getEndDate());
double volatility = volatilityProvider.getVolatility(expiryDateTime, tenor, strike, forward);
NormalFunctionData normalData = NormalFunctionData.of(forward, Math.abs(pvbp), volatility);
boolean isCall = (fixedLeg.getPayReceive() == PayReceive.PAY);
// Payer at strike is exercise when rate > strike, i.e. call on rate
EuropeanVanillaOption option =
EuropeanVanillaOption.of(strike, expiry, isCall ? PutCall.CALL : PutCall.PUT);
// option required to pass the strike (in case the swap has non-constant coupon).
Function1D<NormalFunctionData, Double> func = NORMAL.getPriceFunction(option);
double pv =
func.evaluate(normalData) * ((expanded.getLongShort() == LongShort.LONG) ? 1.0 : -1.0);
return CurrencyAmount.of(fixedLeg.getCurrency(), pv);
}
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 convertCurrencyAmount() {
List<FxRate> rates =
ImmutableList.of(
FxRate.of(Currency.GBP, Currency.USD, 1.61),
FxRate.of(Currency.GBP, Currency.USD, 1.62),
FxRate.of(Currency.GBP, Currency.USD, 1.63));
CalculationEnvironment marketData =
MarketEnvironment.builder()
.valuationDate(date(2011, 3, 8))
.addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
.build();
MarketDataMappings mappings = MarketDataMappings.of(MarketDataFeed.NONE);
DefaultCalculationMarketData calculationMarketData =
DefaultCalculationMarketData.of(marketData, mappings);
SingleScenarioResult<CurrencyAmount> test =
SingleScenarioResult.of(3, CurrencyAmount.of(Currency.GBP, 2));
ScenarioResult<?> convertedList = test.convertedTo(Currency.USD, calculationMarketData);
List<CurrencyAmount> expectedValues =
ImmutableList.of(
CurrencyAmount.of(Currency.USD, 2 * 1.61),
CurrencyAmount.of(Currency.USD, 2 * 1.62),
CurrencyAmount.of(Currency.USD, 2 * 1.63));
DefaultScenarioResult<CurrencyAmount> expectedList = DefaultScenarioResult.of(expectedValues);
assertThat(convertedList).isEqualTo(expectedList);
}
/** Test FRA paying in the past. */
public void test_presentValue_inPast() {
ExpandedFra fraExp = FRA.expand().toBuilder().paymentDate(VAL_DATE.minusDays(1)).build();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount computed = test.presentValue(fraExp, prov);
assertEquals(computed.getAmount(), 0d, TOLERANCE);
}
/** Test present value for ISDA FRA Discounting method. */
public void test_presentValue_AFMA() {
ExpandedFra fraExp = FRA_AFMA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount pvComputed = test.presentValue(fraExp, prov);
CurrencyAmount pvExpected = test.forecastValue(fraExp, prov).multipliedBy(DISCOUNT_FACTOR);
assertEquals(pvComputed.getAmount(), pvExpected.getAmount(), TOLERANCE);
}
// -------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
if (rebate != null) {
ArgChecker.isTrue(rebate.getAmount() > 0d, "rebate must be positive");
ArgChecker.isTrue(
underlyingOption.getUnderlying().getCurrencyPair().contains(rebate.getCurrency()),
"The rebate currency must be one of underlying currency pair");
}
}
/** Test par spread for AFMA FRA Discounting method. */
public void test_parSpread_AFMA() {
ExpandedFra fraExp = FRA_AFMA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
double parSpread = test.parSpread(fraExp, prov);
Fra fra = createNewFra(FRA_AFMA, FRA_AFMA.getFixedRate() + parSpread);
CurrencyAmount pv = test.presentValue(fra, prov);
assertEquals(pv.getAmount(), 0.0, TOLERANCE);
}
public void test_dirtyPriceFromCurvesWithZSpread_periodic() {
double computed =
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurrencyAmount pv =
PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.getAmount() / df / NOTIONAL);
}
public void test_cashFlowEquivalent_pv() {
Swap swap = Swap.builder().legs(IBOR_LEG, FIXED_LEG).build();
ExpandedSwapLeg cfe =
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap.expand(), PROVIDER);
DiscountingSwapLegPricer pricerLeg = DiscountingSwapLegPricer.DEFAULT;
DiscountingSwapProductPricer pricerSwap = DiscountingSwapProductPricer.DEFAULT;
CurrencyAmount pvCfe = pricerLeg.presentValue(cfe, PROVIDER);
MultiCurrencyAmount pvSwap = pricerSwap.presentValue(swap, PROVIDER);
assertEquals(pvCfe.getAmount(), pvSwap.getAmount(GBP).getAmount(), TOLERANCE_PV);
}
/** Test par rate for NONE FRA Discounting method. */
public void test_parRate_NONE() {
ExpandedFra fraExp = FRA_NONE.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
double parRate = test.parRate(fraExp, prov);
assertEquals(parRate, FORWARD_RATE);
Fra fra = createNewFra(FRA_NONE, parRate);
CurrencyAmount pv = test.presentValue(fra, prov);
assertEquals(pv.getAmount(), 0.0, TOLERANCE);
}
/** Test forecast value for NONE FRA Discounting method. */
public void test_forecastValue_NONE() {
ExpandedFra fraExp = FRA_NONE.expand();
SimpleRatesProvider prov = createProvider(fraExp);
double fixedRate = FRA_NONE.getFixedRate();
double yearFraction = fraExp.getYearFraction();
double notional = fraExp.getNotional();
double expected = notional * yearFraction * (FORWARD_RATE - fixedRate);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount computed = test.forecastValue(fraExp, prov);
assertEquals(computed.getAmount(), expected, TOLERANCE);
}
// -------------------------------------------------------------------------
private double forecastValueFwdSensitivity(Fra fra, double forwardRate, double eps) {
RateObservationFn<RateObservation> obsFuncNew = mock(RateObservationFn.class);
RatesProvider provNew = mock(RatesProvider.class);
when(provNew.getValuationDate()).thenReturn(VAL_DATE);
ExpandedFra fraExp = fra.expand();
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate + eps);
CurrencyAmount upValue =
new DiscountingFraProductPricer(obsFuncNew).forecastValue(fraExp, provNew);
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate - eps);
CurrencyAmount downValue =
new DiscountingFraProductPricer(obsFuncNew).forecastValue(fraExp, provNew);
return upValue.minus(downValue).multipliedBy(0.5 / eps).getAmount();
}
public void test_presentValue() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
FunctionConfig<FxNdfTrade> config =
FxNdfFunctionGroups.discounting().functionConfig(TRADE, Measure.PRESENT_VALUE).get();
CalculationSingleFunction<FxNdfTrade, ?> function = config.createFunction();
FunctionRequirements reqs = function.requirements(TRADE);
assertThat(reqs.getOutputCurrencies()).containsOnly(ccy1, ccy2);
assertThat(reqs.getSingleValueRequirements())
.isEqualTo(ImmutableSet.of(DiscountCurveKey.of(ccy1), DiscountCurveKey.of(ccy2)));
assertThat(reqs.getTimeSeriesRequirements()).isEqualTo(ImmutableSet.of());
assertThat(function.defaultReportingCurrency(TRADE)).hasValue(GBP);
DiscountFactors df1 =
SimpleDiscountFactors.of(
ccy1, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
DiscountFactors df2 =
SimpleDiscountFactors.of(
ccy2, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(DiscountCurveKey.of(ccy1), df1, DiscountCurveKey.of(ccy2), df2),
ImmutableMap.of());
assertThat(function.execute(TRADE, md))
.isEqualTo(FxConvertibleList.of(ImmutableList.of(CurrencyAmount.zero(GBP))));
}
// -------------------------------------------------------------------------
public void test_priceSensitivity() {
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
CurveCurrencyParameterSensitivities computed = RATE_PROVIDER.curveParameterSensitivity(point);
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
RATE_PROVIDER,
(p) ->
CurrencyAmount.of(
EUR, OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, (p), VOL_PROVIDER)));
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double logMoneynessUp = Math.log(strike / (futurePrice + EPS));
double logMoneynessDw = Math.log(strike / (futurePrice - EPS));
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double volUp = SURFACE.zValue(expiryTime, logMoneynessUp);
double volDw = SURFACE.zValue(expiryTime, logMoneynessDw);
double volSensi = 0.5 * (volUp - volDw) / EPS;
double vega = BlackFormulaRepository.vega(futurePrice, strike, expiryTime, vol);
CurveCurrencyParameterSensitivities sensiVol =
RATE_PROVIDER
.curveParameterSensitivity(
FUTURE_PRICER.priceSensitivity(
FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER))
.multipliedBy(-vega * volSensi);
expected = expected.combinedWith(sensiVol);
assertTrue(computed.equalWithTolerance(expected, 30d * EPS));
}
/** Test explain. */
public void test_explainPresentValue_ISDA() {
ExpandedFra fraExp = FRA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount fvExpected = test.forecastValue(fraExp, prov);
CurrencyAmount pvExpected = test.presentValue(fraExp, prov);
ExplainMap explain = test.explainPresentValue(fraExp, prov);
Currency currency = fraExp.getCurrency();
int daysBetween = (int) DAYS.between(fraExp.getStartDate(), fraExp.getEndDate());
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "FRA");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), fraExp.getPaymentDate());
assertEquals(explain.get(ExplainKey.START_DATE).get(), fraExp.getStartDate());
assertEquals(explain.get(ExplainKey.END_DATE).get(), fraExp.getEndDate());
assertEquals(explain.get(ExplainKey.ACCRUAL_YEAR_FRACTION).get(), fraExp.getYearFraction());
assertEquals(explain.get(ExplainKey.ACCRUAL_DAYS).get(), (Integer) (int) daysBetween);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), currency);
assertEquals(
explain.get(ExplainKey.NOTIONAL).get().getAmount(), fraExp.getNotional(), TOLERANCE);
assertEquals(
explain.get(ExplainKey.TRADE_NOTIONAL).get().getAmount(), fraExp.getNotional(), TOLERANCE);
assertEquals(explain.get(ExplainKey.OBSERVATIONS).get().size(), 1);
ExplainMap explainObs = explain.get(ExplainKey.OBSERVATIONS).get().get(0);
IborRateObservation floatingRate = (IborRateObservation) fraExp.getFloatingRate();
assertEquals(explainObs.get(ExplainKey.INDEX).get(), floatingRate.getIndex());
assertEquals(explainObs.get(ExplainKey.FIXING_DATE).get(), floatingRate.getFixingDate());
assertEquals(explainObs.get(ExplainKey.INDEX_VALUE).get(), FORWARD_RATE, TOLERANCE);
assertEquals(explain.get(ExplainKey.DISCOUNT_FACTOR).get(), DISCOUNT_FACTOR, TOLERANCE);
assertEquals(explain.get(ExplainKey.FIXED_RATE).get(), fraExp.getFixedRate(), TOLERANCE);
assertEquals(explain.get(ExplainKey.PAY_OFF_RATE).get(), FORWARD_RATE, TOLERANCE);
assertEquals(explain.get(ExplainKey.COMBINED_RATE).get(), FORWARD_RATE, TOLERANCE);
assertEquals(
explain.get(ExplainKey.UNIT_AMOUNT).get(),
fvExpected.getAmount() / fraExp.getNotional(),
TOLERANCE);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().getCurrency(), currency);
assertEquals(
explain.get(ExplainKey.FORECAST_VALUE).get().getAmount(),
fvExpected.getAmount(),
TOLERANCE);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().getCurrency(), currency);
assertEquals(
explain.get(ExplainKey.PRESENT_VALUE).get().getAmount(), pvExpected.getAmount(), TOLERANCE);
}
// -------------------------------------------------------------------------
public void test_priceSensitivity() {
PointSensitivities point = FUTURE_PRICER.priceSensitivity(FUTURE_PRODUCT, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER, (p) -> CurrencyAmount.of(USD, FUTURE_PRICER.price(FUTURE_PRODUCT, (p))));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
/** Test par spread sensitivity for ISDA FRA Discounting method. */
public void test_parSpreadSensitivity_ISDA() {
PointSensitivities sensi = DEFAULT_PRICER.parSpreadSensitivity(FRA, IMM_PROV);
CurveCurrencyParameterSensitivities sensiComputed = IMM_PROV.curveParameterSensitivity(sensi);
CurveCurrencyParameterSensitivities sensiExpected =
CAL_FD.sensitivity(
IMM_PROV,
(p) -> CurrencyAmount.of(FRA.getCurrency(), DEFAULT_PRICER.parSpread(FRA, (p))));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, EPS_FD));
}
/** Test forecast value for ISDA FRA Discounting method. */
public void test_forecastValue_ISDA() {
ExpandedFra fraExp = FRA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
double fixedRate = FRA.getFixedRate();
double yearFraction = fraExp.getYearFraction();
double notional = fraExp.getNotional();
double expected =
notional * yearFraction * (FORWARD_RATE - fixedRate) / (1.0 + yearFraction * FORWARD_RATE);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount computed = test.forecastValue(fraExp, prov);
assertEquals(computed.getAmount(), expected, TOLERANCE);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(testTrade.forecastValue(FRA_TRADE, prov), test.forecastValue(fraExp, prov));
}
private double dscSensitivity(
Fra fra, double forwardRate, double discountFactor, double paymentTime, double eps) {
RatesProvider provNew = mock(RatesProvider.class);
when(provNew.getValuationDate()).thenReturn(VAL_DATE);
RateObservationFn<RateObservation> obsFuncNew = mock(RateObservationFn.class);
ExpandedFra fraExp = fra.expand();
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate);
when(provNew.discountFactor(fra.getCurrency(), fraExp.getPaymentDate()))
.thenReturn(discountFactor * Math.exp(-eps * paymentTime));
CurrencyAmount upDscValue =
new DiscountingFraProductPricer(obsFuncNew).presentValue(fraExp, provNew);
when(provNew.discountFactor(fra.getCurrency(), fraExp.getPaymentDate()))
.thenReturn(discountFactor * Math.exp(eps * paymentTime));
CurrencyAmount downDscValue =
new DiscountingFraProductPricer(obsFuncNew).presentValue(fraExp, provNew);
return upDscValue.minus(downDscValue).multipliedBy(0.5 / eps).getAmount();
}
public void test_dirtyPriceSensitivity() {
PointSensitivityBuilder point = PRICER.dirtyPriceSensitivity(BOND_SECURITY, PROVIDER);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) -> CurrencyAmount.of(EUR, PRICER.dirtyPriceFromCurves(BOND_SECURITY, (p))));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
/**
* Totals all the sensitivity values.
*
* <p>The result is the total of all values, as converted to the specified currency. Any FX
* conversion that is required will use rates from the provider.
*
* @param resultCurrency the currency of the result
* @param rateProvider the provider of FX rates
* @return the total sensitivity
* @throws RuntimeException if no FX rate could be found
*/
public CurrencyAmount total(Currency resultCurrency, FxRateProvider rateProvider) {
CurveCurrencyParameterSensitivities converted = convertedTo(resultCurrency, rateProvider);
double total =
converted
.sensitivities
.stream()
.map(CurveCurrencyParameterSensitivity::getSensitivity)
.flatMapToDouble(DoubleStream::of)
.sum();
return CurrencyAmount.of(resultCurrency, total);
}
/** Test {@link FxSingleTrade}. */
@Test
public class FxSingleTradeTest {
private static final CurrencyAmount GBP_P1000 = CurrencyAmount.of(GBP, 1_000);
private static final CurrencyAmount GBP_M1000 = CurrencyAmount.of(GBP, -1_000);
private static final CurrencyAmount USD_P1600 = CurrencyAmount.of(USD, 1_600);
private static final CurrencyAmount USD_M1600 = CurrencyAmount.of(USD, -1_600);
private static final LocalDate DATE_2015_06_30 = date(2015, 6, 30);
private static final FxSingle FWD1 = FxSingle.of(GBP_P1000, USD_M1600, DATE_2015_06_30);
private static final FxSingle FWD2 = FxSingle.of(GBP_M1000, USD_P1600, DATE_2015_06_30);
// -------------------------------------------------------------------------
public void test_builder() {
FxSingleTrade test = FxSingleTrade.builder().product(FWD1).build();
assertEquals(test.getTradeInfo(), TradeInfo.EMPTY);
assertEquals(test.getProduct(), FWD1);
}
// -------------------------------------------------------------------------
public void coverage() {
FxSingleTrade test =
FxSingleTrade.builder()
.tradeInfo(TradeInfo.builder().tradeDate(date(2014, 6, 30)).build())
.product(FWD1)
.build();
coverImmutableBean(test);
FxSingleTrade test2 = FxSingleTrade.builder().product(FWD2).build();
coverBeanEquals(test, test2);
}
public void test_serialization() {
FxSingleTrade test =
FxSingleTrade.builder()
.tradeInfo(TradeInfo.builder().tradeDate(date(2014, 6, 30)).build())
.product(FWD1)
.build();
assertSerialization(test);
}
}
public void test_priceSensitivityWithZSpread_continuous() {
PointSensitivities point =
FUTURE_PRICER.priceSensitivityWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
USD,
FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, (p), Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
public void test_dirtyPriceSensitivityWithZspread_continuous() {
PointSensitivityBuilder point =
PRICER.dirtyPriceSensitivityWithZspread(BOND_SECURITY, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
EUR,
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, (p), Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
public void test_presentValue_noExcoupon() {
CurrencyAmount computed = PRICER.presentValue(PRODUCT_NO_EXCOUPON, PROVIDER);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(expanded.getNominalPayment(), DSC_FACTORS_ISSUER);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValue(
payment, IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
/** 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));
}
}
private FxSingle parseLeg(
XmlElement legEl, FpmlDocument document, TradeInfo.Builder tradeInfoBuilder) {
// supported elements:
// 'exchangedCurrency1/paymentAmount'
// 'exchangedCurrency2/paymentAmount'
// 'valueDate'
// ignored elements:
// 'dealtCurrency?'
// 'exchangeRate'
// rejected elements:
// 'nonDeliverableSettlement?'
// 'currency1ValueDate'
// 'currency2ValueDate'
document.validateNotPresent(legEl, "currency1ValueDate");
document.validateNotPresent(legEl, "currency2ValueDate");
document.validateNotPresent(legEl, "nonDeliverableSettlement");
XmlElement curr1El = legEl.getChild("exchangedCurrency1");
XmlElement curr2El = legEl.getChild("exchangedCurrency2");
// pay/receive and counterparty
PayReceive curr1PayReceive = document.parsePayerReceiver(curr1El, tradeInfoBuilder);
PayReceive curr2PayReceive = document.parsePayerReceiver(curr2El, tradeInfoBuilder);
if (curr1PayReceive == curr2PayReceive) {
throw new FpmlParseException(
"FX single leg currencies must not have same Pay/Receive direction");
}
// amount
CurrencyAmount curr1Amount = document.parseCurrencyAmount(curr1El.getChild("paymentAmount"));
CurrencyAmount curr2Amount = document.parseCurrencyAmount(curr2El.getChild("paymentAmount"));
if (curr1PayReceive == PayReceive.PAY) {
curr1Amount = curr1Amount.negative();
curr2Amount = curr2Amount.positive();
} else {
curr1Amount = curr1Amount.positive();
curr2Amount = curr2Amount.negative();
}
// payment date
LocalDate valueDate = document.parseDate(legEl.getChild("valueDate"));
// result
return FxSingle.of(curr1Amount, curr2Amount, valueDate);
}
/** Test {@link FxNdfFunctionGroups}. */
@Test
public class FxNdfFunctionGroupsTest {
private static final FxRate FX_RATE = FxRate.of(GBP, USD, 1.5d);
private static final CurrencyAmount NOTIONAL = CurrencyAmount.of(GBP, (double) 100_000_000);
private static final FxNdf PRODUCT =
FxNdf.builder()
.agreedFxRate(FX_RATE)
.settlementCurrencyNotional(NOTIONAL)
.index(GBP_USD_WM)
.paymentDate(date(2015, 3, 19))
.build();
public static final FxNdfTrade TRADE =
FxNdfTrade.builder()
.tradeInfo(TradeInfo.builder().tradeDate(date(2015, 6, 1)).build())
.product(PRODUCT)
.build();
public void test_discounting() {
FunctionGroup<FxNdfTrade> test = FxNdfFunctionGroups.discounting();
assertThat(test.configuredMeasures(TRADE))
.contains(
Measure.PRESENT_VALUE,
Measure.PV01,
Measure.BUCKETED_PV01,
Measure.CURRENCY_EXPOSURE,
Measure.FORWARD_FX_RATE);
}
public void test_presentValue() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
FunctionConfig<FxNdfTrade> config =
FxNdfFunctionGroups.discounting().functionConfig(TRADE, Measure.PRESENT_VALUE).get();
CalculationSingleFunction<FxNdfTrade, ?> function = config.createFunction();
FunctionRequirements reqs = function.requirements(TRADE);
assertThat(reqs.getOutputCurrencies()).containsOnly(ccy1, ccy2);
assertThat(reqs.getSingleValueRequirements())
.isEqualTo(ImmutableSet.of(DiscountCurveKey.of(ccy1), DiscountCurveKey.of(ccy2)));
assertThat(reqs.getTimeSeriesRequirements()).isEqualTo(ImmutableSet.of());
assertThat(function.defaultReportingCurrency(TRADE)).hasValue(GBP);
DiscountFactors df1 =
SimpleDiscountFactors.of(
ccy1, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
DiscountFactors df2 =
SimpleDiscountFactors.of(
ccy2, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(DiscountCurveKey.of(ccy1), df1, DiscountCurveKey.of(ccy2), df2),
ImmutableMap.of());
assertThat(function.execute(TRADE, md))
.isEqualTo(FxConvertibleList.of(ImmutableList.of(CurrencyAmount.zero(GBP))));
}
// -------------------------------------------------------------------------
public void coverage() {
coverPrivateConstructor(FxNdfFunctionGroups.class);
}
public void coverage_functions() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
Curve df = ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
FxRate fxRate = FxRate.of(ccy1, ccy2, 1.6d);
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(
DiscountCurveKey.of(ccy1), df,
DiscountCurveKey.of(ccy2), df,
FxRateKey.of(ccy1, ccy2), fxRate),
ImmutableMap.of(
IndexRateKey.of(GBP_USD_WM),
LocalDateDoubleTimeSeries.of(date(2015, 3, 17), 1.45d)));
assertNotNull(new FxNdfBucketedPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfCurrencyExposureFunction().execute(TRADE, md));
assertNotNull(new FxNdfForwardFxRateFunction().execute(TRADE, md));
assertNotNull(new FxNdfPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfPvFunction().execute(TRADE, md));
}
}