@Test(enabled = false)
/** Analyzes the shape of the forward curve. */
public void marketQuoteSensitivityAnalysis() {
final InflationProviderDiscount multicurves7 =
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst();
multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst());
final CurveBuildingBlockBundle blocks7 =
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond();
blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
final double spreadJPYEUR = 0.0010; // 10bps
final double notional = 100000;
final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
final SwapFixedInflationZeroCouponDefinition swapDefinition =
GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
final InstrumentDerivative swap =
swapDefinition.toDerivative(
NOW,
new ZonedDateTimeDoubleTimeSeries[] {
TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY
});
final ParameterSensitivityInflationParameterCalculator<ParameterInflationProviderInterface>
PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDIC);
final MarketQuoteInflationSensitivityBlockCalculator<ParameterInflationProviderInterface> MQSC =
new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
@SuppressWarnings("unused")
final MultipleCurrencyParameterSensitivity mqs =
MQSC.fromInstrument(swap, multicurves7, blocks7);
}
/** Tests the present value computation. */
public void presentValueTips1() {
final InflationProviderDiscount marketUSGovt = new InflationProviderDiscount();
marketUSGovt.setCurve(
BOND_SECURITY_TIPS_1.getCurrency(),
MARKET.getCurve(BOND_SECURITY_TIPS_1.getIssuerEntity()));
marketUSGovt.setCurve(PRICE_INDEX_USCPI, MARKET.getCurve(PRICE_INDEX_USCPI));
final MultiCurrencyAmount pvNominal =
METHOD_INFLATION_ZC_INTERPOLATION.presentValue(
(CouponInflationZeroCouponInterpolationGearing)
BOND_SECURITY_TIPS_1.getNominal().getNthPayment(0),
marketUSGovt);
MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_TIPS_1.getCurrency(), 0.0);
for (int loopcpn = 0;
loopcpn < BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments();
loopcpn++) {
pvCoupon =
pvCoupon.plus(
BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUSGovt));
}
final MultiCurrencyAmount pvExpected = pvNominal.plus(pvCoupon);
final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_TIPS_1, MARKET);
assertEquals(
"Inflation Capital Indexed bond: present value",
pvExpected.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(),
pv.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(),
1.0E-2);
}
@Override
protected void buildMessage(
final FudgeSerializer serializer,
final MutableFudgeMsg message,
final InflationProviderDiscount object) {
serializer.addToMessageWithClassHeaders(
message, YIELD_CURVES_FIELD, null, object.getMulticurveProvider());
final Map<IndexPrice, PriceIndexCurve> priceIndexCurves = object.getPriceIndexCurves();
for (final Map.Entry<IndexPrice, PriceIndexCurve> entry : priceIndexCurves.entrySet()) {
serializer.addToMessageWithClassHeaders(message, PRICE_INDEX_FIELD, null, entry.getKey());
serializer.addToMessageWithClassHeaders(
message, PRICE_INDEX_CURVE_FIELD, null, entry.getValue());
}
}
public void curveConstructionTest(
final InstrumentDefinition<?>[][][] definitions,
final InflationProviderDiscount curves,
final boolean withToday,
final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments =
convert(definitions[loopblock], loopblock, withToday);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] =
curves
.getFxRates()
.convert(instruments[loopcurve][loopins].accept(PVIC, curves), EUR)
.getAmount();
assertEquals(
"Curve construction: block "
+ block
+ ", unit "
+ loopblock
+ " - instrument "
+ loopins,
0,
pv[loopcurve][loopins],
TOLERANCE_CAL);
}
}
}
}