@Test(enabled = false)
/** Tests the clean, dirty and yield vs external hard-coded values. */
public void priceYieldExternalValues1() {
final double m1 = 1000000; // Notional of the external figures.
final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 16); // Spot 18-Aug-2011
final InflationIssuerProviderDiscount market =
MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
final double cleanRealPrice = 1.00;
final BondCapitalIndexedSecurity<Coupon> bond_110817 =
BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
final double referenceIndexExpected = 225.83129;
final MultiCurrencyAmount netAmountSettle =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
final double referenceIndexComputed =
netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount()
* BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue()
/ bond_110817.getSettlement().getNotional();
assertEquals(
"Inflation Capital Indexed bond: index",
referenceIndexExpected,
referenceIndexComputed,
1.0E-5);
final double indexRatioExpected = 1.13782;
final MultiCurrencyAmount indexRatioCalculated =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
assertEquals(
"Inflation Capital Indexed bond: indexRatio",
indexRatioExpected,
indexRatioCalculated.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount()
/ NOTIONAL_TIPS_1,
1.0E-5);
final double yieldExpected = 1.999644 / 100.0;
final double dirtyRealPriceComputed =
METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
final double yieldComputed =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
final double accruedExpected = 2102.49;
final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
final double accruedReal = bond_110817.getAccruedInterest();
assertEquals(
"Inflation Capital Indexed bond: accrued",
accruedRealExpected,
accruedReal / NOTIONAL_TIPS_1,
1.0E-8);
final double netAmountExpected = 1139922.49; // For 1m; uses the rounding rules.
final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
assertEquals(
"Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
final MultiCurrencyAmount netAmount =
METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
assertEquals(
"Inflation Capital Indexed bond: net amount",
netAmountExpected,
netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1,
2.0E+0); // The difference is due to rounding.
}
/**
* Tests for the methods related to interest rate securities pricing with Hull-White model convexity
* adjustment.
*/
@Test(groups = TestGroup.UNIT)
public class InterestRateFutureSecurityHullWhiteMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex[] INDEX_LIST =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd();
private static final IborIndex EURIBOR3M = INDEX_LIST[0];
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
// Future
private static final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtils.getUTCDate(2012, 9, 19);
private static final ZonedDateTime LAST_TRADING_DATE =
ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, -EURIBOR3M.getSpotLag(), CALENDAR);
private static final double NOTIONAL = 1000000.0; // 1m
private static final double FUTURE_FACTOR = 0.25;
private static final String NAME = "ERU2";
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 5, 12);
private static final InterestRateFutureSecurityDefinition ERU2_DEFINITION =
new InterestRateFutureSecurityDefinition(
LAST_TRADING_DATE, EURIBOR3M, NOTIONAL, FUTURE_FACTOR, NAME, CALENDAR);
private static final InterestRateFutureSecurity ERU2 =
ERU2_DEFINITION.toDerivative(REFERENCE_DATE);
private static final double MEAN_REVERSION = 0.01;
private static final double[] VOLATILITY = new double[] {0.01, 0.011, 0.012, 0.013, 0.014};
private static final double[] VOLATILITY_TIME = new double[] {0.5, 1.0, 2.0, 5.0};
private static final HullWhiteOneFactorPiecewiseConstantParameters MODEL_PARAMETERS =
new HullWhiteOneFactorPiecewiseConstantParameters(
MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
private static final HullWhiteOneFactorProviderDiscount HW_MULTICURVES =
new HullWhiteOneFactorProviderDiscount(MULTICURVES, MODEL_PARAMETERS, EUR);
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL =
new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
private static final InterestRateFutureSecurityHullWhiteMethod METHOD_IRFUT_HW =
InterestRateFutureSecurityHullWhiteMethod.getInstance();
private static final MarketQuoteHullWhiteCalculator MQHWC =
MarketQuoteHullWhiteCalculator.getInstance();
private static final MarketQuoteCurveSensitivityHullWhiteCalculator MQCSHWC =
MarketQuoteCurveSensitivityHullWhiteCalculator.getInstance();
private static final ConvexityAdjustmentHullWhiteCalculator CAHWC =
ConvexityAdjustmentHullWhiteCalculator.getInstance();
private static final ParRateHullWhiteCalculator PRHWC = ParRateHullWhiteCalculator.getInstance();
private static final double SHIFT_FD = 1.0E-6;
private static final SimpleParameterSensitivityParameterCalculator<
HullWhiteOneFactorProviderInterface>
SPSHWC = new SimpleParameterSensitivityParameterCalculator<>(MQCSHWC);
private static final SimpleParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator
SPSHWC_FD =
new SimpleParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(MQHWC, SHIFT_FD);
private static final double TOLERANCE_PRICE = 1.0E-10;
private static final double TOLERANCE_PRICE_DELTA = 1.0E-8;
@Test
/** Test the price computed from the curves and HW parameters. */
public void price() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double forward =
MULTICURVES.getSimplyCompoundForwardRate(
EURIBOR3M,
ERU2.getFixingPeriodStartTime(),
ERU2.getFixingPeriodEndTime(),
ERU2.getFixingPeriodAccrualFactor());
final double factor =
MODEL.futuresConvexityFactor(
MODEL_PARAMETERS,
ERU2.getTradingLastTime(),
ERU2.getFixingPeriodStartTime(),
ERU2.getFixingPeriodEndTime());
final double expectedPrice =
1.0 - factor * forward + (1 - factor) / ERU2.getFixingPeriodAccrualFactor();
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: price",
expectedPrice,
price,
TOLERANCE_PRICE);
}
@Test
/** Test the par rate computed from the curves and HW parameters. Par rate = 1-price. */
public void parRate() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double parRateExpected = 1.0d - price;
final double parRateComputed = METHOD_IRFUT_HW.parRate(ERU2, HW_MULTICURVES);
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: parRate",
parRateExpected,
parRateComputed,
TOLERANCE_PRICE);
}
@Test
/** Test the par rate computed from the method and the calculator. */
public void parRateMethodVsCalculator() {
final double parRateMethod = METHOD_IRFUT_HW.parRate(ERU2, HW_MULTICURVES);
final double parRateCalculator = ERU2.accept(PRHWC, HW_MULTICURVES);
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: parRate",
parRateMethod,
parRateCalculator,
TOLERANCE_PRICE);
}
@Test
/** Test the price as "MarketQuote" */
public void marketQuote() {
final double priceMethod = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double marketQuote = ERU2.accept(MQHWC, HW_MULTICURVES);
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: price",
priceMethod,
marketQuote,
TOLERANCE_PRICE);
}
@Test
/** Test the convexity adjustment */
public void convexityAdjustment() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double forward =
MULTICURVES.getSimplyCompoundForwardRate(
EURIBOR3M,
ERU2.getFixingPeriodStartTime(),
ERU2.getFixingPeriodEndTime(),
ERU2.getFixingPeriodAccrualFactor());
final double convexityAdjustment = METHOD_IRFUT_HW.convexityAdjustment(ERU2, HW_MULTICURVES);
assertEquals(
"InterestRateFutureSecurityHullWhiteProviderMethod: convexity adjustment",
price - (1.0d - forward),
convexityAdjustment,
TOLERANCE_PRICE);
final double caCalculator = ERU2.accept(CAHWC, HW_MULTICURVES);
assertEquals(
"DeliverableSwapFuturesSecurityDefinition: convexity adjustment",
caCalculator,
convexityAdjustment,
TOLERANCE_PRICE);
}
@Test
/** Test the price curve sensitivity versus a finite difference computation. */
public void priceCurveSensitivity() {
final SimpleParameterSensitivity pcsExact =
SPSHWC.calculateSensitivity(ERU2, HW_MULTICURVES, MULTICURVES.getAllNames());
final SimpleParameterSensitivity pcsFD = SPSHWC_FD.calculateSensitivity(ERU2, HW_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"DeliverableSwapFuturesSecurityHullWhiteMethod: priceCurveSensitivity",
pcsExact,
pcsFD,
TOLERANCE_PRICE_DELTA);
}
}
/** Tests related to the pricing of physical delivery swaption in Hull-White one factor model. */
public class SwaptionPhysicalFixedIborHullWhiteMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR6M =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1];
private static final Currency EUR = EURIBOR6M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final HullWhiteOneFactorPiecewiseConstantParameters HW_PARAMETERS =
HullWhiteDataSets.createHullWhiteParameters();
private static final HullWhiteOneFactorProviderDiscount HW_MULTICURVES =
new HullWhiteOneFactorProviderDiscount(MULTICURVES, HW_PARAMETERS, EUR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 7, 7);
// Swaption 5Yx5Y
private static final int SPOT_LAG = EURIBOR6M.getSpotLag();
private static final int SWAP_TENOR_YEAR = 5;
private static final Period SWAP_TENOR = Period.ofYears(SWAP_TENOR_YEAR);
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
GeneratorSwapFixedIborMaster.getInstance().getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final ZonedDateTime EXPIRY_DATE = DateUtils.getUTCDate(2016, 7, 7);
private static final boolean IS_LONG = true;
private static final ZonedDateTime SETTLEMENT_DATE =
ScheduleCalculator.getAdjustedDate(EXPIRY_DATE, SPOT_LAG, CALENDAR);
private static final double NOTIONAL = 100000000; // 100m
private static final double RATE = 0.0175;
private static final boolean FIXED_IS_PAYER = true;
private static final SwapFixedIborDefinition SWAP_PAYER_DEFINITION =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, RATE, FIXED_IS_PAYER);
private static final SwapFixedIborDefinition SWAP_RECEIVER_DEFINITION =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, RATE, !FIXED_IS_PAYER);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_LONG_PAYER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_PAYER_DEFINITION, IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_LONG_RECEIVER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_RECEIVER_DEFINITION, IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_SHORT_PAYER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_PAYER_DEFINITION, !IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_SHORT_RECEIVER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_RECEIVER_DEFINITION, !IS_LONG);
private static final SwapFixedCoupon<Coupon> SWAP_RECEIVER =
SWAP_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_PAYER =
SWAPTION_LONG_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_RECEIVER =
SWAPTION_LONG_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_SHORT_PAYER =
SWAPTION_SHORT_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_SHORT_RECEIVER =
SWAPTION_SHORT_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
// Calculator
private static final SwaptionPhysicalFixedIborHullWhiteMethod METHOD_HW =
SwaptionPhysicalFixedIborHullWhiteMethod.getInstance();
private static final SwapFixedCouponDiscountingMethod METHOD_SWAP =
SwapFixedCouponDiscountingMethod.getInstance();
private static final CashFlowEquivalentCalculator CFEC =
CashFlowEquivalentCalculator.getInstance();
private static final ParRateDiscountingCalculator PRDC =
ParRateDiscountingCalculator.getInstance();
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final PresentValueHullWhiteCalculator PVHWC =
PresentValueHullWhiteCalculator.getInstance();
private static final PresentValueCurveSensitivityHullWhiteCalculator PVCSHWC =
PresentValueCurveSensitivityHullWhiteCalculator.getInstance();
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<HullWhiteOneFactorProviderInterface>
PS_HW_C = new ParameterSensitivityParameterCalculator<>(PVCSHWC);
private static final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator PS_HW_FDC =
new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, SHIFT);
private static final SwaptionPhysicalFixedIborHullWhiteNumericalIntegrationMethod
METHOD_HW_INTEGRATION =
SwaptionPhysicalFixedIborHullWhiteNumericalIntegrationMethod.getInstance();
private static final SwaptionPhysicalFixedIborHullWhiteApproximationMethod
METHOD_HW_APPROXIMATION = SwaptionPhysicalFixedIborHullWhiteApproximationMethod.getInstance();
private static final int NB_PATH = 12500;
private static final HullWhiteMonteCarloMethod METHOD_HW_MONTECARLO =
new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0), NB_PATH);
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL =
new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
private static final ProbabilityDistribution<Double> NORMAL = new NormalDistribution(0, 1);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA =
1.0E+0; // Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
@Test
/** Test the present value. */
public void presentValueExplicit() {
final MultipleCurrencyAmount pv = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final double timeToExpiry = SWAPTION_LONG_PAYER.getTimeToExpiry();
final AnnuityPaymentFixed cfe =
CFEC.visitSwap(SWAPTION_LONG_PAYER.getUnderlyingSwap(), MULTICURVES);
final int numberOfPayments = cfe.getNumberOfPayments();
final double alpha[] = new double[numberOfPayments];
final double disccf[] = new double[numberOfPayments];
for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
alpha[loopcf] =
MODEL.alpha(
HW_PARAMETERS,
0.0,
timeToExpiry,
timeToExpiry,
cfe.getNthPayment(loopcf).getPaymentTime());
disccf[loopcf] =
MULTICURVES.getDiscountFactor(EUR, cfe.getNthPayment(loopcf).getPaymentTime())
* cfe.getNthPayment(loopcf).getAmount();
}
final double kappa = MODEL.kappa(disccf, alpha);
double pvExpected = 0.0;
for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
pvExpected += disccf[loopcf] * NORMAL.getCDF(-kappa - alpha[loopcf]);
}
assertEquals(
"Swaption physical - Hull-White - present value", pvExpected, pv.getAmount(EUR), 1E-2);
final MultipleCurrencyAmount pv2 =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, cfe, HW_MULTICURVES);
assertEquals("Swaption physical - Hull-White - present value", pv, pv2);
}
@Test
/** Tests long/short parity. */
public void longShortParityExplicit() {
final MultipleCurrencyAmount pvLong =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvShort =
METHOD_HW.presentValue(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - long/short parity",
pvLong.getAmount(EUR),
-pvShort.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Tests payer/receiver/swap parity. */
public void payerReceiverParityExplicit() {
final MultipleCurrencyAmount pvReceiverLong =
METHOD_HW.presentValue(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerShort =
METHOD_HW.presentValue(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - payer/receiver/swap parity",
pvReceiverLong.getAmount(EUR) + pvPayerShort.getAmount(EUR),
pvSwap.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Tests the method against the present value calculator. */
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvCalculator = SWAPTION_LONG_PAYER.accept(PVHWC, HW_MULTICURVES);
assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: present value : method and calculator",
pvMethod,
pvCalculator);
}
@Test
/** Compare explicit formula with numerical integration. */
public void presentValueNumericalIntegration() {
final MultipleCurrencyAmount pvPayerLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvPayerLongExplicit.getAmount(EUR),
pvPayerLongIntegration.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvPayerShortExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerShortIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvPayerShortExplicit.getAmount(EUR),
pvPayerShortIntegration.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvReceiverLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvReceiverLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvReceiverLongExplicit.getAmount(EUR),
pvReceiverLongIntegration.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvReceiverShortExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvReceiverShortIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvReceiverShortExplicit.getAmount(EUR),
pvReceiverShortIntegration.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Compare explicit formula with approximated formula. */
public void presentValueApproximation() {
final BlackImpliedVolatilityFormula implied = new BlackImpliedVolatilityFormula();
final double forward =
SWAPTION_LONG_PAYER
.getUnderlyingSwap()
.accept(ParRateDiscountingCalculator.getInstance(), MULTICURVES);
final double pvbp =
METHOD_SWAP.presentValueBasisPoint(SWAPTION_LONG_PAYER.getUnderlyingSwap(), MULTICURVES);
final MultipleCurrencyAmount pvPayerLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerLongApproximation =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final BlackFunctionData data = new BlackFunctionData(forward, pvbp, 0.20);
final double volExplicit =
implied.getImpliedVolatility(data, SWAPTION_LONG_PAYER, pvPayerLongExplicit.getAmount(EUR));
final double volApprox =
implied.getImpliedVolatility(
data, SWAPTION_LONG_PAYER, pvPayerLongApproximation.getAmount(EUR));
assertEquals(
"Swaption physical - Hull-White - present value - explicit/approximation",
pvPayerLongExplicit.getAmount(EUR),
pvPayerLongApproximation.getAmount(EUR),
5.0E+2);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/approximation",
volExplicit,
volApprox,
2.5E-4); // 0.025%
final MultipleCurrencyAmount pvReceiverLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvReceiverLongApproximation =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvReceiverLongExplicit.getAmount(EUR),
pvReceiverLongApproximation.getAmount(EUR),
5.0E+2);
}
@Test
/** Approximation analysis. */
public void presentValueApproximationAnalysis() {
final NormalImpliedVolatilityFormula implied = new NormalImpliedVolatilityFormula();
final int nbStrike = 20;
final double[] pvExplicit = new double[nbStrike + 1];
final double[] pvApproximation = new double[nbStrike + 1];
final double[] strike = new double[nbStrike + 1];
final double[] volExplicit = new double[nbStrike + 1];
final double[] volApprox = new double[nbStrike + 1];
final double strikeRange = 0.010;
final SwapFixedCoupon<Coupon> swap = SWAP_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
final double forward = swap.accept(PRDC, MULTICURVES);
final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, MULTICURVES);
for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
strike[loopstrike] =
forward
- strikeRange
+ 3
* strikeRange
* loopstrike
/ nbStrike; // From forward-strikeRange to forward+2*strikeRange
final SwapFixedIborDefinition swapDefinition =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE,
SWAP_TENOR,
EUR1YEURIBOR6M,
NOTIONAL,
strike[loopstrike],
FIXED_IS_PAYER);
final SwaptionPhysicalFixedIborDefinition swaptionDefinition =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition, IS_LONG);
final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE);
pvExplicit[loopstrike] = METHOD_HW.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
pvApproximation[loopstrike] =
METHOD_HW_APPROXIMATION.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
final NormalFunctionData data = new NormalFunctionData(forward, pvbp, 0.01);
volExplicit[loopstrike] =
implied.getImpliedVolatility(data, swaption, pvExplicit[loopstrike]);
volApprox[loopstrike] =
implied.getImpliedVolatility(data, swaption, pvApproximation[loopstrike]);
assertEquals(
"Swaption physical - Hull-White - implied volatility - explicit/approximation",
volExplicit[loopstrike],
volApprox[loopstrike],
1.0E-3); // 0.10%
}
}
@Test(enabled = true)
/** Compare explicit formula with Monte-Carlo and long/short and payer/receiver parities. */
public void presentValueMonteCarlo() {
HullWhiteMonteCarloMethod methodMC;
methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
// Seed fixed to the DEFAULT_SEED for testing purposes.
final MultipleCurrencyAmount pvPayerLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerLongMC =
methodMC.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - Monte Carlo",
pvPayerLongExplicit.getAmount(EUR),
pvPayerLongMC.getAmount(EUR),
1.0E+4);
final double pvMCPreviousRun = 4221400.891;
assertEquals(
"Swaption physical - Hull-White - Monte Carlo",
pvMCPreviousRun,
pvPayerLongMC.getAmount(EUR),
TOLERANCE_PV);
methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
final MultipleCurrencyAmount pvPayerShortMC =
methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - Monte Carlo",
-pvPayerLongMC.getAmount(EUR),
pvPayerShortMC.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvReceiverLongMC =
methodMC.presentValue(SWAPTION_LONG_RECEIVER, EUR, HW_MULTICURVES);
final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - Monte Carlo - payer/receiver/swap parity",
pvReceiverLongMC.getAmount(EUR) + pvPayerShortMC.getAmount(EUR),
pvSwap.getAmount(EUR),
1.0E+5);
}
@Test
/** Tests the Hull-White parameters sensitivity for the explicit formula. */
public void presentValueHullWhiteSensitivityExplicit() {
final double[] hwSensitivity =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final int nbVolatility = HW_PARAMETERS.getVolatility().length;
final double shiftVol = 1.0E-6;
final double[] volatilityBumped = new double[nbVolatility];
System.arraycopy(HW_PARAMETERS.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
final double[] volatilityTime = new double[nbVolatility - 1];
System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
final double[] pvBumpedPlus = new double[nbVolatility];
final double[] pvBumpedMinus = new double[nbVolatility];
final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped =
new HullWhiteOneFactorPiecewiseConstantParameters(
HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
final HullWhiteOneFactorProviderDiscount bundleBumped =
new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
volatilityBumped[loopvol] += shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedPlus[loopvol] =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
volatilityBumped[loopvol] -= 2 * shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedMinus[loopvol] =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
assertEquals(
"Swaption - Hull-White sensitivity adjoint: derivative "
+ loopvol
+ " - difference:"
+ ((pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol)
- hwSensitivity[loopvol]),
(pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol),
hwSensitivity[loopvol],
TOLERANCE_PV_DELTA);
volatilityBumped[loopvol] = HW_PARAMETERS.getVolatility()[loopvol];
}
}
@Test
/** Tests long/short parity. */
public void presentValueHullWhiteSensitivitylongShortParityExplicit() {
final double[] pvhwsLong =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final double[] pvhwsShort =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
for (int loophw = 0; loophw < pvhwsLong.length; loophw++) {
assertEquals(
"Swaption physical - Hull-White - presentValueHullWhiteSensitivity - long/short parity",
pvhwsLong[loophw],
-pvhwsShort[loophw],
TOLERANCE_PV_DELTA);
}
}
@Test
/** Tests payer/receiver/swap parity. */
public void presentValueHullWhiteSensitivitypayerReceiverParityExplicit() {
final double[] pvhwsReceiverLong =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
final double[] pvhwsPayerShort =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
for (int loophw = 0; loophw < pvhwsReceiverLong.length; loophw++) {
assertEquals(
"Swaption physical - Hull-White - present value - payer/receiver/swap parity",
0,
pvhwsReceiverLong[loophw] + pvhwsPayerShort[loophw],
TOLERANCE_PV_DELTA);
}
}
@Test
/** Tests present value curve sensitivity when the valuation date is on trade date. */
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsExact =
PS_HW_C.calculateSensitivity(
SWAPTION_SHORT_RECEIVER,
HW_MULTICURVES,
HW_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsFD =
PS_HW_FDC.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES);
AssertSensivityObjects.assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ",
pvpsExact,
pvpsFD,
TOLERANCE_PV_DELTA);
}
@Test(enabled = false)
/** Tests present value curve sensitivity when the valuation date is on trade date. */
public void presentValueCurveSensitivityStability() {
// 5Yx5Y
final MultipleCurrencyParameterSensitivity pvpsExact =
PS_HW_C.calculateSensitivity(
SWAPTION_SHORT_RECEIVER,
HW_MULTICURVES,
HW_MULTICURVES.getMulticurveProvider().getAllNames());
final double derivativeExact = pvpsExact.totalSensitivity(MULTICURVES.getFxRates(), EUR);
final double startingShift = 1.0E-4;
final double ratio = Math.sqrt(2.0);
final int nbShift = 55;
final double[] eps = new double[nbShift + 1];
final double[] derivative_FD = new double[nbShift];
final double[] diff = new double[nbShift];
eps[0] = startingShift;
for (int loopshift = 0; loopshift < nbShift; loopshift++) {
final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift =
new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]);
final MultipleCurrencyParameterSensitivity pvpsFD =
fdShift.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES);
derivative_FD[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR);
diff[loopshift] = derivative_FD[loopshift] - derivativeExact;
eps[loopshift + 1] = eps[loopshift] / ratio;
}
// 1Mx5Y
final Period expirationPeriod =
Period.ofDays(
1); // Period.ofDays(1); Period.ofDays(7); Period.ofMonths(1); Period.ofYears(1);
// Period.ofYears(10);
final ZonedDateTime expiryDateExp =
ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expirationPeriod, EURIBOR6M, CALENDAR);
final ZonedDateTime settlementDateExp =
ScheduleCalculator.getAdjustedDate(expiryDateExp, SPOT_LAG, CALENDAR);
final double ATM = 0.0151; // 1W: 1.52% - 1M: 1.52% - 1Y: 1.51% - 10Y: 1.51%
final SwapFixedIborDefinition swapExpx5YDefinition =
SwapFixedIborDefinition.from(
settlementDateExp, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, ATM, !FIXED_IS_PAYER);
final SwaptionPhysicalFixedIborDefinition swaptionExpx5YDefinition =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapExpx5YDefinition, !IS_LONG);
final SwaptionPhysicalFixedIbor swaptionExpx5Y =
swaptionExpx5YDefinition.toDerivative(REFERENCE_DATE);
// final double forward = swaptionExpx5Y.getUnderlyingSwap().accept(PRDC, MULTICURVES);
final MultipleCurrencyParameterSensitivity pvpsExactExp =
PS_HW_C.calculateSensitivity(
swaptionExpx5Y, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
final double derivativeExactExp = pvpsExactExp.totalSensitivity(MULTICURVES.getFxRates(), EUR);
final double[] derivative_FDExp = new double[nbShift];
final double[] diffExp = new double[nbShift];
for (int loopshift = 0; loopshift < nbShift; loopshift++) {
final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift =
new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]);
final MultipleCurrencyParameterSensitivity pvpsFD =
fdShift.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES);
derivative_FDExp[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR);
diffExp[loopshift] = derivative_FDExp[loopshift] - derivativeExactExp;
}
// int t = 0;
// t++;
}
@Test
/** Tests long/short parity. */
public void presentValueCurveSensitivityLongShortParityExplicit() {
final MultipleCurrencyMulticurveSensitivity pvhwsLong =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvhwsShort =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption physical - Hull-White - presentValueCurveSensitivity - long/short parity",
pvhwsLong,
pvhwsShort.multipliedBy(-1.0),
TOLERANCE_PV_DELTA);
}
@Test
/** Tests payer/receiver/swap parity. */
public void presentValueCurveSensitivityPayerReceiverParityExplicit() {
final MultipleCurrencyMulticurveSensitivity pvhwsReceiverLong =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvhwsPayerShort =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvSwap = SWAP_RECEIVER.accept(PVCSDC, MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption physical - Hull-White - presentValueCurveSensitivity - payer/receiver/swap parity",
pvSwap.cleaned(TOLERANCE_PV_DELTA),
pvhwsReceiverLong.plus(pvhwsPayerShort).cleaned(TOLERANCE_PV_DELTA),
TOLERANCE_PV_DELTA);
}
@Test
/** Tests the curve sensitivity in Monte Carlo approach. */
public void presentValueCurveSensitivityMonteCarlo() {
final double toleranceDelta = 1.0E+6; // 100 USD by bp
final MultipleCurrencyMulticurveSensitivity pvcsExplicit =
METHOD_HW
.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES)
.cleaned(TOLERANCE_PV_DELTA);
final HullWhiteMonteCarloMethod methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
final MultipleCurrencyMulticurveSensitivity pvcsMC =
methodMC
.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES)
.cleaned(TOLERANCE_PV_DELTA);
AssertSensivityObjects.assertEquals(
"Swaption physical - Hull-White - presentValueCurveSensitivity - payer/receiver/swap parity",
pvcsExplicit,
pvcsMC,
toleranceDelta);
}
@Test(enabled = false)
/** Tests of performance. "enabled = false" for the standard testing. */
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
MultipleCurrencyAmount pvPayerLongExplicit = MultipleCurrencyAmount.of(EUR, 0.0);
MultipleCurrencyAmount pvPayerLongIntegration = MultipleCurrencyAmount.of(EUR, 0.0);
MultipleCurrencyAmount pvPayerLongApproximation = MultipleCurrencyAmount.of(EUR, 0.0);
@SuppressWarnings("unused")
MultipleCurrencyAmount pvPayerLongMC = MultipleCurrencyAmount.of(EUR, 0.0);
double[] pvhws =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
MultipleCurrencyMulticurveSensitivity pvcs =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongExplicit = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " pv swaption Hull-White explicit method: " + (endTime - startTime) + " ms");
// Performance note: HW price: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 380 ms for
// 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvhws = METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " HW sensitivity swaption Hull-White explicit method: "
+ (endTime - startTime)
+ " ms");
// Performance note: HW sensitivity (3): 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon:
// 430 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvcs = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " curve sensitivity swaption Hull-White explicit method: "
+ (endTime - startTime)
+ " ms");
// Performance note: curve sensitivity (40): 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 855 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvhws = METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
pvcs = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
pvhws = METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " price/delta/vega swaption Hull-White explicit method: "
+ (endTime - startTime)
+ " ms");
// Performance note: present value/delta/vega: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 1730 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " swaption Hull-White numerical integration method: "
+ (endTime - startTime)
+ " ms");
// Performance note: HW numerical integration: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 1700 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongApproximation =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " swaption Hull-White approximation method: " + (endTime - startTime) + " ms");
// Performance note: HW approximation: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 250
// ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " swaption Hull-White Monte Carlo method ("
+ NB_PATH
+ " paths): "
+ (endTime - startTime)
+ " ms");
// Performance note: HW approximation: 18-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 9200
// ms for 1000 swaptions (12500 paths).
final double difference =
pvPayerLongExplicit.getAmount(EUR) - pvPayerLongIntegration.getAmount(EUR);
final double difference2 =
pvPayerLongExplicit.getAmount(EUR) - pvPayerLongApproximation.getAmount(EUR);
// double difference3 = pvPayerLongExplicit.getAmount(CUR) - pvPayerLongMC.getAmount(CUR);
System.out.println("Difference explicit-integration: " + difference);
System.out.println("Difference explicit-approximation: " + difference2);
// System.out.println("Difference explicit-Monte Carlo: " + difference3);
System.out.println("Curve sensitivity: " + pvcs.toString());
System.out.println("HW sensitivity: " + Arrays.toString(pvhws));
}
@Test(enabled = false)
/** Tests of performance. "enabled = false" for the standard testing. */
public void performanceCurveSensitivity() {
long startTime, endTime;
final int nbTest = 25;
MultipleCurrencyAmount pvMC = MultipleCurrencyAmount.of(EUR, 0.0);
final MultipleCurrencyMulticurveSensitivity pvcsExplicit =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
MultipleCurrencyMulticurveSensitivity pvcsMC = pvcsExplicit;
final HullWhiteMonteCarloMethod methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " swaption Hull-White Monte Carlo method ("
+ NB_PATH
+ " paths): "
+ (endTime - startTime)
+ " ms / price:"
+ pvMC.toString());
// Performance note: HW approximation: 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 250
// ms for 25 swaptions (12500 paths).
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " curve sensitivity swaption Hull-White MC method: ("
+ NB_PATH
+ " paths) "
+ (endTime - startTime)
+ " ms / risk:"
+ pvcsMC.toString());
// Performance note: curve sensitivity (40): 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 600 ms for 25 swaptions (12500 paths).
}
}
/** Build of inflation curve in several blocks with relevant Jacobian matrice. */
public class InflationBuildingCurveSimpleTestEUR {
private static final Interpolator1D INTERPOLATOR_LINEAR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LOG_LINEAR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
private static final double TOLERANCE_ROOT = 1.0E-10;
private static final int STEP_MAX = 100;
private static final Currency EUR = Currency.EUR;
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFLATION_SWAP =
GeneratorSwapFixedInflationMaster.getInstance().getGenerator("EURHICP");
private static final IndexPrice EUR_HICP = GENERATOR_INFLATION_SWAP.getIndexPrice();
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 9, 28);
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28)
},
new double[] {200, 200});
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITHOUT_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {100});
@SuppressWarnings("rawtypes")
private static final DoubleTimeSeries[] TS_FIXED_PRICE_INDEX_USD_WITH_TODAY =
new DoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY};
@SuppressWarnings("rawtypes")
private static final DoubleTimeSeries[] TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY =
new DoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITHOUT_TODAY};
private static final String CURVE_NAME_HICP_EUR = "EUR HICP";
/** Market values for the HICP EUR curve */
public static final double[] HICP_EUR_MARKET_QUOTES =
new double[] {
0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200,
0.0200, 0.0200, 0.0200, 0.0200
};
/** Generators for the HICP EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] HICP_EUR_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP
};
/** Tenors for the HICP EUR curve */
private static final Period[] HICP_EUR_TENOR =
new Period[] {
Period.ofYears(1),
Period.ofYears(2),
Period.ofYears(3),
Period.ofYears(4),
Period.ofYears(5),
Period.ofYears(6),
Period.ofYears(7),
Period.ofYears(8),
Period.ofYears(9),
Period.ofYears(10),
Period.ofYears(12),
Period.ofYears(15),
Period.ofYears(20),
Period.ofYears(25),
Period.ofYears(30)
};
private static final GeneratorAttributeIR[] HICP_EUR_ATTR =
new GeneratorAttributeIR[HICP_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < HICP_EUR_TENOR.length; loopins++) {
HICP_EUR_ATTR[loopins] = new GeneratorAttributeIR(HICP_EUR_TENOR[loopins]);
}
}
/** Standard EUR HICP curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_HICP_EUR;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {1};
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS =
new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorPriceIndexCurve[][][] GENERATORS_UNITS =
new GeneratorPriceIndexCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount eurMulticurveProviderDiscount =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd().copy();
private static final InflationProviderDiscount KNOWN_DATA =
new InflationProviderDiscount(eurMulticurveProviderDiscount);
private static final LinkedHashMap<String, IndexPrice[]> EUR_HICP_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_HICP_EUR =
getDefinitions(HICP_EUR_MARKET_QUOTES, HICP_EUR_GENERATORS, HICP_EUR_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorPriceIndexCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_HICP_EUR};
final GeneratorPriceIndexCurve genIntLin =
new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorPriceIndexCurve[] {genIntLin};
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_HICP_EUR};
EUR_HICP_MAP.put(CURVE_NAME_HICP_EUR, new IndexPrice[] {EUR_HICP});
}
private static final String NOT_USED = "Not used";
private static final String[] NOT_USED_2 = {NOT_USED, NOT_USED};
public static InstrumentDefinition<?>[] getDefinitions(
final double[] marketQuotes,
final GeneratorInstrument[] generators,
final GeneratorAttribute[] attribute) {
final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length];
for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) {
definitions[loopmv] =
generators[loopmv].generateInstrument(
NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
private static List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>>
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK =
new ArrayList<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>>();
// Calculator
private static final PresentValueDiscountingInflationCalculator PVIC =
PresentValueDiscountingInflationCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC =
ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC =
ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final InflationDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
new InflationDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-9;
@BeforeSuite
static void initClass() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[loopblock],
GENERATORS_UNITS[loopblock],
NAMES_UNITS[loopblock],
KNOWN_DATA,
PSIMQC,
PSIMQCSC,
false));
}
}
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[0],
GENERATORS_UNITS[0],
NAMES_UNITS[0],
KNOWN_DATA,
PSIMQC,
PSIMQCSC,
false);
}
endTime = System.currentTimeMillis();
System.out.println(
"InflationBuildingCurveSimpleTestEUR - "
+ nbTest
+ " curve construction Price index EUR 1 units: "
+ (endTime - startTime)
+ " ms");
// Performance note: curve construction Price index EUR 1 units: 27-Mar-13: On Dell Precision
// T1850 3.5 GHz Quad-Core Intel Xeon: 2816 ms for 1000 sets.
}
@Test
public void curveConstructionGeneratorOtherBlocks() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(
DEFINITIONS_UNITS[loopblock],
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(),
false,
loopblock);
}
}
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);
}
}
}
}
private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle>
makeCurvesFromDefinitions(
final InstrumentDefinition<?>[][][] definitions,
final GeneratorPriceIndexCurve[][] curveGenerators,
final String[][] curveNames,
final InflationProviderDiscount knownData,
final InstrumentDerivativeVisitor<InflationProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity>
sensitivityCalculator,
final boolean withToday) {
final int nbUnits = curveGenerators.length;
final double[][] parametersGuess = new double[nbUnits][];
final GeneratorPriceIndexCurve[][] generatorFinal = new GeneratorPriceIndexCurve[nbUnits][];
final InstrumentDerivative[][][] instruments = new InstrumentDerivative[nbUnits][][];
for (int loopunit = 0; loopunit < nbUnits; loopunit++) {
generatorFinal[loopunit] = new GeneratorPriceIndexCurve[curveGenerators[loopunit].length];
int nbInsUnit = 0;
for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
nbInsUnit += definitions[loopunit][loopcurve].length;
}
parametersGuess[loopunit] = new double[nbInsUnit];
int startCurve = 0; // First parameter index of the curve in the unit.
instruments[loopunit] = convert(definitions[loopunit], loopunit, withToday);
for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
generatorFinal[loopunit][loopcurve] =
curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]);
final double[] guessCurve =
generatorFinal[loopunit][loopcurve].initialGuess(
initialGuess(definitions[loopunit][loopcurve]));
System.arraycopy(
guessCurve,
0,
parametersGuess[loopunit],
startCurve,
instruments[loopunit][loopcurve].length);
startCurve += instruments[loopunit][loopcurve].length;
}
}
return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(
instruments,
generatorFinal,
curveNames,
parametersGuess,
knownData,
EUR_HICP_MAP,
calculator,
sensitivityCalculator);
}
@SuppressWarnings("unchecked")
private static InstrumentDerivative[][] convert(
final InstrumentDefinition<?>[][] definitions, final int unit, final boolean withToday) {
// int nbDef = 0;
// for (final InstrumentDefinition<?>[] definition : definitions) {
// nbDef += definition.length;
// }
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
/* ird = ((SwapFixedInflationZeroCouponDefinition) instrument).toDerivative(NOW, getTSSwapFixedInflation(withToday, unit), NOT_USED_2);*/
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.toDerivative(NOW, NOT_USED_2);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY, NOT_USED_2);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW, NOT_USED_2);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
@SuppressWarnings("rawtypes")
private static DoubleTimeSeries[] getTSSwapFixedInflation(
final Boolean withToday, final Integer unit) {
switch (unit) {
case 0:
return withToday
? TS_FIXED_PRICE_INDEX_USD_WITH_TODAY
: TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY;
case 1:
return withToday
? TS_FIXED_PRICE_INDEX_USD_WITH_TODAY
: TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
private static double[] initialGuess(final InstrumentDefinition<?>[] definitions) {
final double[] result = new double[definitions.length];
int loopr = 0;
for (final InstrumentDefinition<?> definition : definitions) {
result[loopr++] = initialGuess(definition);
}
return result;
}
private static double initialGuess(final InstrumentDefinition<?> instrument) {
if (instrument instanceof SwapFixedONDefinition) {
return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof SwapFixedIborDefinition) {
return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponMonthlyDefinition) {
return ((CouponInflationZeroCouponMonthlyDefinition)
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.getNthPayment(0))
.getIndexStartValue();
}
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponInterpolationDefinition) {
return ((CouponInflationZeroCouponInterpolationDefinition)
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.getNthPayment(0))
.getIndexStartValue();
}
return 100;
}
if (instrument instanceof ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
return 1;
}
}
@Test
/**
* Tests the toDerivative method on the payment date. valuation is at noon, payment set at
* midnight...
*/
public void toDerivativeJustAfterPayment() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 19);
final ZonedDateTime valuationTimeIsNoon = DateUtils.getUTCDate(2011, 9, 19, 12, 0);
assertTrue(
"valuationTimeIsNoon used to be after paymentDate, which was midnight. Confirm behaviour",
valuationTimeIsNoon.isAfter(ON_COMPOUNDED_COUPON_DEFINITION.getPaymentDate()));
final double fixingRate = 0.01;
final DoubleTimeSeries<ZonedDateTime> fixingTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 7),
DateUtils.getUTCDate(2011, 9, 8),
DateUtils.getUTCDate(2011, 9, 9),
DateUtils.getUTCDate(2011, 9, 12),
DateUtils.getUTCDate(2011, 9, 13),
DateUtils.getUTCDate(2011, 9, 14),
DateUtils.getUTCDate(2011, 9, 15)
},
new double[] {
fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate
});
final Payment cpnConverted =
ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(valuationTimeIsNoon, fixingTS);
final double paymentTime =
-TimeCalculator.getTimeBetween(
referenceDate, EUR_PAYMENT_DATE, EUR_DAY_COUNT, EUR_CALENDAR);
final double notionalAccrued =
NOTIONAL
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[0])
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[1])
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[2])
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3])
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
final CouponFixed cpnExpected =
new CouponFixed(
EUR_CUR,
paymentTime,
EUR_PAYMENT_YEAR_FRACTION,
NOTIONAL,
(notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
// Test pricing, too. Notice that the value of a coupon on its payment date is non-zero
final MulticurveProviderDiscount curves =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
final MultipleCurrencyAmount pvConverted =
com.opengamma.analytics.financial.interestrate.payments.provider
.CouponFixedDiscountingMethod.getInstance()
.presentValue((CouponFixed) cpnConverted, curves);
final MultipleCurrencyAmount pvExpected =
com.opengamma.analytics.financial.interestrate.payments.provider
.CouponFixedDiscountingMethod.getInstance()
.presentValue(cpnExpected, curves);
assertEquals("CouponONCompounded definition: toDerivative", pvConverted, pvExpected);
assertEquals(
"CouponONCompounded definition: toDerivative",
pvConverted,
MultipleCurrencyAmount.of(EUR_CUR, 19744.6689499392));
}
/** Test the swaps with multiple legs present value and related figures. */
@Test(groups = TestGroup.UNIT)
public class SwapMultilegCalculatorTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final Calendar TARGET = new MondayToFridayCalendar("TRAGET");
private static final IndexIborMaster INDEX_MASTER = IndexIborMaster.getInstance();
private static final IborIndex EURIBOR3M = INDEX_MASTER.getIndex("EURIBOR3M");
private static final IborIndex EURIBOR6M = INDEX_MASTER.getIndex("EURIBOR6M");
private static final GeneratorSwapFixedIborMaster SWAP_MASTER =
GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", TARGET);
private static final Period ANNUITY_TENOR = Period.ofYears(2);
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2013, 3, 20);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2013, 10, 16);
private static final double NOTIONAL = 100000000; // 100 m
private static final double SPREAD = 0.0010; // 10 bps
private static final StubType STUB = StubType.SHORT_START;
// Swap represeting a EUR basis swap: 1 spread leg and 2 Euribor leg.
private static final boolean IS_PAYER_SPREAD = true;
private static final ZonedDateTime MATURITY_DATE = SETTLEMENT_DATE.plus(ANNUITY_TENOR);
private static final int NB_LEGS = 3;
@SuppressWarnings("rawtypes")
private static final AnnuityDefinition[] LEGS_DEFINITION = new AnnuityDefinition[NB_LEGS];
static {
LEGS_DEFINITION[0] =
AnnuityDefinitionBuilder.couponFixed(
EUR,
SETTLEMENT_DATE,
MATURITY_DATE,
EUR1YEURIBOR6M.getFixedLegPeriod(),
TARGET,
EUR1YEURIBOR6M.getFixedLegDayCount(),
EUR1YEURIBOR6M.getBusinessDayConvention(),
EUR1YEURIBOR6M.isEndOfMonth(),
NOTIONAL,
SPREAD,
IS_PAYER_SPREAD,
STUB,
0);
LEGS_DEFINITION[1] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR3M.getTenor(),
NOTIONAL,
EURIBOR3M,
IS_PAYER_SPREAD,
EURIBOR3M.getDayCount(),
EURIBOR3M.getBusinessDayConvention(),
EURIBOR3M.isEndOfMonth(),
TARGET,
STUB,
0);
LEGS_DEFINITION[2] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR6M.getTenor(),
NOTIONAL,
EURIBOR6M,
!IS_PAYER_SPREAD,
EURIBOR6M.getDayCount(),
EURIBOR6M.getBusinessDayConvention(),
EURIBOR6M.isEndOfMonth(),
TARGET,
STUB,
0);
}
@SuppressWarnings("unchecked")
private static final SwapMultilegDefinition SWAP_MULTI_LEG_DEFINITION =
new SwapMultilegDefinition(LEGS_DEFINITION);
private static final SwapMultileg SWAP_MULTI_LEG =
SWAP_MULTI_LEG_DEFINITION.toDerivative(REFERENCE_DATE);
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC =
ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC =
ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityDiscountingCalculator PVMQSC =
PresentValueMarketQuoteSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator
PVMQSCSC =
PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator.getInstance();
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E-2;
private static final double TOLERANCE_RATE = 1.0E-8;
private static final double TOLERANCE_RATE_DELTA = 1.0E-8;
@Test
public void presentValueDiscountingCalculator() {
final MultipleCurrencyAmount pvSwap = SWAP_MULTI_LEG.accept(PVDC, MULTICURVES);
MultipleCurrencyAmount pvLegs = MultipleCurrencyAmount.of(EUR, 0.0);
for (int loopleg = 0; loopleg < NB_LEGS; loopleg++) {
pvLegs = pvLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVDC, MULTICURVES));
}
assertEquals(
"SwapMultileg: presentValueDiscountingCalculator",
pvSwap.getAmount(EUR),
pvLegs.getAmount(EUR),
TOLERANCE_PV);
}
@Test
public void presentValueCurveSensitivityDiscountingCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsSwap =
SWAP_MULTI_LEG.accept(PVCSDC, MULTICURVES);
MultipleCurrencyMulticurveSensitivity pvcsLegs =
SWAP_MULTI_LEG.getLegs()[0].accept(PVCSDC, MULTICURVES);
for (int loopleg = 1; loopleg < NB_LEGS; loopleg++) {
pvcsLegs = pvcsLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVCSDC, MULTICURVES));
}
AssertSensitivityObjects.assertEquals(
"SwapMultileg: presentValueCurveSensitivityDiscountingCalculator",
pvcsLegs,
pvcsSwap,
TOLERANCE_PV_DELTA);
}
@Test
public void parSpreadMarketQuoteDiscountingCalculator() {
final double psmq = SWAP_MULTI_LEG.accept(PSMQDC, MULTICURVES);
final double pv =
-MULTICURVES
.getFxRates()
.convert(
SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency())
.getAmount();
final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES);
assertEquals(
"SwapMultileg: parSpreadMarketQuoteDiscountingCalculator", psmq, pv / pvbp, TOLERANCE_RATE);
}
@Test
public void parSpreadMarketQuoteCurveSensitivityDiscountingCalculator() {
final double pv =
MULTICURVES
.getFxRates()
.convert(
SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency())
.getAmount();
final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES);
final MulticurveSensitivity pvcs =
SWAP_MULTI_LEG
.accept(PVCSDC, MULTICURVES)
.converted(EUR, MULTICURVES.getFxRates())
.getSensitivity(EUR);
final MulticurveSensitivity pvbpcs = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSCSC, MULTICURVES);
final MulticurveSensitivity psmqcsExpected =
pvcs.multipliedBy(-1.0d / pvbp).plus(pvbpcs.multipliedBy(pv / (pvbp * pvbp))).cleaned();
final MulticurveSensitivity psmqcs = SWAP_MULTI_LEG.accept(PSMQCSDC, MULTICURVES).cleaned();
AssertSensitivityObjects.assertEquals(
"SwapMultileg: presentValueCurveSensitivityDiscountingCalculator",
psmqcs,
psmqcsExpected,
TOLERANCE_RATE_DELTA);
}
}
/**
* Tests related to the pricing methods for Ibor coupon in the discounting method with data in
* MarketBundle.
*/
public class CouponIborDiscountingProviderMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex[] IBOR_INDEXES =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd();
private static final IborIndex EURIBOR3M = IBOR_INDEXES[0];
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final DayCount DAY_COUNT_COUPON =
DayCountFactory.INSTANCE.getDayCount("Actual/365");
private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 5, 23);
private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 8, 22);
private static final double ACCRUAL_FACTOR =
DAY_COUNT_COUPON.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double NOTIONAL = 1000000; // 1m
private static final CouponIborDefinition CPN_IBOR_DEFINITION =
CouponIborDefinition.from(
ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, EURIBOR3M, CALENDAR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 12, 27);
private static final CouponIbor CPN_IBOR =
(CouponIbor) CPN_IBOR_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CouponIborDiscountingMethod METHOD_CPN_IBOR =
CouponIborDiscountingMethod.getInstance();
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
@Test
public void presentValueMarketDiscount() {
final MultipleCurrencyAmount pvComputed = METHOD_CPN_IBOR.presentValue(CPN_IBOR, MULTICURVES);
final double forward =
MULTICURVES.getForwardRate(
EURIBOR3M,
CPN_IBOR.getFixingPeriodStartTime(),
CPN_IBOR.getFixingPeriodEndTime(),
CPN_IBOR.getFixingAccrualFactor());
final double df =
MULTICURVES.getDiscountFactor(EURIBOR3M.getCurrency(), CPN_IBOR.getPaymentTime());
final double pvExpected = NOTIONAL * ACCRUAL_FACTOR * forward * df;
assertEquals(
"CouponIborDiscountingMarketMethod: present value",
pvExpected,
pvComputed.getAmount(EURIBOR3M.getCurrency()),
TOLERANCE_PV);
}
@Test
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD_CPN_IBOR.presentValue(CPN_IBOR, MULTICURVES);
final MultipleCurrencyAmount pvCalculator = CPN_IBOR.accept(PVDC, MULTICURVES);
assertEquals(
"CouponFixedDiscountingMarketMethod: present value",
pvMethod.getAmount(EUR),
pvCalculator.getAmount(EUR),
TOLERANCE_PV);
}
// Testing note: the presentValueMarketSensitivity is tested in
// ParameterSensitivityProviderCalculatorTest
@Test
public void presentValueMarketSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod =
METHOD_CPN_IBOR.presentValueCurveSensitivity(CPN_IBOR, MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator =
CPN_IBOR.accept(PVCSDC, MULTICURVES);
AssertSensivityObjects.assertEquals(
"CouponFixedDiscountingMarketMethod: presentValueMarketSensitivity",
pvcsMethod,
pvcsCalculator,
TOLERANCE_PV_DELTA);
}
}
/**
* Test class for the replication method for CMS caplet/floorlet using a SABR smile with
* extrapolation.
*/
@Test
public class CapFloorCMSSABRExtrapolationRightReplicationMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR6M =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1];
private static final Currency EUR = EURIBOR6M.getCurrency();
private static final HolidayCalendar CALENDAR =
MulticurveProviderDiscountDataSets.getEURCalendar();
private static final SABRInterestRateParameters SABR_PARAMETER = SABRDataSets.createSABR1();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
GeneratorSwapFixedIborMaster.getInstance().getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final SABRSwaptionProviderDiscount SABR_MULTICURVES =
new SABRSwaptionProviderDiscount(MULTICURVES, SABR_PARAMETER, EUR1YEURIBOR6M);
// Swap 5Y
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventions.MODIFIED_FOLLOWING;
private static final boolean IS_EOM = true;
private static final Period ANNUITY_TENOR = Period.ofYears(5);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2020, 4, 28);
// Fixed leg: Semi-annual bond
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCounts.THIRTY_U_360;
private static final double RATE = 0.0325;
private static final boolean FIXED_IS_PAYER = true;
private static final AnnuityCouponFixedDefinition FIXED_ANNUITY =
AnnuityCouponFixedDefinition.from(
EUR,
SETTLEMENT_DATE,
ANNUITY_TENOR,
FIXED_PAYMENT_PERIOD,
CALENDAR,
FIXED_DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
1.0,
RATE,
FIXED_IS_PAYER);
// Ibor leg: quarterly money
private static final AnnuityCouponIborDefinition IBOR_ANNUITY =
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, ANNUITY_TENOR, 1.0, EURIBOR6M, !FIXED_IS_PAYER, CALENDAR);
// CMS coupon construction
private static final IndexSwap CMS_INDEX =
new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, EURIBOR6M, ANNUITY_TENOR, CALENDAR);
private static final SwapFixedIborDefinition SWAP_DEFINITION =
new SwapFixedIborDefinition(FIXED_ANNUITY, IBOR_ANNUITY);
private static final ZonedDateTime FIXING_DATE =
ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -EURIBOR6M.getSpotLag(), CALENDAR);
private static final ZonedDateTime ACCRUAL_START_DATE = SETTLEMENT_DATE; // pre-fixed
private static final ZonedDateTime ACCRUAL_END_DATE =
ScheduleCalculator.getAdjustedDate(
ACCRUAL_START_DATE, FIXED_PAYMENT_PERIOD, BUSINESS_DAY, CALENDAR);
private static final ZonedDateTime PAYMENT_DATE = ACCRUAL_END_DATE;
private static final DayCount PAYMENT_DAY_COUNT = DayCounts.ACT_360;
private static final double ACCRUAL_FACTOR =
DayCountUtils.yearFraction(PAYMENT_DAY_COUNT, ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double NOTIONAL = 10000000; // 10m
private static final CouponCMSDefinition CMS_COUPON_RECEIVER_DEFINITION =
CouponCMSDefinition.from(
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
ACCRUAL_FACTOR,
NOTIONAL,
FIXING_DATE,
SWAP_DEFINITION,
CMS_INDEX);
private static final CouponCMSDefinition CMS_COUPON_PAYER_DEFINITION =
CouponCMSDefinition.from(
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
ACCRUAL_FACTOR,
-NOTIONAL,
FIXING_DATE,
SWAP_DEFINITION,
CMS_INDEX);
// Cap/Floor construction
private static final double STRIKE = 0.04;
private static final boolean IS_CAP = true;
private static final CapFloorCMSDefinition CMS_CAP_LONG_DEFINITION =
CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, STRIKE, IS_CAP);
private static final CapFloorCMSDefinition CMS_CAP_SHORT_DEFINITION =
CapFloorCMSDefinition.from(CMS_COUPON_PAYER_DEFINITION, STRIKE, IS_CAP);
private static final CapFloorCMSDefinition CMS_CAP_0_DEFINITION =
CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, 0.0, IS_CAP);
// to derivatives
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
private static final CouponCMS CMS_COUPON =
(CouponCMS) CMS_COUPON_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_0 =
(CapFloorCMS) CMS_CAP_0_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_LONG =
(CapFloorCMS) CMS_CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_SHORT =
(CapFloorCMS) CMS_CAP_SHORT_DEFINITION.toDerivative(REFERENCE_DATE);
// Calculators & methods
private static final CapFloorCMSSABRReplicationMethod METHOD_STANDARD_CAP =
CapFloorCMSSABRReplicationMethod.getDefaultInstance();
private static final CouponCMSSABRReplicationMethod METHOD_STANDARD_CPN =
CouponCMSSABRReplicationMethod.getInstance();
private static final CouponCMSDiscountingMethod METHOD_DSC_CPN =
CouponCMSDiscountingMethod.getInstance();
private static final double CUT_OFF_STRIKE = 0.10;
private static final double MU = 2.50;
private static final CapFloorCMSSABRExtrapolationRightReplicationMethod METHOD_EXTRAPOLATION_CAP =
new CapFloorCMSSABRExtrapolationRightReplicationMethod(CUT_OFF_STRIKE, MU);
private static final CouponCMSSABRExtrapolationRightReplicationMethod METHOD_EXTRAPOLATION_CPN =
new CouponCMSSABRExtrapolationRightReplicationMethod(CUT_OFF_STRIKE, MU);
// Calculators
private static final PresentValueSABRSwaptionRightExtrapolationCalculator PVSSXC =
new PresentValueSABRSwaptionRightExtrapolationCalculator(CUT_OFF_STRIKE, MU);
private static final PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator
PVCSSSXC =
new PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator(
CUT_OFF_STRIKE, MU);
private static final PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator
PVSSSSXC =
new PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator(
CUT_OFF_STRIKE, MU);
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<SABRSwaptionProviderInterface>
PS_SS_C = new ParameterSensitivityParameterCalculator<>(PVCSSSXC);
private static final ParameterSensitivitySABRSwaptionDiscountInterpolatedFDCalculator PS_SS_FDC =
new ParameterSensitivitySABRSwaptionDiscountInterpolatedFDCalculator(PVSSXC, SHIFT);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 5.0E+3; // 0.01 currency unit for 1 bp.
/**
* 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);
}
/**
* Tests the price of CMS coupon and cap/floor using replication in the SABR framework. Method v
* Calculator.
*/
public void presentValueMethodVsCalculator() {
final double pvMethod =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double pvCalculator =
CMS_CAP_LONG.accept(PVSSXC, SABR_MULTICURVES).getAmount(EUR).getAmount();
assertEquals(
"CMS cap/floor SABR: Present value : method vs calculator",
pvMethod,
pvCalculator,
TOLERANCE_PV);
}
/**
* Test the present value for a CMS cap with pricing by replication in the SABR with extrapolation
* framework. The present value is tested against hard-coded value and a long/short parity is
* tested.
*/
public void presentValueReplicationCap() {
// CMS cap/floor with strike 0 has the same price as a CMS coupon.
final double priceCapLongStd =
METHOD_STANDARD_CAP.presentValue(CMS_CAP_LONG, SABR_MULTICURVES).getAmount(EUR).getAmount();
final double priceCapLongExtra =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double priceCapShortExtra =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_SHORT, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
assertEquals(
"CMS cap by replication - Extrapolation: comparison with standard method",
priceCapLongStd > priceCapLongExtra,
true);
final double priceCapExtraExpected = 30696.572; // From previous run.
assertEquals(
"CMS cap by replication - Extrapolation: hard-coded value",
priceCapExtraExpected,
priceCapLongExtra,
TOLERANCE_PV);
assertEquals(
"CMS cap by replication - Extrapolation: long/short parity",
-priceCapShortExtra,
priceCapLongExtra,
TOLERANCE_PV);
}
/**
* Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR
* with extrapolation framework.
*/
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsCapLongExact =
PS_SS_C.calculateSensitivity(
CMS_CAP_LONG, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsCapLongFD =
PS_SS_FDC.calculateSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ",
pvpsCapLongExact,
pvpsCapLongFD,
TOLERANCE_PV_DELTA);
final MultipleCurrencyParameterSensitivity pvpsCapShortExact =
PS_SS_C.calculateSensitivity(
CMS_CAP_SHORT,
SABR_MULTICURVES,
SABR_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsCapShortFD =
PS_SS_FDC.calculateSensitivity(CMS_CAP_SHORT, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ",
pvpsCapShortExact,
pvpsCapShortFD,
TOLERANCE_PV_DELTA);
}
/**
* Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR
* with extrapolation framework. Method v Calculator.
*/
public void presentValueCurveSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod =
METHOD_EXTRAPOLATION_CAP.presentValueCurveSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator =
CMS_CAP_LONG.accept(PVCSSSXC, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"CMS cap/floor SABR: Present value : method vs calculator",
pvcsMethod,
pvcsCalculator,
TOLERANCE_PV_DELTA);
}
/** Tests the cap present value SABR parameters sensitivity vs finite difference. */
public void presentValueSABRSensitivity() {
final double pv =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final PresentValueSABRSensitivityDataBundle pvsCapLong =
METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
// SABR sensitivity vs finite difference
final double shift = 0.0001;
final double shiftAlpha = 0.00001;
final double maturity =
CMS_CAP_LONG
.getUnderlyingSwap()
.getFixedLeg()
.getNthPayment(
CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1)
.getPaymentTime()
- CMS_CAP_LONG.getSettlementTime();
final DoublesPair expectedExpiryTenor = DoublesPair.of(CMS_CAP_LONG.getFixingTime(), maturity);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped =
SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
final SABRSwaptionProviderDiscount sabrBundleAlphaBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
final double pvLongPayerAlphaBumped =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, sabrBundleAlphaBumped)
.getAmount(EUR)
.getAmount();
final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
assertEquals(
"Alpha sensitivity expiry/tenor",
pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Alpha sensitivity value",
expectedAlphaSensi,
pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
final SABRSwaptionProviderDiscount sabrBundleRhoBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
final double pvLongPayerRhoBumped =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, sabrBundleRhoBumped)
.getAmount(EUR)
.getAmount();
final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
assertEquals(
"Rho sensitivity expiry/tenor",
pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Rho sensitivity value",
expectedRhoSensi,
pvsCapLong.getRho().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
final SABRSwaptionProviderDiscount sabrBundleNuBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
final double pvLongPayerNuBumped =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, sabrBundleNuBumped)
.getAmount(EUR)
.getAmount();
final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
assertTrue(
"Nu sensitivity expiry/tenor",
pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor));
assertEquals(
"Nu sensitivity value",
expectedNuSensi,
pvsCapLong.getNu().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
}
/** Tests the coupon present value SABR parameters sensitivity vs finite difference. */
public void presentValueSABRSensitivityCoupon() {
final double pv =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final PresentValueSABRSensitivityDataBundle pvsCpn =
METHOD_EXTRAPOLATION_CPN.presentValueSABRSensitivity(CMS_COUPON, SABR_MULTICURVES);
// SABR sensitivity vs finite difference
final double shift = 0.0001;
final double shiftAlpha = 0.00001;
final double maturity =
CMS_COUPON
.getUnderlyingSwap()
.getFixedLeg()
.getNthPayment(
CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1)
.getPaymentTime()
- CMS_COUPON.getSettlementTime();
final DoublesPair expectedExpiryTenor = DoublesPair.of(CMS_COUPON.getFixingTime(), maturity);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped =
SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
final SABRSwaptionProviderDiscount sabrBundleAlphaBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
final double pvLongPayerAlphaBumped =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, sabrBundleAlphaBumped)
.getAmount(EUR)
.getAmount();
final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
assertEquals("Number of alpha sensitivity", pvsCpn.getAlpha().getMap().keySet().size(), 1);
assertEquals(
"Alpha sensitivity expiry/tenor",
pvsCpn.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Alpha sensitivity value",
expectedAlphaSensi,
pvsCpn.getAlpha().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
final SABRSwaptionProviderDiscount sabrBundleRhoBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
final double pvLongPayerRhoBumped =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, sabrBundleRhoBumped)
.getAmount(EUR)
.getAmount();
final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
assertEquals("Number of rho sensitivity", pvsCpn.getRho().getMap().keySet().size(), 1);
assertEquals(
"Rho sensitivity expiry/tenor",
pvsCpn.getRho().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Rho sensitivity value",
expectedRhoSensi,
pvsCpn.getRho().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Nu sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
final SABRSwaptionProviderDiscount sabrBundleNuBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
final double pvLongPayerNuBumped =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, sabrBundleNuBumped)
.getAmount(EUR)
.getAmount();
final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
assertEquals("Number of nu sensitivity", pvsCpn.getNu().getMap().keySet().size(), 1);
assertTrue(
"Nu sensitivity expiry/tenor",
pvsCpn.getNu().getMap().keySet().contains(expectedExpiryTenor));
assertEquals(
"Nu sensitivity value",
expectedNuSensi,
pvsCpn.getNu().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
}
/** Tests the present value SABR parameters sensitivity: Method vs Calculator. */
public void presentValueSABRSensitivityMethodVsCalculator() {
final PresentValueSABRSensitivityDataBundle pvssMethod =
METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
final PresentValueSABRSensitivityDataBundle pvssCalculator =
CMS_CAP_LONG.accept(PVSSSSXC, SABR_MULTICURVES);
assertEquals(
"CMS cap/floor SABR: Present value SABR sensitivity: method vs calculator",
pvssMethod,
pvssCalculator);
}
/** Tests the present value strike sensitivity: Cap. */
public void presentValueStrikeSensitivityCap() {
final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400, 0.0500};
final int nbStrikes = strikes.length;
final double shift = 1.0E-5;
final double[] errorRelative = new double[nbStrikes];
for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
final CapFloorCMSDefinition cmsCapDefinition =
CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike], IS_CAP);
final CapFloorCMSDefinition cmsCapShiftUpDefinition =
CapFloorCMSDefinition.from(
CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
final CapFloorCMSDefinition cmsCapShiftDoDefinition =
CapFloorCMSDefinition.from(
CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsCapShiftUp =
(CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsCapShiftDo =
(CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
final double pvShiftUp =
METHOD_EXTRAPOLATION_CAP
.presentValue(cmsCapShiftUp, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double pvShiftDo =
METHOD_EXTRAPOLATION_CAP
.presentValue(cmsCapShiftDo, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
final double sensiComputed =
METHOD_EXTRAPOLATION_CAP.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
assertEquals(
"CMS cap/floor SABR: Present value strike sensitivity " + loopstrike,
0,
errorRelative[loopstrike],
5.0E-3);
}
}
/**
* 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).getAmount();
@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).getAmount();
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).getAmount();
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);
}
}
public class SwaptionPhysicalFixedIborBlackMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR6M =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1];
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final Currency EUR = EURIBOR6M.getCurrency();
// Data
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 10);
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER =
GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor GENERATOR_EUR1YEURIBOR6M =
GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final BlackFlatSwaptionParameters BLACK = BlackDataSets.createBlackSwaptionEUR6();
private static final BlackSwaptionFlatProviderDiscount BLACK_MULTICURVES =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BLACK);
// Swaption
private static final Period EXPIRY_TENOR = Period.ofMonths(26); // To be between nodes.
private static final ZonedDateTime EXPIRY_DATE =
ScheduleCalculator.getAdjustedDate(
REFERENCE_DATE,
EXPIRY_TENOR,
GENERATOR_EUR1YEURIBOR6M.getBusinessDayConvention(),
CALENDAR,
GENERATOR_EUR1YEURIBOR6M.isEndOfMonth());
private static final ZonedDateTime SETTLE_DATE =
ScheduleCalculator.getAdjustedDate(
EXPIRY_DATE, GENERATOR_EUR1YEURIBOR6M.getSpotLag(), CALENDAR);
private static final int SWAP_TENOR_YEAR = 5;
private static final Period SWAP_TENOR = Period.ofYears(SWAP_TENOR_YEAR);
private static final double NOTIONAL = 123456789.0;
private static final double RATE = 0.02;
private static final SwapFixedIborDefinition SWAP_DEFINITION_REC =
SwapFixedIborDefinition.from(
SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, false);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_DEFINITION_LONG_REC =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_REC, true);
private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_REC =
SWAPTION_DEFINITION_LONG_REC.toDerivative(REFERENCE_DATE);
// Method - calculator
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
// Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
private static final SwaptionPhysicalFixedIborBlackMethod METHOD_BLACK =
SwaptionPhysicalFixedIborBlackMethod.getInstance();
private static final SwapFixedCouponDiscountingMethod METHOD_SWAP =
SwapFixedCouponDiscountingMethod.getInstance();
private static final ParRateDiscountingCalculator PRDC =
ParRateDiscountingCalculator.getInstance();
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueBlackSwaptionCalculator PVBSC =
PresentValueBlackSwaptionCalculator.getInstance();
private static final PresentValueCurveSensitivityBlackSwaptionCalculator PVCSBSC =
PresentValueCurveSensitivityBlackSwaptionCalculator.getInstance();
private static final PresentValueBlackSensitivityBlackSwaptionCalculator PVBSSBSC =
PresentValueBlackSensitivityBlackSwaptionCalculator.getInstance();
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<BlackSwaptionFlatProviderInterface>
PS_BS_C = new ParameterSensitivityParameterCalculator<>(PVCSBSC);
private static final ParameterSensitivityBlackSwaptionDiscountInterpolatedFDCalculator PS_BS_FDC =
new ParameterSensitivityBlackSwaptionDiscountInterpolatedFDCalculator(PVBSC, SHIFT);
private static final BlackSwaptionSensitivityNodeCalculator BSSNC =
new BlackSwaptionSensitivityNodeCalculator();
@Test
public void presentValue() {
final MultipleCurrencyAmount pvMethod =
METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final double forward = SWAPTION_LONG_REC.getUnderlyingSwap().accept(PRDC, MULTICURVES);
final double pvbp =
METHOD_SWAP.presentValueBasisPoint(SWAPTION_LONG_REC.getUnderlyingSwap(), MULTICURVES);
final double volatility =
BLACK.getVolatility(
SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
final BlackPriceFunction blackFunction = new BlackPriceFunction();
final BlackFunctionData dataBlack = new BlackFunctionData(forward, pvbp, volatility);
final Function1D<BlackFunctionData, Double> func =
blackFunction.getPriceFunction(SWAPTION_LONG_REC);
final double pvExpected = func.evaluate(dataBlack);
assertEquals(
"Swaption Black method: present value", pvExpected, pvMethod.getAmount(EUR), TOLERANCE_PV);
}
@Test
/** Tests the payer/receiver parity for swaptions present value. */
public void presentValuePayerReceiverParity() {
final SwapFixedIborDefinition swapDefinitionPay =
SwapFixedIborDefinition.from(
SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
final SwaptionPhysicalFixedIbor swaptionShortPayer =
swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE);
final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE);
final MultipleCurrencyAmount pvLR =
METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final MultipleCurrencyAmount pvSP =
METHOD_BLACK.presentValue(swaptionShortPayer, BLACK_MULTICURVES);
final MultipleCurrencyAmount pvSwap = swapRec.accept(PVDC, MULTICURVES);
assertEquals(
"Swaption Black method: present value",
pvSwap.getAmount(EUR),
pvLR.getAmount(EUR) + pvSP.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Compare the method figures to the Calculator figures. */
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod =
METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final MultipleCurrencyAmount pvCalculator = SWAPTION_LONG_REC.accept(PVBSC, BLACK_MULTICURVES);
assertEquals(
"Swaption Black method: present value",
pvCalculator.getAmount(EUR),
pvMethod.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Tests the curve sensitivity for the explicit formula. */
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsExact =
PS_BS_C.calculateSensitivity(
SWAPTION_LONG_REC,
BLACK_MULTICURVES,
BLACK_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsFD =
PS_BS_FDC.calculateSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption Black method: presentValueCurveSensitivity ",
pvpsExact,
pvpsFD,
TOLERANCE_PV_DELTA);
}
@Test
/** Compare the method figures to the Calculator figures. */
public void presentValueCurveSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod =
METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator =
SWAPTION_LONG_REC.accept(PVCSBSC, BLACK_MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption Black method: present value", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA);
}
@Test
/** Tests the Black volatility sensitivity (vega). */
public void presentValueBlackSensitivity() {
final double shift = 1.0E-6;
final PresentValueBlackSwaptionSensitivity pvbvs =
METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final BlackFlatSwaptionParameters BlackP = BlackDataSets.createBlackSwaptionEUR6Shift(shift);
final BlackSwaptionFlatProviderDiscount curvesBlackP =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP);
final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
final BlackFlatSwaptionParameters BlackM = BlackDataSets.createBlackSwaptionEUR6Shift(-shift);
final BlackSwaptionFlatProviderDiscount curvesBlackM =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM);
final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
final DoublesPair point =
new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
assertEquals(
"Swaption Black method: present value volatility sensitivity",
(pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift),
pvbvs.getSensitivity().getMap().get(point),
TOLERANCE_PV_DELTA);
}
@Test
/** Tests the Black volatility sensitivity (vega). */
public void presentValueBlackSensitivityMethodVsCalculator() {
final PresentValueBlackSwaptionSensitivity pvbsMethod =
METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final PresentValueBlackSwaptionSensitivity pvbsCalculator =
SWAPTION_LONG_REC.accept(PVBSSBSC, BLACK_MULTICURVES);
assertEquals("Swaption Black method: present value", pvbsMethod, pvbsCalculator);
}
@Test
/** Tests the Black volatility sensitivity (vega). */
public void presentValueBlackNodeSensitivity() {
final double shift = 1.0E-6;
final PresentValueBlackSwaptionSensitivity pvbvs =
METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final PresentValueBlackSwaptionSensitivity pvbns =
BSSNC.calculateNodeSensitivities(pvbvs, BLACK);
final double[] x =
((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive();
final double[] y =
((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive();
for (int loopindex = 0; loopindex < x.length; loopindex++) {
final BlackFlatSwaptionParameters BlackP =
BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, shift);
final BlackSwaptionFlatProviderDiscount curvesBlackP =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP);
final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
final BlackFlatSwaptionParameters BlackM =
BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, -shift);
final BlackSwaptionFlatProviderDiscount curvesBlackM =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM);
final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
assertEquals(
"Swaption Black method: present value volatility sensitivity",
(pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift),
pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])),
TOLERANCE_PV_DELTA);
}
}
}
/** Tests the present value of Capital inflation indexed bonds. */
@Test
public class BondCapitalIndexedSecurityDiscountingMethodTest {
private static final InflationIssuerProviderDiscount MARKET =
MulticurveProviderDiscountDataSets.createMarket1();
private static final IndexPrice[] PRICE_INDEXES =
MulticurveProviderDiscountDataSets.getPriceIndexes();
private static final IndexPrice PRICE_INDEX_UKRPI = PRICE_INDEXES[1];
private static final IndexPrice PRICE_INDEX_USCPI = PRICE_INDEXES[2];
private static final IndexPrice PRICE_INDEX_AUDCPI = PRICE_INDEXES[3];
private static final String[] ISSUER_NAMES = MulticurveProviderDiscountDataSets.getIssuerNames();
private static final String ISSUER_US_GOVT = ISSUER_NAMES[0];
private static final String ISSUER_UK_GOVT = ISSUER_NAMES[1];
private static final String ISSUER_AUD_GOVT = ISSUER_NAMES[3];
private static final double SHIFT_FD = 1.0E-9;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
private static final double TOLERANCE_SENSI_DELTA = 1.0E-6;
private static final ZonedDateTime PRICING_DATE = DateUtils.getUTCDate(2011, 8, 8);
private static final BondCapitalIndexedSecurityDiscountingMethod METHOD_BOND_INFLATION =
new BondCapitalIndexedSecurityDiscountingMethod();
private static final CouponInflationZeroCouponMonthlyGearingDiscountingMethod
METHOD_INFLATION_ZC_MONTHLY = new CouponInflationZeroCouponMonthlyGearingDiscountingMethod();
private static final CouponInflationZeroCouponInterpolationGearingDiscountingMethod
METHOD_INFLATION_ZC_INTERPOLATION =
new CouponInflationZeroCouponInterpolationGearingDiscountingMethod();
private static final PresentValueDiscountingInflationCalculator PVDIC =
PresentValueDiscountingInflationCalculator.getInstance();
private static final NetAmountInflationCalculator NADIC =
NetAmountInflationCalculator.getInstance();
private static final PresentValueDiscountingInflationIssuerCalculator PVDIIC =
PresentValueDiscountingInflationIssuerCalculator.getInstance();
private static final ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator
PS_PV_FDC =
new ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator(
PVDIC, SHIFT_FD);
private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
private static final ParameterSensitivityInflationParameterCalculator<
ParameterInflationProviderInterface>
PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDC);
// Treasury Indexed Bonds CAIN 3% Index-linked Treasury Stock 2025 - AU0000XCLWP8
private static final HolidayCalendar CALENDAR_AUD = HolidayCalendars.SAT_SUN;
private static final BusinessDayConvention BUSINESS_DAY_AUD = BusinessDayConventions.FOLLOWING;
private static final DayCount DAY_COUNT_CAIN = DayCounts.ACT_ACT_ISDA;
private static final boolean IS_EOM_CAIN = false;
private static final ZonedDateTime START_DATE_CAIN = DateUtils.getUTCDate(2009, 9, 30);
private static final ZonedDateTime FIRST_COUPON_DATE_CAIN = DateUtils.getUTCDate(2009, 12, 20);
private static final ZonedDateTime MATURITY_DATE_CAIN = DateUtils.getUTCDate(2025, 12, 20);
private static final YieldConvention YIELD_CONVENTION_CAIN =
YieldConventionFactory.INSTANCE.getYieldConvention("UK:BUMP/DMO METHOD"); // To check
private static final int MONTH_LAG_CAIN = 6;
private static final double INDEX_START_CAIN = 173.60; // November 2001
private static final double NOTIONAL_CAIN = 1.00;
private static final double REAL_RATE_CAIN = 0.03;
private static final Period COUPON_PERIOD_CAIN = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS_CAIN = 2;
// TODO: ex-coupon 7 days
private static final BondCapitalIndexedSecurityDefinition<
CouponInflationZeroCouponMonthlyGearingDefinition>
BOND_SECURITY_CAIN_DEFINITION =
BondCapitalIndexedSecurityDefinition.fromMonthly(
PRICE_INDEX_AUDCPI,
MONTH_LAG_CAIN,
START_DATE_CAIN,
INDEX_START_CAIN,
FIRST_COUPON_DATE_CAIN,
MATURITY_DATE_CAIN,
COUPON_PERIOD_CAIN,
NOTIONAL_CAIN,
REAL_RATE_CAIN,
BUSINESS_DAY_AUD,
SETTLEMENT_DAYS_CAIN,
CALENDAR_AUD,
DAY_COUNT_CAIN,
YIELD_CONVENTION_CAIN,
IS_EOM_CAIN,
ISSUER_AUD_GOVT);
private static final DoubleTimeSeries<ZonedDateTime> AUD_CPI =
MulticurveProviderDiscountDataSets.audCPIFrom2009();
private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_CAIN =
BOND_SECURITY_CAIN_DEFINITION.toDerivative(PRICING_DATE, AUD_CPI);
/** Tests the present value computation. */
public void presentValueCAIN() {
final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount();
marketUKGovt.setCurve(
BOND_SECURITY_CAIN.getCurrency(), MARKET.getCurve(BOND_SECURITY_CAIN.getIssuerEntity()));
marketUKGovt.setCurve(PRICE_INDEX_AUDCPI, MARKET.getCurve(PRICE_INDEX_AUDCPI));
final MultiCurrencyAmount pvNominal =
METHOD_INFLATION_ZC_MONTHLY.presentValue(
(CouponInflationZeroCouponMonthlyGearing)
BOND_SECURITY_CAIN.getNominal().getNthPayment(0),
marketUKGovt);
MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_CAIN.getCurrency(), 0.0);
for (int loopcpn = 0;
loopcpn < BOND_SECURITY_CAIN.getCoupon().getNumberOfPayments();
loopcpn++) {
pvCoupon =
pvCoupon.plus(
BOND_SECURITY_CAIN.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt));
}
final MultiCurrencyAmount pvExpectd = pvNominal.plus(pvCoupon);
final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_CAIN, MARKET);
assertEquals(
"Inflation Capital Indexed bond: present value",
pvExpectd.getAmount(BOND_SECURITY_CAIN.getCurrency()).getAmount(),
pv.getAmount(BOND_SECURITY_CAIN.getCurrency()).getAmount(),
1.0E-2);
}
/** Tests the present value Method vs Calculator. */
public void presentValueMethodVsCalculatorCAIN() {
final MultiCurrencyAmount pvMethod =
METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_CAIN, MARKET);
final MultiCurrencyAmount pvCalculator = BOND_SECURITY_CAIN.accept(PVDIIC, MARKET);
assertEquals("Inflation Capital Indexed bond: present value", pvMethod, pvCalculator);
}
/** Test the present value parameter curves sensitivity. */
public void presentValueParameterCurveSensitivityCAIN() {
final MultipleCurrencyParameterSensitivity pvicsFD =
PS_PV_FDC.calculateSensitivity(
BOND_SECURITY_CAIN.getCoupon(), MARKET.getInflationProvider());
final MultipleCurrencyParameterSensitivity pvicsExact =
PSC.calculateSensitivity(
BOND_SECURITY_CAIN.getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames());
AssertSensitivityObjects.assertEquals(
"Bond capital indexed security: presentValueParameterCurveSensitivity ",
pvicsExact,
pvicsFD,
TOLERANCE_SENSI_DELTA);
}
/** Test the present value curves sensitivity. */
public void presentValueCurveSensitivityCAIN() {
MulticurveProviderInterface multicurveDecorated =
new MulticurveProviderDiscountingDecoratedIssuer(
MARKET.getIssuerProvider(),
BOND_SECURITY_CAIN.getCurrency(),
BOND_SECURITY_CAIN.getIssuerEntity());
InflationProviderInterface creditDiscounting =
new InflationProviderDecoratedMulticurve(
MARKET.getInflationProvider(), multicurveDecorated);
final MultipleCurrencyInflationSensitivity sensitivityNominal =
BOND_SECURITY_CAIN.getNominal().accept(PVCSDC, creditDiscounting);
final MultipleCurrencyInflationSensitivity sensitivityCoupon =
BOND_SECURITY_CAIN.getCoupon().accept(PVCSDC, creditDiscounting);
final MultipleCurrencyInflationSensitivity pvcisCalculated =
sensitivityNominal.plus(sensitivityCoupon);
final MultipleCurrencyInflationSensitivity pvcisMethod =
METHOD_BOND_INFLATION.presentValueCurveSensitivity(BOND_SECURITY_CAIN, MARKET);
AssertSensitivityObjects.assertEquals(
"Bond capital indexed security: presentValueCurveSensitivity ",
pvcisCalculated,
pvcisMethod,
TOLERANCE_PV_DELTA);
}
// Index-Lined Gilt 2% Index-linked Treasury Stock 2035 - GB0031790826
private static final HolidayCalendar CALENDAR_GBP = HolidayCalendars.SAT_SUN;
private static final BusinessDayConvention BUSINESS_DAY_GBP = BusinessDayConventions.FOLLOWING;
private static final DayCount DAY_COUNT_GILT_1 = DayCounts.ACT_ACT_ISDA;
private static final boolean IS_EOM_GILT_1 = false;
private static final ZonedDateTime START_DATE_GILT_1 = DateUtils.getUTCDate(2002, 7, 11);
private static final ZonedDateTime FIRST_COUPON_DATE_GILT_1 = DateUtils.getUTCDate(2003, 1, 26);
private static final ZonedDateTime MATURITY_DATE_GILT_1 = DateUtils.getUTCDate(2035, 1, 26);
private static final YieldConvention YIELD_CONVENTION_GILT_1 = SimpleYieldConvention.UK_IL_BOND;
// YieldConventionFactory.INSTANCE.getYieldConvention("UK:BUMP/DMO METHOD"); // To check
private static final int MONTH_LAG_GILT_1 = 8;
private static final double INDEX_START_GILT_1 = 173.60; // November 2001
private static final double NOTIONAL_GILT_1 = 1.00;
private static final double REAL_RATE_GILT_1 = 0.02;
private static final Period COUPON_PERIOD_GILT_1 = Period.ofMonths(6);
private static final int SETTLEMENT_DAYS_GILT_1 = 2;
// TODO: ex-coupon 7 days
private static final BondCapitalIndexedSecurityDefinition<
CouponInflationZeroCouponMonthlyGearingDefinition>
BOND_SECURITY_GILT_1_DEFINITION =
BondCapitalIndexedSecurityDefinition.fromMonthly(
PRICE_INDEX_UKRPI,
MONTH_LAG_GILT_1,
START_DATE_GILT_1,
INDEX_START_GILT_1,
FIRST_COUPON_DATE_GILT_1,
MATURITY_DATE_GILT_1,
COUPON_PERIOD_GILT_1,
NOTIONAL_GILT_1,
REAL_RATE_GILT_1,
BUSINESS_DAY_GBP,
SETTLEMENT_DAYS_GILT_1,
CALENDAR_GBP,
DAY_COUNT_GILT_1,
YIELD_CONVENTION_GILT_1,
IS_EOM_GILT_1,
ISSUER_UK_GOVT);
private static final DoubleTimeSeries<ZonedDateTime> UK_RPI =
MulticurveProviderDiscountDataSets.ukRpiFrom2010();
private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_GILT_1 =
BOND_SECURITY_GILT_1_DEFINITION.toDerivative(PRICING_DATE, UK_RPI);
/** Tests the present value computation. */
public void presentValueGilt1() {
final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount();
marketUKGovt.setCurve(
BOND_SECURITY_GILT_1.getCurrency(),
MARKET.getCurve(BOND_SECURITY_GILT_1.getIssuerEntity()));
marketUKGovt.setCurve(PRICE_INDEX_UKRPI, MARKET.getCurve(PRICE_INDEX_UKRPI));
final MultiCurrencyAmount pvNominal =
METHOD_INFLATION_ZC_MONTHLY.presentValue(
(CouponInflationZeroCouponMonthlyGearing)
BOND_SECURITY_GILT_1.getNominal().getNthPayment(0),
marketUKGovt);
MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_GILT_1.getCurrency(), 0.0);
for (int loopcpn = 0;
loopcpn < BOND_SECURITY_GILT_1.getCoupon().getNumberOfPayments();
loopcpn++) {
pvCoupon =
pvCoupon.plus(
BOND_SECURITY_GILT_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt));
}
final MultiCurrencyAmount pvExpected = pvNominal.plus(pvCoupon);
final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET);
assertEquals(
"Inflation Capital Indexed bond: present value",
pvExpected.getAmount(BOND_SECURITY_GILT_1.getCurrency()).getAmount(),
pv.getAmount(BOND_SECURITY_GILT_1.getCurrency()).getAmount(),
1.0E-2);
}
/** Tests the present value Method vs Calculator. */
public void presentValueMethodVsCalculator() {
final MultiCurrencyAmount pvMethod =
METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET);
final MultiCurrencyAmount pvCalculator = BOND_SECURITY_GILT_1.accept(PVDIIC, MARKET);
assertEquals("Inflation Capital Indexed bond: present value", pvMethod, pvCalculator);
}
// 2% 10-YEAR TREASURY INFLATION-PROTECTED SECURITIES (TIPS) Due January 15, 2016 - US912828ET33
private static final HolidayCalendar CALENDAR_USD = HolidayCalendars.SAT_SUN;
private static final BusinessDayConvention BUSINESS_DAY_USD = BusinessDayConventions.FOLLOWING;
private static final DayCount DAY_COUNT_TIPS_1 = DayCounts.ACT_ACT_ICMA;
private static final boolean IS_EOM_TIPS_1 = false;
private static final ZonedDateTime START_DATE_TIPS_1 = DateUtils.getUTCDate(2006, 1, 15);
private static final ZonedDateTime MATURITY_DATE_TIPS_1 = DateUtils.getUTCDate(2016, 1, 15);
private static final YieldConvention YIELD_CONVENTION_TIPS_1 = SimpleYieldConvention.US_IL_REAL;
private static final int MONTH_LAG_TIPS_1 = 3;
private static final double INDEX_START_TIPS_1 = 198.47742; // Date:
private static final double NOTIONAL_TIPS_1 = 100.00;
private static final double REAL_RATE_TIPS_1 = 0.02;
private static final Period COUPON_PERIOD_TIPS_1 = Period.ofMonths(6);
private static final int SETTLEMENT_DAYS_TIPS_1 = 1;
private static final BondCapitalIndexedSecurityDefinition<
CouponInflationZeroCouponInterpolationGearingDefinition>
BOND_SECURITY_TIPS_1_DEFINITION =
BondCapitalIndexedSecurityDefinition.fromInterpolation(
PRICE_INDEX_USCPI,
MONTH_LAG_TIPS_1,
START_DATE_TIPS_1,
INDEX_START_TIPS_1,
MATURITY_DATE_TIPS_1,
COUPON_PERIOD_TIPS_1,
NOTIONAL_TIPS_1,
REAL_RATE_TIPS_1,
BUSINESS_DAY_USD,
SETTLEMENT_DAYS_TIPS_1,
CALENDAR_USD,
DAY_COUNT_TIPS_1,
YIELD_CONVENTION_TIPS_1,
IS_EOM_TIPS_1,
ISSUER_US_GOVT);
private static final DoubleTimeSeries<ZonedDateTime> US_CPI =
MulticurveProviderDiscountDataSets.usCpiFrom2009();
private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_TIPS_1 =
BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(PRICING_DATE, US_CPI);
/** 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);
}
/** Tests the present value computation. */
public void presentValueFromCleanPriceRealTips1() {
final double cleanPriceReal = 1.05;
Currency ccy = BOND_SECURITY_TIPS_1.getCurrency();
final MultiCurrencyAmount pv =
METHOD_BOND_INFLATION.presentValueFromCleanRealPrice(
BOND_SECURITY_TIPS_1, MARKET, cleanPriceReal);
MultiCurrencyAmount pvPriceReal =
BOND_SECURITY_TIPS_1.getSettlement().accept(PVDIIC, MARKET).multipliedBy(cleanPriceReal);
MultiCurrencyAmount pvAccrued =
BOND_SECURITY_TIPS_1
.getSettlement()
.accept(PVDIC, MARKET)
.multipliedBy(BOND_SECURITY_TIPS_1.getAccruedInterest());
MultiCurrencyAmount pvExpected = pvPriceReal.plus(pvAccrued);
assertEquals(
"Inflation Capital Indexed bond: present value from clean real price",
pvExpected.getAmount(ccy).getAmount(),
pv.getAmount(ccy).getAmount(),
1.0E-6);
}
/** Tests the present value computation. */
public void presentValueFromCleanPriceNominalTips1() {
final double cleanPriceNominal = 1.05;
Currency ccy = BOND_SECURITY_TIPS_1.getCurrency();
final MultiCurrencyAmount pv =
METHOD_BOND_INFLATION.presentValueFromCleanNominalPrice(
BOND_SECURITY_TIPS_1, MARKET, cleanPriceNominal);
MultiCurrencyAmount pvAccrued =
BOND_SECURITY_TIPS_1
.getSettlement()
.accept(PVDIC, MARKET)
.multipliedBy(BOND_SECURITY_TIPS_1.getAccruedInterest());
double pvPriceNominal =
cleanPriceNominal
* MARKET.getDiscountFactor(ccy, BOND_SECURITY_TIPS_1.getSettlementTime())
* NOTIONAL_TIPS_1;
double pvExpected = pvPriceNominal + pvAccrued.getAmount(ccy).getAmount();
assertEquals(
"Inflation Capital Indexed bond: present value from clean real price",
pvExpected,
pv.getAmount(ccy).getAmount(),
1.0E-6);
}
/** Tests the clean real price from the dirty real price. */
public void cleanNominalPriceFromDirtyNominalPriceTips1() {
final double dirtyNominal = 1.01;
final double cleanReal =
METHOD_BOND_INFLATION.cleanNominalPriceFromDirtyNominalPrice(
BOND_SECURITY_TIPS_1, dirtyNominal);
final double indexRatio = BOND_SECURITY_TIPS_1.getIndexRatio();
final double cleanRealExpected =
dirtyNominal - BOND_SECURITY_TIPS_1.getAccruedInterest() / NOTIONAL_TIPS_1 * indexRatio;
assertEquals(
"Inflation Capital Indexed bond: clean from dirty", cleanRealExpected, cleanReal, 1.0E-8);
}
/** Tests the clean real price from the dirty real price. */
public void cleanRealFromDirtyRealTips1() {
final double dirtyReal = 1.01;
final double cleanReal =
METHOD_BOND_INFLATION.cleanRealPriceFromDirtyRealPrice(BOND_SECURITY_TIPS_1, dirtyReal);
final double cleanRealExpected =
dirtyReal - BOND_SECURITY_TIPS_1.getAccruedInterest() / NOTIONAL_TIPS_1;
assertEquals(
"Inflation Capital Indexed bond: clean from dirty", cleanRealExpected, cleanReal, 1.0E-8);
}
/** Tests the dirty real price computation from the real yield in the "US I/L real" convention. */
public void dirtyRealPriceFromRealYieldTips1() {
final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03};
final int nbCoupon = BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments();
final double[] dirtyRealPrice = new double[yield.length];
final double[] dirtyRealPriceExpected = new double[yield.length];
for (int loopyield = 0; loopyield < yield.length; loopyield++) {
dirtyRealPrice[loopyield] =
METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]);
final double factorOnPeriod = 1 + yield[loopyield] / BOND_SECURITY_TIPS_1.getCouponPerYear();
double pvAtFirstCoupon = 0;
for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
pvAtFirstCoupon +=
((CouponInflationGearing) BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn))
.getFactor()
/ BOND_SECURITY_TIPS_1.getCouponPerYear()
/ Math.pow(factorOnPeriod, loopcpn);
}
pvAtFirstCoupon += 1.0 / Math.pow(factorOnPeriod, nbCoupon - 1);
dirtyRealPriceExpected[loopyield] =
pvAtFirstCoupon
/ (1
+ BOND_SECURITY_TIPS_1.getAccrualFactorToNextCoupon()
* yield[loopyield]
/ BOND_SECURITY_TIPS_1.getCouponPerYear());
assertEquals(
"Inflation Capital Indexed bond: yield " + loopyield,
dirtyRealPriceExpected[loopyield],
dirtyRealPrice[loopyield],
1.0E-8);
}
}
/** Tests the clean real price from the dirty real price. */
public void yieldRealFromDirtyRealTips1() {
final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03};
final double[] dirtyRealPrice = new double[yield.length];
final double[] yieldComputed = new double[yield.length];
for (int loopyield = 0; loopyield < yield.length; loopyield++) {
dirtyRealPrice[loopyield] =
METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]);
yieldComputed[loopyield] =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(
BOND_SECURITY_TIPS_1, dirtyRealPrice[loopyield]);
assertEquals(
"Inflation Capital Indexed bond: yield " + loopyield,
yield[loopyield],
yieldComputed[loopyield],
1.0E-8);
}
}
@Test(enabled = false)
/** Tests the clean, dirty and yield vs external hard-coded values. */
public void priceYieldExternalValues1() {
final double m1 = 1000000; // Notional of the external figures.
final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 16); // Spot 18-Aug-2011
final InflationIssuerProviderDiscount market =
MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
final double cleanRealPrice = 1.00;
final BondCapitalIndexedSecurity<Coupon> bond_110817 =
BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
final double referenceIndexExpected = 225.83129;
final MultiCurrencyAmount netAmountSettle =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
final double referenceIndexComputed =
netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount()
* BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue()
/ bond_110817.getSettlement().getNotional();
assertEquals(
"Inflation Capital Indexed bond: index",
referenceIndexExpected,
referenceIndexComputed,
1.0E-5);
final double indexRatioExpected = 1.13782;
final MultiCurrencyAmount indexRatioCalculated =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
assertEquals(
"Inflation Capital Indexed bond: indexRatio",
indexRatioExpected,
indexRatioCalculated.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount()
/ NOTIONAL_TIPS_1,
1.0E-5);
final double yieldExpected = 1.999644 / 100.0;
final double dirtyRealPriceComputed =
METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
final double yieldComputed =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
final double accruedExpected = 2102.49;
final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
final double accruedReal = bond_110817.getAccruedInterest();
assertEquals(
"Inflation Capital Indexed bond: accrued",
accruedRealExpected,
accruedReal / NOTIONAL_TIPS_1,
1.0E-8);
final double netAmountExpected = 1139922.49; // For 1m; uses the rounding rules.
final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
assertEquals(
"Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
final MultiCurrencyAmount netAmount =
METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
assertEquals(
"Inflation Capital Indexed bond: net amount",
netAmountExpected,
netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1,
2.0E+0); // The difference is due to rounding.
}
@Test(enabled = false)
/** Tests the clean, dirty and yield vs external hard-coded values. */
public void priceYieldExternalValues2() {
final double m1 = 1000000; // Notional of the external figures.
final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 17); // Spot 18-Aug-2011
final InflationIssuerProviderDiscount market =
MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
final double cleanRealPrice = 1.13 + 0.01 / 32;
final BondCapitalIndexedSecurity<Coupon> bond_110817 =
BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
final double referenceIndexExpected = 225.83129;
final MultiCurrencyAmount netAmountSettle =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
final double referenceIndexComputed =
netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount()
* BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue()
/ bond_110817.getSettlement().getNotional();
assertEquals(
"Inflation Capital Indexed bond: index",
referenceIndexExpected,
referenceIndexComputed,
1.0E-5);
final double indexRatioExpected = 1.13782;
assertEquals(
"Inflation Capital Indexed bond: indexRatio",
indexRatioExpected,
referenceIndexComputed / INDEX_START_TIPS_1,
1.0E-5);
final double yieldExpected = -0.892152 / 100.0;
final double dirtyRealPriceComputed =
METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
final double yieldComputed =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
final double accruedExpected = 2102.49;
final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
final double accruedReal = bond_110817.getAccruedInterest();
assertEquals(
"Inflation Capital Indexed bond: accrued",
accruedRealExpected,
accruedReal / NOTIONAL_TIPS_1,
1.0E-8);
final double netAmountExpected = 1288194.66; // For 1m; uses the rounding rules.
final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
assertEquals(
"Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
final MultiCurrencyAmount netAmount =
METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
assertEquals(
"Inflation Capital Indexed bond: net amount",
netAmountExpected,
netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1,
2.0E+0); // The difference is due to rounding.
}
@Test(enabled = false)
/** Tests the clean, dirty and yield vs external hard-coded values. */
public void priceYieldExternalValues3() {
final double m1 = 1000000; // Notional of the external figures.
final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 18); // Spot 19-Aug-2011
final InflationIssuerProviderDiscount market =
MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
final double cleanRealPrice = 1.00;
final BondCapitalIndexedSecurity<Coupon> bond_110817 =
BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
final double referenceIndexExpected = 225.82348;
final MultiCurrencyAmount netAmountSettle =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
final double referenceIndexComputed =
netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount()
* BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue()
/ bond_110817.getSettlement().getNotional();
assertEquals(
"Inflation Capital Indexed bond: index",
referenceIndexExpected,
referenceIndexComputed,
1.0E-5);
final double indexRatioExpected = 1.13778;
final double yieldExpected = 1.999636 / 100.0;
final double dirtyRealPriceComputed =
METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
final double yieldComputed =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
final double accruedExpected = 2164.26;
final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
final double accruedReal = bond_110817.getAccruedInterest();
assertEquals(
"Inflation Capital Indexed bond: accrued",
accruedRealExpected,
accruedReal / NOTIONAL_TIPS_1,
1.0E-8);
final double netAmountExpected = 1139944.26; // For 1m; uses the rounding rules.
final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
assertEquals(
"Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
final MultiCurrencyAmount netAmount =
METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
assertEquals(
"Inflation Capital Indexed bond: net amount",
netAmountExpected,
netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1,
2.0E+0); // The difference is due to rounding.
}
/** Test the present value parameter curves sensitivity. */
public void presentValueParameterCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvicsFD =
PS_PV_FDC.calculateSensitivity(
BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider());
final MultipleCurrencyParameterSensitivity pvicsExact =
PSC.calculateSensitivity(
BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames());
AssertSensitivityObjects.assertEquals(
"Bond capital indexed security: presentValueParameterCurveSensitivity ",
pvicsExact,
pvicsFD,
TOLERANCE_PV_DELTA);
}
/** Test the present value curves sensitivity. */
public void presentValueCurveSensitivity() {
MulticurveProviderInterface multicurveDecorated =
new MulticurveProviderDiscountingDecoratedIssuer(
MARKET.getIssuerProvider(),
BOND_SECURITY_GILT_1.getCurrency(),
BOND_SECURITY_GILT_1.getIssuerEntity());
InflationProviderInterface inflationDecorated =
new InflationProviderDecoratedMulticurve(
MARKET.getInflationProvider(), multicurveDecorated);
final MultipleCurrencyInflationSensitivity sensitivityNominal =
BOND_SECURITY_GILT_1.getNominal().accept(PVCSDC, inflationDecorated);
final MultipleCurrencyInflationSensitivity sensitivityCoupon =
BOND_SECURITY_GILT_1.getCoupon().accept(PVCSDC, inflationDecorated);
final MultipleCurrencyInflationSensitivity pvcisCalculated =
sensitivityNominal.plus(sensitivityCoupon);
final MultipleCurrencyInflationSensitivity pvcisMethod =
METHOD_BOND_INFLATION.presentValueCurveSensitivity(BOND_SECURITY_GILT_1, MARKET);
AssertSensitivityObjects.assertEquals(
"Bond capital indexed security: presentValueCurveSensitivity ",
pvcisCalculated,
pvcisMethod,
TOLERANCE_PV_DELTA);
}
}
/**
* Tests the present value and its sensitivities for zero-coupon cap/floor with reference index on
* the first of the month.
*/
public class CapFloorInflationZeroCouponMonthlyBlackSmileMethodTest {
private static final InflationIssuerProviderDiscount MARKET =
MulticurveProviderDiscountDataSets.createMarket1();
private static final IndexPrice[] PRICE_INDEXES =
MARKET.getPriceIndexes().toArray(new IndexPrice[MARKET.getPriceIndexes().size()]);
private static final IndexPrice PRICE_INDEX_EUR = PRICE_INDEXES[0];
private static final Calendar CALENDAR_EUR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2008, 8, 18);
private static final int MATURITY = 10;
private static final Period COUPON_TENOR = Period.ofYears(MATURITY);
private static final ZonedDateTime PAYMENT_DATE =
ScheduleCalculator.getAdjustedDate(START_DATE, COUPON_TENOR, BUSINESS_DAY, CALENDAR_EUR);
private static final double NOTIONAL = 98765432;
private static final int MONTH_LAG = 3;
private static final double INDEX_1MAY_2008 =
108.23; // 3 m before Aug: May / 1 May index = May index: 108.23
private static final double STRIKE = .02;
private static final boolean IS_CAP = true;
private static final ZonedDateTime LAST_KNOWN_FIXING_DATE = DateUtils.getUTCDate(2008, 7, 01);
private static final double SHIFT_FD = 1.0E-7;
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
private static final InterpolatedDoublesSurface BLACK_SURF =
TestsDataSetsBlack.createBlackSurfaceExpiryStrike();
private static final BlackSmileCapInflationZeroCouponParameters BLACK_PARAM =
new BlackSmileCapInflationZeroCouponParameters(BLACK_SURF, PRICE_INDEX_EUR);
private static final BlackSmileCapInflationZeroCouponProviderDiscount BLACK_INFLATION =
new BlackSmileCapInflationZeroCouponProviderDiscount(
MARKET.getInflationProvider(), BLACK_PARAM);
private static final ZonedDateTime PRICING_DATE = DateUtils.getUTCDate(2011, 8, 3);
private static final CouponInflationZeroCouponMonthlyDefinition ZERO_COUPON_DEFINITION =
CouponInflationZeroCouponMonthlyDefinition.from(
START_DATE,
PAYMENT_DATE,
NOTIONAL,
PRICE_INDEX_EUR,
INDEX_1MAY_2008,
MONTH_LAG,
MONTH_LAG,
false);
private static final CapFloorInflationZeroCouponMonthlyDefinition ZERO_COUPON_DEFINITION_CAP =
CapFloorInflationZeroCouponMonthlyDefinition.from(
ZERO_COUPON_DEFINITION, LAST_KNOWN_FIXING_DATE, MATURITY, STRIKE, IS_CAP);
private static final CapFloorInflationZeroCouponMonthly ZERO_COUPON_CAP =
ZERO_COUPON_DEFINITION_CAP.toDerivative(PRICING_DATE, "not used");
private static final CapFloorInflationZeroCouponMonthlyBlackSmileMethod METHOD =
CapFloorInflationZeroCouponMonthlyBlackSmileMethod.getInstance();
private static final PresentValueBlackSmileInflationZeroCouponCalculator PVIC =
PresentValueBlackSmileInflationZeroCouponCalculator.getInstance();
private static final PresentValueCurveSensitivityBlackSmileInflationZeroCouponCalculator PVCSDC =
PresentValueCurveSensitivityBlackSmileInflationZeroCouponCalculator.getInstance();
private static final ParameterInflationSensitivityParameterCalculator<
BlackSmileCapInflationZeroCouponProviderInterface>
PSC = new ParameterInflationSensitivityParameterCalculator<>(PVCSDC);
private static final ParameterSensitivityBlackSmileZeroCouponCapDiscountInterpolatedFDCalculator
PS_PV_FDC =
new ParameterSensitivityBlackSmileZeroCouponCapDiscountInterpolatedFDCalculator(
PVIC, SHIFT_FD);
/** The Black function used in the pricing. */
private static final BlackPriceFunction BLACK_FUNCTION = new BlackPriceFunction();
@Test
/** Tests the present value. */
public void presentValueNoNotional() {
final MultipleCurrencyAmount pv = METHOD.presentValue(ZERO_COUPON_CAP, BLACK_INFLATION);
final double timeToMaturity =
ZERO_COUPON_CAP.getReferenceEndTime() - ZERO_COUPON_CAP.getLastKnownFixingTime();
final double df =
MARKET
.getCurve(ZERO_COUPON_CAP.getCurrency())
.getDiscountFactor(ZERO_COUPON_CAP.getPaymentTime());
final double finalIndex =
MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_CAP.getReferenceEndTime());
final double forward = finalIndex / INDEX_1MAY_2008;
final EuropeanVanillaOption option =
new EuropeanVanillaOption(
Math.pow(1 + ZERO_COUPON_CAP.getStrike(), ZERO_COUPON_CAP.getMaturity()),
timeToMaturity,
ZERO_COUPON_CAP.isCap());
final double volatility =
BLACK_INFLATION
.getBlackParameters()
.getVolatility(ZERO_COUPON_CAP.getReferenceEndTime(), ZERO_COUPON_CAP.getStrike());
final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
final double pvExpected =
df
* func.evaluate(dataBlack)
* ZERO_COUPON_CAP.getNotional()
* ZERO_COUPON_CAP.getPaymentYearFraction();
assertEquals(
"Zero-coupon inflation DiscountingMethod: Present value",
pvExpected,
pv.getAmount(ZERO_COUPON_CAP.getCurrency()),
TOLERANCE_PV);
}
@Test
/** Tests the present value: Method vs Calculator. */
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD.presentValue(ZERO_COUPON_CAP, BLACK_INFLATION);
final MultipleCurrencyAmount pvCalculator = ZERO_COUPON_CAP.accept(PVIC, BLACK_INFLATION);
assertEquals("Zero-coupon inflation DiscountingMethod: Present value", pvMethod, pvCalculator);
}
@Test
/** Test the present value curves sensitivity. */
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvicsFD =
PS_PV_FDC.calculateSensitivity(ZERO_COUPON_CAP, BLACK_INFLATION);
final MultipleCurrencyParameterSensitivity pvicsExact =
PSC.calculateSensitivity(ZERO_COUPON_CAP, BLACK_INFLATION, MARKET.getAllNames());
AssertSensivityObjects.assertEquals(
"Zero-coupon inflation DiscountingMethod: presentValueCurveSensitivity ",
pvicsExact,
pvicsFD,
TOLERANCE_PV_DELTA);
}
@Test
public void presentValueMarketSensitivityMethodVsCalculator() {
final MultipleCurrencyInflationSensitivity pvcisMethod =
METHOD.presentValueCurveSensitivity(ZERO_COUPON_CAP, BLACK_INFLATION);
final MultipleCurrencyInflationSensitivity pvcisCalculator =
ZERO_COUPON_CAP.accept(PVCSDC, BLACK_INFLATION);
AssertSensivityObjects.assertEquals(
"Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity",
pvcisMethod,
pvcisCalculator,
TOLERANCE_PV_DELTA);
}
}
