@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);
}
@Override
public MulticurveSensitivity visitFederalFundsFutureSecurity(
final FederalFundsFutureSecurity futures, final ParameterProviderInterface multicurve) {
ArgChecker.notNull(futures, "Futures");
ArgChecker.notNull(multicurve, "Multi-curves provider");
final IndexON index = futures.getIndex();
final int nbFixing = futures.getFixingPeriodAccrualFactor().length;
final double[] rates = new double[nbFixing];
for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
rates[loopfix] =
multicurve
.getMulticurveProvider()
.getSimplyCompoundForwardRate(
index,
futures.getFixingPeriodTime()[loopfix],
futures.getFixingPeriodTime()[loopfix + 1],
futures.getFixingPeriodAccrualFactor()[loopfix]);
}
// Backward sweep
final double priceBar = 1.0;
final double interestBar = -1.0 / futures.getFixingTotalAccrualFactor() * priceBar;
final double[] ratesBar = new double[nbFixing];
for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
ratesBar[loopfix] = futures.getFixingPeriodAccrualFactor()[loopfix] * interestBar;
}
final Map<String, List<ForwardSensitivity>> resultMap = new HashMap<>();
final List<ForwardSensitivity> listON = new ArrayList<>();
for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
listON.add(
new SimplyCompoundedForwardSensitivity(
futures.getFixingPeriodTime()[loopfix],
futures.getFixingPeriodTime()[loopfix + 1],
futures.getFixingPeriodAccrualFactor()[loopfix],
ratesBar[loopfix]));
}
resultMap.put(multicurve.getMulticurveProvider().getName(index), listON);
return MulticurveSensitivity.ofForward(resultMap);
}