/** Test forecast value sensitivity for AFMA FRA discounting method. */
public void test_forecastValueSensitivity_AFMA() {
ExpandedFra fraExp = FRA_AFMA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
PointSensitivities sensitivity = test.forecastValueSensitivity(fraExp, prov);
double eps = 1.e-7;
double fdSense = forecastValueFwdSensitivity(FRA_AFMA, FORWARD_RATE, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.getSensitivities();
assertEquals(sensitivities.size(), 1);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.getIndex(), FRA_AFMA.getIndex());
assertEquals(sensitivity0.getFixingDate(), FRA_AFMA.getStartDate());
assertEquals(sensitivity0.getSensitivity(), fdSense, FRA_AFMA.getNotional() * eps);
}
/** Test present value sensitivity for ISDA */
public void test_presentValueSensitivity_ISDA() {
RateObservationFn<RateObservation> mockObs = mock(RateObservationFn.class);
DiscountFactors mockDf = mock(DiscountFactors.class);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(VAL_DATE, mockDf);
ExpandedFra fraExp = FRA.expand();
double forwardRate = 0.05;
double discountRate = 0.015;
double paymentTime = 0.3;
double discountFactor = Math.exp(-discountRate * paymentTime);
LocalDate fixingDate = FRA.getStartDate();
PointSensitivityBuilder sens = IborRateSensitivity.of(FRA.getIndex(), fixingDate, 1d);
when(mockDf.discountFactor(fraExp.getPaymentDate())).thenReturn(discountFactor);
when(mockDf.zeroRatePointSensitivity(fraExp.getPaymentDate()))
.thenReturn(
ZeroRateSensitivity.of(
fraExp.getCurrency(), fraExp.getPaymentDate(), -discountFactor * paymentTime));
when(mockObs.rateSensitivity(
fraExp.getFloatingRate(), fraExp.getStartDate(), fraExp.getEndDate(), simpleProv))
.thenReturn(sens);
when(mockObs.rate(fraExp.getFloatingRate(), FRA.getStartDate(), FRA.getEndDate(), simpleProv))
.thenReturn(forwardRate);
DiscountingFraProductPricer test = new DiscountingFraProductPricer(mockObs);
PointSensitivities sensitivity = test.presentValueSensitivity(fraExp, simpleProv);
double eps = 1.e-7;
double fdDscSense = dscSensitivity(FRA, forwardRate, discountFactor, paymentTime, eps);
double fdSense = presentValueFwdSensitivity(FRA, forwardRate, discountFactor, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.getSensitivities();
assertEquals(sensitivities.size(), 2);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.getIndex(), FRA.getIndex());
assertEquals(sensitivity0.getFixingDate(), fixingDate);
assertEquals(sensitivity0.getSensitivity(), fdSense, FRA.getNotional() * eps);
ZeroRateSensitivity sensitivity1 = (ZeroRateSensitivity) sensitivities.get(1);
assertEquals(sensitivity1.getCurrency(), FRA.getCurrency());
assertEquals(sensitivity1.getDate(), fraExp.getPaymentDate());
assertEquals(sensitivity1.getSensitivity(), fdDscSense, FRA.getNotional() * eps);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(
testTrade.presentValueSensitivity(FRA_TRADE, simpleProv),
test.presentValueSensitivity(fraExp, simpleProv));
}
// -------------------------------------------------------------------------
// creates a simple provider
private SimpleRatesProvider createProvider(ExpandedFra fraExp) {
DiscountFactors mockDf = mock(DiscountFactors.class);
IborIndexRates mockIbor = mock(IborIndexRates.class);
SimpleRatesProvider prov = new SimpleRatesProvider(VAL_DATE, mockDf);
prov.setIborRates(mockIbor);
IborRateObservation obs = (IborRateObservation) fraExp.getFloatingRate();
IborRateSensitivity sens = IborRateSensitivity.of(obs.getIndex(), obs.getFixingDate(), 1d);
when(mockIbor.ratePointSensitivity(obs.getFixingDate())).thenReturn(sens);
when(mockIbor.rate(obs.getFixingDate())).thenReturn(FORWARD_RATE);
when(mockDf.discountFactor(fraExp.getPaymentDate())).thenReturn(DISCOUNT_FACTOR);
return prov;
}
