@Test
public void presentValueCurveSensitivity() {
final InterestRateCurveSensitivity pvcsComputed =
METHOD_SECURITY.presentValueCurveSensitivity(BILL_IAM_SEC, CURVE_BUNDLE);
assertEquals(
"Bill Security: present value curve sensitivity",
1,
pvcsComputed.getSensitivities().size());
assertEquals(
"Bill Security: present value curve sensitivity",
1,
pvcsComputed.getSensitivities().get(NAME_CURVES[1]).size());
final double deltaTolerancePrice = 1.0E+2;
// Testing note: Sensitivity is for a movement of 1. 1E+2 = 0.01 unit for a 1 bp move.
final double deltaShift = 1.0E-6;
// Credit curve sensitivity
final String bumpedCurveName = "Bumped Curve";
final BillSecurity billBumped =
BILL_IAM_SEC_DEFINITION.toDerivative(REFERENCE_DATE, NAME_CURVES[0], bumpedCurveName);
final double[] nodeTimes = new double[] {billBumped.getEndTime()};
final double[] sensi =
SensitivityFiniteDifference.curveSensitivity(
billBumped,
CURVE_BUNDLE,
NAME_CURVES[1],
bumpedCurveName,
nodeTimes,
deltaShift,
METHOD_SECURITY);
final List<DoublesPair> sensiPv = pvcsComputed.getSensitivities().get(NAME_CURVES[1]);
for (int loopnode = 0; loopnode < sensi.length; loopnode++) {
final DoublesPair pairPv = sensiPv.get(loopnode);
assertEquals(
"Bill Security: curve sensitivity - Node " + loopnode,
nodeTimes[loopnode],
pairPv.getFirst(),
1E-8);
AssertJUnit.assertEquals(
"Bill Security: curve sensitivity", pairPv.second, sensi[loopnode], deltaTolerancePrice);
}
}
/**
* Test related to the description of a bill total return swap with an underlying bill and a funding
* leg.
*/
public class BillTotalReturnSwapTest {
private static final Currency EUR = Currency.EUR;
private static final ZonedDateTime EFFECTIVE_DATE = DateUtils.getUTCDate(2014, 6, 25);
private static final ZonedDateTime TERMINATION_DATE = DateUtils.getUTCDate(2014, 12, 22);
private static final ZonedDateTime REFERENCE_DATE_1 =
DateUtils.getUTCDate(2014, 6, 23); // Before effective date.
private static final double EFFECTIVE_TIME_1_1 =
TimeCalculator.getTimeBetween(REFERENCE_DATE_1, EFFECTIVE_DATE);
private static final double TERMINATION_TIME_1_1 =
TimeCalculator.getTimeBetween(REFERENCE_DATE_1, TERMINATION_DATE);
private static final BillSecurityDefinition BELDEC14_DEFINITION = BillDataSets.billBel_20141218();
private static final BillSecurity BELDEC14 =
BELDEC14_DEFINITION.toDerivative(REFERENCE_DATE_1, EFFECTIVE_DATE);
// Funding: unique fixed coupon in EUR: pay TRS bill, receive funding
private static final double NOTIONAL_TRS = 123456000;
private static final double NOTIONAL_BILL = 100000000;
// Funding: unique fixed coupon in GBP: receive TRS bond, pay funding
private static final double RATE = 0.0043;
private static final CouponFixedDefinition FUNDING_FIXED_CPN_REC_DEFINITION =
new CouponFixedDefinition(
EUR, TERMINATION_DATE, EFFECTIVE_DATE, TERMINATION_DATE, 0.50, NOTIONAL_TRS, RATE);
private static final AnnuityDefinition<? extends PaymentDefinition>
FUNDING_LEG_FIXED_REC_DEFINITION =
new AnnuityDefinition<>(
new CouponFixedDefinition[] {FUNDING_FIXED_CPN_REC_DEFINITION},
BELDEC14_DEFINITION.getCalendar());
private static final Annuity<? extends Payment> FUNDING_LEG_FIXED_REC_1 =
FUNDING_LEG_FIXED_REC_DEFINITION.toDerivative(REFERENCE_DATE_1);
private static final BillTotalReturnSwap TRS_PAY_FIXED_REC_1 =
new BillTotalReturnSwap(
EFFECTIVE_TIME_1_1,
TERMINATION_TIME_1_1,
FUNDING_LEG_FIXED_REC_1,
BELDEC14,
-NOTIONAL_BILL);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullFundingLeg() {
new BillTotalReturnSwap(
EFFECTIVE_TIME_1_1, TERMINATION_TIME_1_1, null, BELDEC14, -NOTIONAL_BILL);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullBond() {
new BillTotalReturnSwap(
EFFECTIVE_TIME_1_1, TERMINATION_TIME_1_1, FUNDING_LEG_FIXED_REC_1, null, -NOTIONAL_BILL);
}
@Test
public void getter() {
assertEquals(
"BondTotalReturnSwap: getter", EFFECTIVE_TIME_1_1, TRS_PAY_FIXED_REC_1.getEffectiveTime());
assertEquals(
"BondTotalReturnSwap: getter",
TERMINATION_TIME_1_1,
TRS_PAY_FIXED_REC_1.getTerminationTime());
assertEquals(
"BondTotalReturnSwap: getter",
FUNDING_LEG_FIXED_REC_1,
TRS_PAY_FIXED_REC_1.getFundingLeg());
assertEquals("BondTotalReturnSwap: getter", BELDEC14, TRS_PAY_FIXED_REC_1.getAsset());
assertEquals("BondTotalReturnSwap: getter", -NOTIONAL_BILL, TRS_PAY_FIXED_REC_1.getQuantity());
}
}
/**
* Tests related to the pricing of bills security by discounting.
*
* @deprecated This class tests deprecated functionality
*/
@Deprecated
public class BillSecurityDiscountingMethodTest {
private static final Currency EUR = Currency.EUR;
private static final Calendar CALENDAR = new MondayToFridayCalendar("TARGET");
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 17);
private static final DayCount ACT360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final int SETTLEMENT_DAYS = 2;
private static final YieldConvention YIELD_IAM =
YieldConventionFactory.INSTANCE.getYieldConvention("INTEREST@MTY");
private static final YieldConvention YIELD_DSC =
YieldConventionFactory.INSTANCE.getYieldConvention("DISCOUNT");
// ISIN: BE0312677462
private static final String ISSUER_BEL = "BELGIUM GOVT";
private static final String ISSUER_US = "US GOVT";
private static final ZonedDateTime END_DATE = DateUtils.getUTCDate(2012, 3, 15);
private static final double NOTIONAL = 1000;
private static final double YIELD = 0.00185; // External source
private static final double PRICE = 0.99971; // External source
private static final ZonedDateTime SETTLE_DATE =
ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, SETTLEMENT_DAYS, CALENDAR);
private static final String[] NAME_CURVES = TestsDataSetsSABR.nameCurvesBond3();
private static final BillSecurityDefinition BILL_IAM_SEC_DEFINITION =
new BillSecurityDefinition(
EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS, CALENDAR, YIELD_IAM, ACT360, ISSUER_BEL);
private static final BillSecurityDefinition BILL_DSC_SEC_DEFINITION =
new BillSecurityDefinition(
EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS, CALENDAR, YIELD_DSC, ACT360, ISSUER_US);
// Should not be in EUR, but this is only a test
private static final BillSecurity BILL_IAM_SEC =
BILL_IAM_SEC_DEFINITION.toDerivative(REFERENCE_DATE, SETTLE_DATE, NAME_CURVES);
private static final BillSecurity BILL_DSC_SEC =
BILL_DSC_SEC_DEFINITION.toDerivative(REFERENCE_DATE, SETTLE_DATE, NAME_CURVES);
private static final YieldCurveBundle CURVE_BUNDLE = TestsDataSetsSABR.createCurvesBond3();
private static final BillSecurityDiscountingMethod METHOD_SECURITY =
BillSecurityDiscountingMethod.getInstance();
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
private static final PresentValueCurveSensitivityCalculator PVCSC =
PresentValueCurveSensitivityCalculator.getInstance();
private static final YieldFromCurvesCalculator YFCC = YieldFromCurvesCalculator.getInstance();
private static final YieldFromPriceCalculator YFPC = YieldFromPriceCalculator.getInstance();
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PRICE = 1.0E-8;
private static final double TOLERANCE_PRICE_EXTERNAL = 1.0E-5;
private static final double TOLERANCE_YIELD = 1.0E-8;
private static final double TOLERANCE_YIELD_EXTERNAL = 1.0E-4;
private static final double TOLERANCE_YIELD_DERIVATIVE = 1.0E-6;
@Test
/** Tests the present value against explicit computation. */
public void presentValue() {
final CurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
final double pvExpected =
NOTIONAL
* CURVE_BUNDLE.getCurve(NAME_CURVES[1]).getDiscountFactor(BILL_IAM_SEC.getEndTime());
assertEquals(
"Bill Security: discounting method - present value",
pvExpected,
pvComputed.getAmount(),
TOLERANCE_PV);
}
@Test
/** Tests the present value: Method vs Calculator */
public void presentValueMethodVsCalculator() {
final CurrencyAmount pvMethod = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
final double pvCalculator = BILL_IAM_SEC.accept(PVC, CURVE_BUNDLE);
assertEquals(
"Bill Security: discounting method - present value",
pvMethod.getAmount(),
pvCalculator,
TOLERANCE_PV);
}
@Test
public void priceFromYield() {
final double[] yields = new double[] {0.0010, 0.0, -0.0010};
for (final double yield2 : yields) {
final double priceComputed = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, yield2);
final double priceExpected = 1.0 / (1 + BILL_IAM_SEC.getAccrualFactor() * yield2);
assertEquals(
"Bill Security: discounting method - price",
priceExpected,
priceComputed,
TOLERANCE_PRICE);
}
}
@Test
public void priceFromYieldExternal() {
final double priceComputed = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, YIELD);
assertEquals(
"Bill Security: discounting method - price",
PRICE,
priceComputed,
TOLERANCE_PRICE_EXTERNAL);
}
@Test
public void yieldFromPrice() {
final double yieldComputedIAM = METHOD_SECURITY.yieldFromPrice(BILL_IAM_SEC, PRICE);
final double yieldExpectedIAM = (1.0 / PRICE - 1.0) / BILL_IAM_SEC.getAccrualFactor();
assertEquals(
"Bill Security: discounting method - yield",
yieldExpectedIAM,
yieldComputedIAM,
TOLERANCE_YIELD);
final double yieldComputedDSC = METHOD_SECURITY.yieldFromPrice(BILL_DSC_SEC, PRICE);
final double yieldExpectedDSC = (1.0 - PRICE) / BILL_DSC_SEC.getAccrualFactor();
assertEquals(
"Bill Security: discounting method - yield",
yieldExpectedDSC,
yieldComputedDSC,
TOLERANCE_YIELD);
}
@Test
public void yieldFromPriceDerivative() {
final double shift = 1.0E-8;
final double yieldIAM = METHOD_SECURITY.yieldFromPrice(BILL_IAM_SEC, PRICE);
final double yieldPIAM = METHOD_SECURITY.yieldFromPrice(BILL_IAM_SEC, PRICE + shift);
final double yieldDerivativeExpectedIAM = (yieldPIAM - yieldIAM) / shift;
final double yieldDerivativeComputedIAM =
METHOD_SECURITY.yieldFromPriceDerivative(BILL_IAM_SEC, PRICE);
assertEquals(
"Bill Security: discounting method - yield",
yieldDerivativeExpectedIAM,
yieldDerivativeComputedIAM,
TOLERANCE_YIELD_DERIVATIVE);
final double yieldDSC = METHOD_SECURITY.yieldFromPrice(BILL_DSC_SEC, PRICE);
final double yieldPDSC = METHOD_SECURITY.yieldFromPrice(BILL_DSC_SEC, PRICE + shift);
final double yieldDerivativeExpectedDSC = (yieldPDSC - yieldDSC) / shift;
final double yieldDerivativeComputedDSC =
METHOD_SECURITY.yieldFromPriceDerivative(BILL_DSC_SEC, PRICE);
assertEquals(
"Bill Security: discounting method - yield",
yieldDerivativeExpectedDSC,
yieldDerivativeComputedDSC,
TOLERANCE_YIELD_DERIVATIVE);
}
@Test
public void yieldFromPriceExternal() {
final double yieldComputed = METHOD_SECURITY.yieldFromPrice(BILL_IAM_SEC, PRICE);
assertEquals(
"Bill Security: discounting method - yield",
YIELD,
yieldComputed,
TOLERANCE_YIELD_EXTERNAL);
}
@Test
public void yieldFromPriceCoherence() {
final double priceComputed = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, YIELD);
final double yieldComputed = METHOD_SECURITY.yieldFromPrice(BILL_IAM_SEC, priceComputed);
assertEquals(
"Bill Security: discounting method - yield", YIELD, yieldComputed, TOLERANCE_YIELD);
}
@Test
public void priceFromYieldCoherence() {
final double yieldComputed = METHOD_SECURITY.yieldFromPrice(BILL_IAM_SEC, PRICE);
final double priceComputed = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, yieldComputed);
assertEquals(
"Bill Security: discounting method - price", PRICE, priceComputed, TOLERANCE_PRICE);
}
@Test
public void presentValueFromPrice() {
final CurrencyAmount pvComputed =
METHOD_SECURITY.presentValueFromPrice(BILL_IAM_SEC, PRICE, CURVE_BUNDLE);
final double pvExpected =
NOTIONAL
* PRICE
* CURVE_BUNDLE
.getCurve(NAME_CURVES[0])
.getDiscountFactor(BILL_IAM_SEC.getSettlementTime());
assertEquals(
"Bill Security: discounting method - present value",
pvExpected,
pvComputed.getAmount(),
TOLERANCE_PV);
}
@Test
public void presentValueFromYield() {
final CurrencyAmount pvComputed =
METHOD_SECURITY.presentValueFromYield(BILL_IAM_SEC, YIELD, CURVE_BUNDLE);
final double price = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, YIELD);
final double pvExpected =
NOTIONAL
* price
* CURVE_BUNDLE
.getCurve(NAME_CURVES[0])
.getDiscountFactor(BILL_IAM_SEC.getSettlementTime());
assertEquals(
"Bill Security: discounting method - present value",
pvExpected,
pvComputed.getAmount(),
TOLERANCE_PV);
}
@Test
public void priceFromCurves() {
final double priceComputed = METHOD_SECURITY.priceFromCurves(BILL_IAM_SEC, CURVE_BUNDLE);
final CurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
final double priceExpected =
pvComputed.getAmount()
/ (NOTIONAL
* CURVE_BUNDLE
.getCurve(NAME_CURVES[0])
.getDiscountFactor(BILL_IAM_SEC.getSettlementTime()));
assertEquals(
"Bill Security: discounting method - price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
@Test
public void yieldFromCurves() {
final double yieldComputed = METHOD_SECURITY.yieldFromCurves(BILL_IAM_SEC, CURVE_BUNDLE);
final double priceComputed = METHOD_SECURITY.priceFromCurves(BILL_IAM_SEC, CURVE_BUNDLE);
final double yieldExpected = METHOD_SECURITY.yieldFromPrice(BILL_IAM_SEC, priceComputed);
assertEquals(
"Bill Security: discounting method - yield", yieldExpected, yieldComputed, TOLERANCE_YIELD);
}
@Test
public void presentValueCurveSensitivity() {
final InterestRateCurveSensitivity pvcsComputed =
METHOD_SECURITY.presentValueCurveSensitivity(BILL_IAM_SEC, CURVE_BUNDLE);
assertEquals(
"Bill Security: present value curve sensitivity",
1,
pvcsComputed.getSensitivities().size());
assertEquals(
"Bill Security: present value curve sensitivity",
1,
pvcsComputed.getSensitivities().get(NAME_CURVES[1]).size());
final double deltaTolerancePrice = 1.0E+2;
// Testing note: Sensitivity is for a movement of 1. 1E+2 = 0.01 unit for a 1 bp move.
final double deltaShift = 1.0E-6;
// Credit curve sensitivity
final String bumpedCurveName = "Bumped Curve";
final BillSecurity billBumped =
BILL_IAM_SEC_DEFINITION.toDerivative(REFERENCE_DATE, NAME_CURVES[0], bumpedCurveName);
final double[] nodeTimes = new double[] {billBumped.getEndTime()};
final double[] sensi =
SensitivityFiniteDifference.curveSensitivity(
billBumped,
CURVE_BUNDLE,
NAME_CURVES[1],
bumpedCurveName,
nodeTimes,
deltaShift,
METHOD_SECURITY);
final List<DoublesPair> sensiPv = pvcsComputed.getSensitivities().get(NAME_CURVES[1]);
for (int loopnode = 0; loopnode < sensi.length; loopnode++) {
final DoublesPair pairPv = sensiPv.get(loopnode);
assertEquals(
"Bill Security: curve sensitivity - Node " + loopnode,
nodeTimes[loopnode],
pairPv.getFirst(),
1E-8);
AssertJUnit.assertEquals(
"Bill Security: curve sensitivity", pairPv.second, sensi[loopnode], deltaTolerancePrice);
}
}
@Test
public void presentValueCurveSensitivityMethodVsCalculator() {
final InterestRateCurveSensitivity pvcsMethod =
METHOD_SECURITY.presentValueCurveSensitivity(BILL_IAM_SEC, CURVE_BUNDLE);
final InterestRateCurveSensitivity pvcsCalculator =
new InterestRateCurveSensitivity(BILL_IAM_SEC.accept(PVCSC, CURVE_BUNDLE));
AssertSensivityObjects.assertEquals(
"Bill Security: discounting method - curve sensitivity",
pvcsMethod,
pvcsCalculator,
TOLERANCE_PV);
}
@Test
public void methodVsCalculator() {
double yield1 = METHOD_SECURITY.yieldFromCurves(BILL_IAM_SEC, CURVE_BUNDLE);
double yield2 = BILL_IAM_SEC.accept(YFCC, CURVE_BUNDLE);
assertEquals(
"Bill Security: discounting method - yield from curves", yield1, yield2, TOLERANCE_YIELD);
yield1 = METHOD_SECURITY.yieldFromPrice(BILL_IAM_SEC, PRICE);
yield2 = BILL_IAM_SEC.accept(YFPC, PRICE);
assertEquals(
"Bill Security: discounting method - yield from price", yield1, yield2, TOLERANCE_YIELD);
}
}
/** Tests related to the construction of bills transaction. */
public class BillTransactionTest {
private static final Currency EUR = Currency.EUR;
private static final Calendar CALENDAR = new MondayToFridayCalendar("TARGET");
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 16);
private static final DayCount ACT360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final int SETTLEMENT_DAYS = 2;
private static final YieldConvention YIELD_CONVENTION =
YieldConventionFactory.INSTANCE.getYieldConvention("INTEREST@MTY");
private static final String ISSUER_BEL = "BELGIUM GOVT";
private static final ZonedDateTime END_DATE = DateUtils.getUTCDate(2012, 2, 29);
private static final double NOTIONAL = 1000;
private static final BillSecurityDefinition BILL_SEC_DEFINITION =
new BillSecurityDefinition(
EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS, CALENDAR, YIELD_CONVENTION, ACT360, ISSUER_BEL);
private static final double QUANTITY = 123456;
private static final ZonedDateTime SETTLE_DATE =
ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, 3, CALENDAR);
private static final double SETTLE_AMOUT = -NOTIONAL * QUANTITY * 99.95;
private static final String DSC_NAME = "EUR Discounting";
private static final String CREDIT_NAME = "EUR BELGIUM GOVT";
private static final BillSecurity BILL_PURCHASE =
BILL_SEC_DEFINITION.toDerivative(REFERENCE_DATE, SETTLE_DATE, DSC_NAME, CREDIT_NAME);
private static final BillSecurity BILL_STANDARD =
BILL_SEC_DEFINITION.toDerivative(REFERENCE_DATE, DSC_NAME, CREDIT_NAME);
private static final BillTransaction BILL_TRA =
new BillTransaction(BILL_PURCHASE, QUANTITY, SETTLE_AMOUT, BILL_STANDARD);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullPurchase() {
new BillTransaction(null, QUANTITY, SETTLE_AMOUT, BILL_STANDARD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullStandard() {
new BillTransaction(BILL_PURCHASE, QUANTITY, SETTLE_AMOUT, null);
}
@Test
/** Tests the bill getters. */
public void getters() {
assertEquals("Bill transation: getter", BILL_PURCHASE, BILL_TRA.getBillPurchased());
assertEquals("Bill transation: getter", QUANTITY, BILL_TRA.getQuantity());
assertEquals("Bill transation: getter", SETTLE_AMOUT, BILL_TRA.getSettlementAmount());
assertEquals("Bill transation: getter", BILL_STANDARD, BILL_TRA.getBillStandard());
}
@Test
/** Tests the equal and hash-code methods. */
public void equalHash() {
assertEquals("Bill transaction: equal-hash code", BILL_TRA, BILL_TRA);
BillTransaction other =
new BillTransaction(BILL_PURCHASE, QUANTITY, SETTLE_AMOUT, BILL_STANDARD);
assertEquals("Bill transaction: equal-hash code", BILL_TRA, other);
assertEquals("Bill transaction: equal-hash code", BILL_TRA.hashCode(), other.hashCode());
BillTransaction modified;
modified = new BillTransaction(BILL_STANDARD, QUANTITY, SETTLE_AMOUT, BILL_STANDARD);
assertFalse("Bill transaction: equal-hash code", BILL_TRA.equals(modified));
modified = new BillTransaction(BILL_PURCHASE, QUANTITY + 1.0, SETTLE_AMOUT, BILL_STANDARD);
assertFalse("Bill transaction: equal-hash code", BILL_TRA.equals(modified));
modified = new BillTransaction(BILL_PURCHASE, QUANTITY, SETTLE_AMOUT + 1.0, BILL_STANDARD);
assertFalse("Bill transaction: equal-hash code", BILL_TRA.equals(modified));
modified = new BillTransaction(BILL_PURCHASE, QUANTITY, SETTLE_AMOUT, BILL_PURCHASE);
assertFalse("Bill transaction: equal-hash code", BILL_TRA.equals(modified));
}
}