/**
* 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);
}
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);
}
/**
* 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);
}
// -------------------------------------------------------------------------
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));
}
// -------------------------------------------------------------------------
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));
}
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));
}
/** 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));
}
}
/** 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));
}
}
public void test_cashFlowEquivalent() {
Swap swap = Swap.builder().legs(IBOR_LEG, FIXED_LEG).build();
ExpandedSwapLeg computed =
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap.expand(), PROVIDER);
ExpandedSwapLeg computedIborLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentIborLeg(IBOR_LEG.expand(), PROVIDER);
ExpandedSwapLeg computedFixedLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentFixedLeg(FIXED_LEG.expand(), PROVIDER);
assertEquals(computedFixedLeg.getPaymentEvents(), computed.getPaymentEvents().subList(0, 2));
assertEquals(computedIborLeg.getPaymentEvents(), computed.getPaymentEvents().subList(2, 6));
// expected payments from fixed leg
NotionalExchange fixedPayment1 =
NotionalExchange.of(PAYMENT1, CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC1));
NotionalExchange fixedPayment2 =
NotionalExchange.of(PAYMENT2, CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC2));
// expected payments from ibor leg
LocalDate fixingSTART1 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING1);
double fixedYearFraction1 =
GBP_LIBOR_3M
.getDayCount()
.relativeYearFraction(
fixingSTART1, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART1));
double beta1 =
(1d + fixedYearFraction1 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(FIXING1))
* PROVIDER.discountFactor(GBP, PAYMENT1)
/ PROVIDER.discountFactor(GBP, fixingSTART1);
NotionalExchange iborPayment11 =
NotionalExchange.of(
fixingSTART1, CurrencyAmount.of(GBP, -NOTIONAL * beta1 * PAY_YC1 / fixedYearFraction1));
NotionalExchange iborPayment12 =
NotionalExchange.of(
PAYMENT1, CurrencyAmount.of(GBP, NOTIONAL * PAY_YC1 / fixedYearFraction1));
LocalDate fixingSTART2 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING2);
double fixedYearFraction2 =
GBP_LIBOR_3M
.getDayCount()
.relativeYearFraction(
fixingSTART2, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART2));
double beta2 =
(1d + fixedYearFraction2 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(FIXING2))
* PROVIDER.discountFactor(GBP, PAYMENT2)
/ PROVIDER.discountFactor(GBP, fixingSTART2);
NotionalExchange iborPayment21 =
NotionalExchange.of(
fixingSTART2, CurrencyAmount.of(GBP, -NOTIONAL * beta2 * PAY_YC2 / fixedYearFraction2));
NotionalExchange iborPayment22 =
NotionalExchange.of(
PAYMENT2, CurrencyAmount.of(GBP, NOTIONAL * PAY_YC2 / fixedYearFraction2));
ExpandedSwapLeg expected =
ExpandedSwapLeg.builder()
.type(OTHER)
.payReceive(RECEIVE)
.paymentEvents(
fixedPayment1,
fixedPayment2,
iborPayment11,
iborPayment12,
iborPayment21,
iborPayment22)
.build();
double eps = 1.0e-12;
assertEquals(computed.getPaymentEvents().size(), expected.getPaymentEvents().size());
for (int i = 0; i < 6; ++i) {
NotionalExchange payCmp = (NotionalExchange) computed.getPaymentEvents().get(i);
NotionalExchange payExp = (NotionalExchange) expected.getPaymentEvents().get(i);
assertEquals(payCmp.getCurrency(), payExp.getCurrency());
assertEquals(payCmp.getPaymentDate(), payExp.getPaymentDate());
assertTrue(
DoubleMath.fuzzyEquals(
payCmp.getPaymentAmount().getAmount(),
payExp.getPaymentAmount().getAmount(),
NOTIONAL * eps));
}
}
/** Test {@link SabrExtrapolationReplicationCmsTradePricer}. */
@Test
public class DiscountingCmsTradePricerTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
// trades
private static final LocalDate VALUATION = LocalDate.of(2015, 8, 18);
private static final SwapIndex INDEX = SwapIndices.EUR_EURIBOR_1100_5Y;
private static final LocalDate START = LocalDate.of(2015, 10, 21);
private static final LocalDate END = LocalDate.of(2020, 10, 21);
private static final Frequency FREQUENCY = Frequency.P12M;
private static final BusinessDayAdjustment BUSS_ADJ_EUR =
BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, EUTA);
private static final PeriodicSchedule SCHEDULE_EUR =
PeriodicSchedule.of(
START, END, FREQUENCY, BUSS_ADJ_EUR, StubConvention.NONE, RollConventions.NONE);
private static final double NOTIONAL_VALUE = 1.0e6;
private static final ValueSchedule NOTIONAL = ValueSchedule.of(NOTIONAL_VALUE);
private static final ResolvedCmsLeg CMS_LEG =
CmsLeg.builder()
.index(INDEX)
.notional(NOTIONAL)
.payReceive(RECEIVE)
.paymentSchedule(SCHEDULE_EUR)
.build()
.resolve(REF_DATA);
private static final ResolvedSwapLeg PAY_LEG =
RateCalculationSwapLeg.builder()
.payReceive(PAY)
.accrualSchedule(SCHEDULE_EUR)
.calculation(FixedRateCalculation.of(0.01, ACT_360))
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(FREQUENCY)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(NotionalSchedule.of(CurrencyAmount.of(EUR, NOTIONAL_VALUE)))
.build()
.resolve(REF_DATA);
private static final ResolvedCms CMS_TWO_LEGS = ResolvedCms.of(CMS_LEG, PAY_LEG);
private static final ResolvedCms CMS_ONE_LEG = ResolvedCms.of(CMS_LEG);
private static final Payment PREMIUM =
Payment.of(CurrencyAmount.of(EUR, -0.03 * NOTIONAL_VALUE), VALUATION);
private static final TradeInfo TRADE_INFO = TradeInfo.builder().tradeDate(VALUATION).build();
private static final ResolvedCmsTrade CMS_TRADE =
ResolvedCmsTrade.builder().product(CMS_TWO_LEGS).info(TRADE_INFO).build();
private static final ResolvedCmsTrade CMS_TRADE_PREMIUM =
ResolvedCmsTrade.builder().product(CMS_ONE_LEG).premium(PREMIUM).build();
// providers
private static final ImmutableRatesProvider RATES_PROVIDER =
SwaptionSabrRateVolatilityDataSet.getRatesProviderEur(VALUATION);
// providers - valuation on payment date
private static final LocalDate FIXING =
LocalDate.of(2016, 10, 19); // fixing for the second period.
private static final double OBS_INDEX = 0.013;
private static final LocalDateDoubleTimeSeries TIME_SERIES =
LocalDateDoubleTimeSeries.of(FIXING, OBS_INDEX);
private static final LocalDate PAYMENT =
LocalDate.of(2017, 10, 23); // payment date of the second payment
private static final ImmutableRatesProvider RATES_PROVIDER_ON_PAY =
SwaptionSabrRateVolatilityDataSet.getRatesProviderEur(PAYMENT, TIME_SERIES);
// pricers
private static final DiscountingCmsProductPricer PRODUCT_PRICER =
DiscountingCmsProductPricer.DEFAULT;
private static final DiscountingPaymentPricer PREMIUM_PRICER = DiscountingPaymentPricer.DEFAULT;
private static final DiscountingCmsTradePricer TRADE_PRICER = DiscountingCmsTradePricer.DEFAULT;
private static final double TOL = 1.0e-13;
public void test_presentValue() {
MultiCurrencyAmount pv1 = TRADE_PRICER.presentValue(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount pv2 = TRADE_PRICER.presentValue(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount pvProd1 = PRODUCT_PRICER.presentValue(CMS_ONE_LEG, RATES_PROVIDER);
MultiCurrencyAmount pvProd2 = PRODUCT_PRICER.presentValue(CMS_TWO_LEGS, RATES_PROVIDER);
CurrencyAmount pvPrem = PREMIUM_PRICER.presentValue(PREMIUM, RATES_PROVIDER);
assertEquals(pv1, pvProd1.plus(pvPrem));
assertEquals(pv2, pvProd2);
}
public void test_presentValueSensitivity() {
PointSensitivities pt1 =
TRADE_PRICER.presentValueSensitivity(CMS_TRADE_PREMIUM, RATES_PROVIDER);
PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE, RATES_PROVIDER);
PointSensitivityBuilder ptProd1 =
PRODUCT_PRICER.presentValueSensitivity(CMS_ONE_LEG, RATES_PROVIDER);
PointSensitivityBuilder ptProd2 =
PRODUCT_PRICER.presentValueSensitivity(CMS_TWO_LEGS, RATES_PROVIDER);
PointSensitivityBuilder ptPrem =
PREMIUM_PRICER.presentValueSensitivity(PREMIUM, RATES_PROVIDER);
assertEquals(pt1, ptProd1.combinedWith(ptPrem).build());
assertEquals(pt2, ptProd2.build());
}
public void test_currencyExposure() {
MultiCurrencyAmount computed1 =
TRADE_PRICER.currencyExposure(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount computed2 = TRADE_PRICER.currencyExposure(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount pv1 = TRADE_PRICER.presentValue(CMS_TRADE_PREMIUM, RATES_PROVIDER);
PointSensitivities pt1 =
TRADE_PRICER.presentValueSensitivity(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount expected1 = RATES_PROVIDER.currencyExposure(pt1).plus(pv1);
MultiCurrencyAmount pv2 = TRADE_PRICER.presentValue(CMS_TRADE, RATES_PROVIDER);
PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount expected2 = RATES_PROVIDER.currencyExposure(pt2).plus(pv2);
assertEquals(
computed1.getAmount(EUR).getAmount(),
expected1.getAmount(EUR).getAmount(),
NOTIONAL_VALUE * TOL);
assertEquals(
computed2.getAmount(EUR).getAmount(),
expected2.getAmount(EUR).getAmount(),
NOTIONAL_VALUE * TOL);
}
public void test_currentCash() {
MultiCurrencyAmount cc1 = TRADE_PRICER.currentCash(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount cc2 = TRADE_PRICER.currentCash(CMS_TRADE, RATES_PROVIDER);
assertEquals(cc1, MultiCurrencyAmount.of(PREMIUM.getValue()));
assertEquals(cc2, MultiCurrencyAmount.of(CurrencyAmount.zero(EUR)));
}
public void test_currentCash_onPay() {
MultiCurrencyAmount cc1 = TRADE_PRICER.currentCash(CMS_TRADE_PREMIUM, RATES_PROVIDER_ON_PAY);
MultiCurrencyAmount cc2 = TRADE_PRICER.currentCash(CMS_TRADE, RATES_PROVIDER_ON_PAY);
MultiCurrencyAmount ccProd1 = PRODUCT_PRICER.currentCash(CMS_ONE_LEG, RATES_PROVIDER_ON_PAY);
MultiCurrencyAmount ccProd2 = PRODUCT_PRICER.currentCash(CMS_TWO_LEGS, RATES_PROVIDER_ON_PAY);
assertEquals(cc1, ccProd1);
assertEquals(cc2, ccProd2);
}
}
/** Test {@link BlackFxVanillaOptionTradePricer}. */
@Test
public class BlackFxVanillaOptionTradePricerTest {
private static final LocalDate VAL_DATE = RatesProviderDataSets.VAL_DATE_2014_01_22;
private static final LocalTime VAL_TIME = LocalTime.of(13, 45);
private static final ZoneId ZONE = ZoneId.of("Z");
private static final ZonedDateTime VAL_DATE_TIME = VAL_DATE.atTime(VAL_TIME).atZone(ZONE);
private static final ZonedDateTime EXPIRY = ZonedDateTime.of(2014, 5, 9, 13, 10, 0, 0, ZONE);
private static final FxMatrix FX_MATRIX = RatesProviderFxDataSets.fxMatrix();
private static final RatesProvider RATES_PROVIDER =
RatesProviderFxDataSets.createProviderEURUSD(VAL_DATE);
private static final DoubleArray TIME_TO_EXPIRY =
DoubleArray.of(0.01, 0.252, 0.501, 1.0, 2.0, 5.0);
private static final DoubleArray ATM = DoubleArray.of(0.175, 0.185, 0.18, 0.17, 0.16, 0.16);
private static final DoubleArray DELTA = DoubleArray.of(0.10, 0.25);
private static final DoubleMatrix RISK_REVERSAL =
DoubleMatrix.ofUnsafe(
new double[][] {
{-0.010, -0.0050}, {-0.011, -0.0060}, {-0.012, -0.0070},
{-0.013, -0.0080}, {-0.014, -0.0090}, {-0.014, -0.0090}
});
private static final DoubleMatrix STRANGLE =
DoubleMatrix.ofUnsafe(
new double[][] {
{0.0300, 0.0100},
{0.0310, 0.0110},
{0.0320, 0.0120},
{0.0330, 0.0130},
{0.0340, 0.0140},
{0.0340, 0.0140}
});
private static final InterpolatedStrikeSmileDeltaTermStructure SMILE_TERM =
InterpolatedStrikeSmileDeltaTermStructure.of(
TIME_TO_EXPIRY, DELTA, ATM, RISK_REVERSAL, STRANGLE, ACT_365F);
private static final CurrencyPair CURRENCY_PAIR = CurrencyPair.of(EUR, USD);
private static final BlackFxOptionSmileVolatilities VOLS =
BlackFxOptionSmileVolatilities.of(
FxOptionVolatilitiesName.of("Test"), CURRENCY_PAIR, VAL_DATE_TIME, SMILE_TERM);
private static final LocalDate PAYMENT_DATE = LocalDate.of(2014, 5, 13);
private static final double NOTIONAL = 1.0e6;
private static final CurrencyAmount EUR_AMOUNT = CurrencyAmount.of(EUR, NOTIONAL);
private static final CurrencyAmount USD_AMOUNT =
CurrencyAmount.of(USD, -NOTIONAL * FX_MATRIX.fxRate(EUR, USD));
private static final ResolvedFxSingle FX_PRODUCT =
ResolvedFxSingle.of(EUR_AMOUNT, USD_AMOUNT, PAYMENT_DATE);
private static final ResolvedFxVanillaOption OPTION_PRODUCT =
ResolvedFxVanillaOption.builder()
.longShort(SHORT)
.expiry(EXPIRY)
.underlying(FX_PRODUCT)
.build();
private static final TradeInfo TRADE_INFO = TradeInfo.builder().tradeDate(VAL_DATE).build();
private static final LocalDate CASH_SETTLE_DATE = LocalDate.of(2014, 1, 25);
private static final Payment PREMIUM = Payment.of(EUR, NOTIONAL * 0.027, CASH_SETTLE_DATE);
private static final ResolvedFxVanillaOptionTrade OPTION_TRADE =
ResolvedFxVanillaOptionTrade.builder()
.premium(PREMIUM)
.product(OPTION_PRODUCT)
.info(TRADE_INFO)
.build();
private static final BlackFxVanillaOptionProductPricer PRICER_PRODUCT =
BlackFxVanillaOptionProductPricer.DEFAULT;
private static final BlackFxVanillaOptionTradePricer PRICER_TRADE =
BlackFxVanillaOptionTradePricer.DEFAULT;
private static final DiscountingPaymentPricer PRICER_PAYMENT = DiscountingPaymentPricer.DEFAULT;
private static final double TOL = 1.0e-13;
public void test_presentValue() {
MultiCurrencyAmount pvSensiTrade =
PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiProduct =
PRICER_PRODUCT.presentValue(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiPremium = PRICER_PAYMENT.presentValue(PREMIUM, RATES_PROVIDER);
assertEquals(pvSensiTrade, MultiCurrencyAmount.of(pvSensiProduct, pvSensiPremium));
}
public void test_presentValueSensitivity() {
PointSensitivities pvSensiTrade =
PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct =
PRICER_PRODUCT.presentValueSensitivityRates(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiPremium =
PRICER_PAYMENT.presentValueSensitivity(PREMIUM, RATES_PROVIDER).build();
assertEquals(pvSensiTrade, pvSensiProduct.combinedWith(pvSensiPremium));
}
public void test_presentValueSensitivityBlackVolatility() {
PointSensitivities pvSensiTrade =
PRICER_TRADE.presentValueSensitivityModelParamsVolatility(
OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct =
PRICER_PRODUCT
.presentValueSensitivityModelParamsVolatility(OPTION_PRODUCT, RATES_PROVIDER, VOLS)
.build();
assertEquals(pvSensiTrade, pvSensiProduct);
}
public void test_currencyExposure() {
MultiCurrencyAmount ceComputed =
PRICER_TRADE.currencyExposure(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities point =
PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount pv = PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount ceExpected = RATES_PROVIDER.currencyExposure(point).plus(pv);
assertEquals(ceComputed.size(), 2);
assertEquals(
ceComputed.getAmount(EUR).getAmount(),
ceExpected.getAmount(EUR).getAmount(),
TOL * NOTIONAL);
assertEquals(
ceComputed.getAmount(USD).getAmount(),
ceExpected.getAmount(USD).getAmount(),
TOL * NOTIONAL);
}
public void test_currentCash_zero() {
assertEquals(
PRICER_TRADE.currentCash(OPTION_TRADE, VAL_DATE),
CurrencyAmount.zero(PREMIUM.getCurrency()));
}
public void test_currentCash_onSettle() {
assertEquals(PRICER_TRADE.currentCash(OPTION_TRADE, CASH_SETTLE_DATE), PREMIUM.getValue());
}
}