/** 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);
}
/** Test forecast value for AFMA FRA Discounting method. */
public void test_forecastValue_AFMA() {
ExpandedFra fraExp = FRA_AFMA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
double fixedRate = FRA_AFMA.getFixedRate();
double yearFraction = fraExp.getYearFraction();
double notional = fraExp.getNotional();
double expected =
-notional
* (1.0 / (1.0 + yearFraction * FORWARD_RATE) - 1.0 / (1.0 + yearFraction * fixedRate));
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount computed = test.forecastValue(fraExp, prov);
assertEquals(computed.getAmount(), expected, TOLERANCE);
}
/** Test forecast value sensitivity for AFMA FRA discounting method. */
public void test_forecastValueSensitivity_AFMA() {
ExpandedFra fraExp = FRA_AFMA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
PointSensitivities sensitivity = test.forecastValueSensitivity(fraExp, prov);
double eps = 1.e-7;
double fdSense = forecastValueFwdSensitivity(FRA_AFMA, FORWARD_RATE, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.getSensitivities();
assertEquals(sensitivities.size(), 1);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.getIndex(), FRA_AFMA.getIndex());
assertEquals(sensitivity0.getFixingDate(), FRA_AFMA.getStartDate());
assertEquals(sensitivity0.getSensitivity(), fdSense, FRA_AFMA.getNotional() * eps);
}
/** 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);
}
/** Test par spread sensitivity for AFMA FRA Discounting method. */
public void test_parSpreadSensitivity_AFMA() {
PointSensitivities sensi = DEFAULT_PRICER.parSpreadSensitivity(FRA_AFMA, IMM_PROV);
CurveCurrencyParameterSensitivities sensiComputed = IMM_PROV.curveParameterSensitivity(sensi);
CurveCurrencyParameterSensitivities sensiExpected =
CAL_FD.sensitivity(
IMM_PROV,
(p) ->
CurrencyAmount.of(FRA_AFMA.getCurrency(), DEFAULT_PRICER.parSpread(FRA_AFMA, (p))));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, EPS_FD));
}
/** Test present value sensitivity for AFMA FRA discounting method. */
public void test_presentValueSensitivity_AFMA() {
RateObservationFn<RateObservation> mockObs = mock(RateObservationFn.class);
DiscountFactors mockDf = mock(DiscountFactors.class);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(VAL_DATE, mockDf);
ExpandedFra fraExp = FRA_AFMA.expand();
double forwardRate = 0.05;
double discountRate = 0.025;
double paymentTime = 0.3;
double discountFactor = Math.exp(-discountRate * paymentTime);
LocalDate fixingDate = FRA_AFMA.getStartDate();
PointSensitivityBuilder sens = IborRateSensitivity.of(FRA.getIndex(), fixingDate, 1d);
when(mockDf.discountFactor(fraExp.getPaymentDate())).thenReturn(discountFactor);
when(mockDf.zeroRatePointSensitivity(fraExp.getPaymentDate()))
.thenReturn(
ZeroRateSensitivity.of(
fraExp.getCurrency(), fraExp.getPaymentDate(), -discountFactor * paymentTime));
when(mockObs.rateSensitivity(
fraExp.getFloatingRate(), fraExp.getStartDate(), fraExp.getEndDate(), simpleProv))
.thenReturn(sens);
when(mockObs.rate(
fraExp.getFloatingRate(), FRA_AFMA.getStartDate(), FRA_AFMA.getEndDate(), simpleProv))
.thenReturn(forwardRate);
DiscountingFraProductPricer test = new DiscountingFraProductPricer(mockObs);
PointSensitivities sensitivity = test.presentValueSensitivity(fraExp, simpleProv);
double eps = 1.e-7;
double fdDscSense = dscSensitivity(FRA_AFMA, forwardRate, discountFactor, paymentTime, eps);
double fdSense = presentValueFwdSensitivity(FRA_AFMA, forwardRate, discountFactor, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.getSensitivities();
assertEquals(sensitivities.size(), 2);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.getIndex(), FRA_AFMA.getIndex());
assertEquals(sensitivity0.getFixingDate(), fixingDate);
assertEquals(sensitivity0.getSensitivity(), fdSense, FRA_AFMA.getNotional() * eps);
ZeroRateSensitivity sensitivity1 = (ZeroRateSensitivity) sensitivities.get(1);
assertEquals(sensitivity1.getCurrency(), FRA_AFMA.getCurrency());
assertEquals(sensitivity1.getDate(), fraExp.getPaymentDate());
assertEquals(sensitivity1.getSensitivity(), fdDscSense, FRA_AFMA.getNotional() * eps);
}
