@Test(enabled = false)
/** Tests of performance. "enabled = false" for the standard testing. */
public void performanceCoupon() {
long startTime, endTime;
final int nbTest = 1000;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
METHOD_STANDARD_CPN.presentValue(CMS_COUPON, SABR_MULTICURVES);
METHOD_STANDARD_CPN.presentValueCurveSensitivity(CMS_COUPON, SABR_MULTICURVES);
METHOD_STANDARD_CPN.presentValueSABRSensitivity(CMS_COUPON, SABR_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " CMS coupon by replication SABR standard (price+delta+vega): "
+ (endTime - startTime)
+ " ms");
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, SABR_MULTICURVES);
METHOD_EXTRAPOLATION_CPN.presentValueCurveSensitivity(CMS_COUPON, SABR_MULTICURVES);
METHOD_EXTRAPOLATION_CPN.presentValueSABRSensitivity(CMS_COUPON, SABR_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " CMS coupon by replication SABR with extrapolation (price+delta+vega): "
+ (endTime - startTime)
+ " ms");
// Performance note: price (standard SABR): 15-Nov-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon:
// 55 ms for 1000 CMS coupon 5Y.
// Performance note: price (SABR with extrapolation): 15-Nov-11: On Mac Pro 3.2 GHz Quad-Core
// Intel Xeon: 80 ms for 1000 CMS coupon 5Y.
// Performance note: price+delta (standard SABR): 15-Nov-11: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 215 ms for 1000 CMS coupon 5Y.
// Performance note: price+delta (SABR with extrapolation): 15-Nov-11: On Mac Pro 3.2 GHz
// Quad-Core Intel Xeon: 455 ms for 1000 CMS coupon 5Y.
// Performance note: price+delta+vega (standard SABR): 18-Apr-2012: On Mac Pro 3.2 GHz Quad-Core
// Intel Xeon: 710 ms for 1000 CMS coupon 5Y.
// Performance note: price+delta+vega (SABR with extrapolation): 18-Apr-2012: On Mac Pro 3.2 GHz
// Quad-Core Intel Xeon: 690 ms for 1000 CMS coupon 5Y.
}
@Test(enabled = true)
/**
* Tests to estimate the impact of mu on the CMS coupon pricing. "enabled = false" for the
* standard testing.
*/
public void testPriceMultiMu() {
final double[] mu = new double[] {1.10, 1.30, 1.55, 2.25, 3.50, 6.00, 15.0};
final int nbMu = mu.length;
final double priceCouponStd =
METHOD_STANDARD_CPN.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR);
@SuppressWarnings("unused")
final double rateCouponStd =
priceCouponStd
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
final double[] priceCouponExtra = new double[nbMu];
final double[] rateCouponExtra = new double[nbMu];
for (int loopmu = 0; loopmu < nbMu; loopmu++) {
final CouponCMSSABRExtrapolationRightReplicationMethod methodExtrapolation =
new CouponCMSSABRExtrapolationRightReplicationMethod(CUT_OFF_STRIKE, mu[loopmu]);
priceCouponExtra[loopmu] =
methodExtrapolation.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR);
rateCouponExtra[loopmu] =
priceCouponExtra[loopmu]
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
}
final double priceCouponNoAdj =
METHOD_DSC_CPN.presentValue(CMS_COUPON, MULTICURVES).getAmount(EUR);
final double rateCouponNoAdj =
priceCouponNoAdj
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
for (int loopmu = 1; loopmu < nbMu; loopmu++) {
assertTrue(
"Extrapolation: comparison with standard method",
rateCouponExtra[loopmu - 1] > rateCouponExtra[loopmu]);
}
assertTrue(
"Extrapolation: comparison with standard method",
rateCouponExtra[nbMu - 1] > rateCouponNoAdj);
}
/**
* Test the present value for a CMS coupon with pricing by replication in the SABR with
* extrapolation framework. The present value is tested against hard-coded value and cap of strike
* 0.
*/
public void presentValue() {
// CMS cap/floor with strike 0 has the same price as a CMS coupon.
final double priceCouponStd =
METHOD_STANDARD_CPN.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR).getAmount();
final double rateCouponStd =
priceCouponStd
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
final double priceCouponExtra =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double rateCouponExtra =
priceCouponExtra
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
final double priceCouponNoAdj =
METHOD_DSC_CPN.presentValue(CMS_COUPON, MULTICURVES).getAmount(EUR).getAmount();
final double rateCouponNoAdj =
priceCouponNoAdj
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
assertEquals(
"Extrapolation: comparison with standard method", rateCouponStd > rateCouponExtra, true);
assertEquals(
"Extrapolation: comparison with no convexity adjustment",
rateCouponExtra > rateCouponNoAdj,
true);
final double rateCouponExtraExpected = 0.0189864; // From previous run.
assertEquals("Extrapolation: hard-coded value", rateCouponExtraExpected, rateCouponExtra, 1E-6);
final double priceCap0Extra =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_0, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
assertEquals(
"Extrapolation: CMS coupon vs Cap 0", priceCouponExtra, priceCap0Extra, TOLERANCE_PV);
}
