@Test
public void priceBeforeFixing() {
double interest = 0.0;
final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
final double[] ratePeriod =
new double[FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0;
loopfix < FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length;
loopfix++) {
ratePeriod[loopfix] =
(oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(
FUTURE_SECURITY.getFixingPeriodTime()[loopfix + 1])
- 1.0)
/ FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor()[loopfix];
interest +=
(oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix + 1])
- 1.0);
}
final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(FUTURE_SECURITY, CURVES);
assertEquals(
"Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
@Test
public void priceAfterFixing() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
final ZonedDateTime[] dateFixing =
new ZonedDateTime[] {
DateUtils.getUTCDate(2012, 3, 1),
DateUtils.getUTCDate(2012, 3, 2),
DateUtils.getUTCDate(2012, 3, 5),
DateUtils.getUTCDate(2012, 3, 6),
DateUtils.getUTCDate(2012, 3, 7)
};
final double[] rateFixing = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
final DoubleTimeSeries<ZonedDateTime> fixingTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(dateFixing, rateFixing);
final FederalFundsFutureSecurity futureSecurity =
FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAMES);
double interest = futureSecurity.getAccruedInterest();
final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
final double[] ratePeriod = new double[futureSecurity.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0;
loopfix < futureSecurity.getFixingPeriodAccrualFactor().length;
loopfix++) {
ratePeriod[loopfix] =
(oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(
futureSecurity.getFixingPeriodTime()[loopfix + 1])
- 1.0)
/ futureSecurity.getFixingPeriodAccrualFactor()[loopfix];
interest +=
(oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix + 1])
- 1.0);
}
final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(futureSecurity, CURVES);
assertEquals(
"Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
public class FederalFundsFutureSecurityDiscountingMethodTest {
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 30);
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final IndexON INDEX_FEDFUND = IndexONMaster.getInstance().getIndex("FED FUND");
private static final ZonedDateTime MARCH_1 = DateUtils.getUTCDate(2012, 3, 1);
private static final FederalFundsFutureSecurityDefinition FUTURE_SECURITY_DEFINITION =
FederalFundsFutureSecurityDefinition.fromFedFund(MARCH_1, INDEX_FEDFUND, NYC);
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurves2();
private static final String[] CURVE_NAMES = TestsDataSetsSABR.curves2Names();
private static final FederalFundsFutureSecurity FUTURE_SECURITY =
FUTURE_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE, CURVE_NAMES);
private static final FederalFundsFutureSecurityDiscountingMethod METHOD_SECURITY =
FederalFundsFutureSecurityDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-6;
@Test
public void priceBeforeFixing() {
double interest = 0.0;
final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
final double[] ratePeriod =
new double[FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0;
loopfix < FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length;
loopfix++) {
ratePeriod[loopfix] =
(oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(
FUTURE_SECURITY.getFixingPeriodTime()[loopfix + 1])
- 1.0)
/ FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor()[loopfix];
interest +=
(oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix + 1])
- 1.0);
}
final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(FUTURE_SECURITY, CURVES);
assertEquals(
"Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
@Test
public void priceAfterFixing() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
final ZonedDateTime[] dateFixing =
new ZonedDateTime[] {
DateUtils.getUTCDate(2012, 3, 1),
DateUtils.getUTCDate(2012, 3, 2),
DateUtils.getUTCDate(2012, 3, 5),
DateUtils.getUTCDate(2012, 3, 6),
DateUtils.getUTCDate(2012, 3, 7)
};
final double[] rateFixing = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
final DoubleTimeSeries<ZonedDateTime> fixingTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(dateFixing, rateFixing);
final FederalFundsFutureSecurity futureSecurity =
FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAMES);
double interest = futureSecurity.getAccruedInterest();
final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
final double[] ratePeriod = new double[futureSecurity.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0;
loopfix < futureSecurity.getFixingPeriodAccrualFactor().length;
loopfix++) {
ratePeriod[loopfix] =
(oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(
futureSecurity.getFixingPeriodTime()[loopfix + 1])
- 1.0)
/ futureSecurity.getFixingPeriodAccrualFactor()[loopfix];
interest +=
(oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix + 1])
- 1.0);
}
final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(futureSecurity, CURVES);
assertEquals(
"Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
}
