@Test
public void toDerivativesStartMonthKnown() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 6, 25);
final DoubleTimeSeries<ZonedDateTime> priceIndexTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2017, 5, 1),
DateUtils.getUTCDate(2017, 6, 1),
DateUtils.getUTCDate(2018, 5, 1),
DateUtils.getUTCDate(2018, 6, 1)
},
new double[] {127.23, 127.43, 128.23, 128.43});
Coupon zeroCouponConverted =
YoY_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS, CURVE_NAMES);
double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
CouponFixed zeroCoupon =
new CouponFixed(
CUR,
paymentTime,
DISCOUNTING_CURVE_NAME,
1.0,
NOTIONAL,
(WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43)
/ (WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43)
- 1.0);
assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
}
public class BondIborTransactionDefinitionTest {
// Quarterly Libor6m 2Y
private static final Currency CUR = Currency.USD;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final boolean IS_EOM = false;
private static final Period IBOR_TENOR = Period.ofMonths(3);
private static final DayCount IBOR_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
private static final int IBOR_SPOT_LAG = 2;
private static final BusinessDayConvention IBOR_BUSINESS_DAY =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IBOR_IS_EOM = false;
private static final IborIndex IBOR_INDEX =
new IborIndex(
CUR, IBOR_TENOR, IBOR_SPOT_LAG, CALENDAR, IBOR_DAY_COUNT, IBOR_BUSINESS_DAY, IBOR_IS_EOM);
private static final Period BOND_TENOR = Period.ofYears(2);
private static final int SETTLEMENT_DAYS = 3; // Standard for euro-bonds.
private static final ZonedDateTime START_ACCRUAL_DATE = DateUtils.getUTCDate(2011, 7, 13);
private static final ZonedDateTime MATURITY_DATE = START_ACCRUAL_DATE.plus(BOND_TENOR);
private static final BondIborSecurityDefinition BOND_DESCRIPTION =
BondIborSecurityDefinition.from(
MATURITY_DATE,
START_ACCRUAL_DATE,
IBOR_INDEX,
SETTLEMENT_DAYS,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM);
// Transaction
private static final double PRICE = 0.90;
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 8, 18);
private static final double QUANTITY = 100000000; // 100m
private static final BondIborTransactionDefinition BOND_TRANSACTION =
new BondIborTransactionDefinition(BOND_DESCRIPTION, QUANTITY, SETTLEMENT_DATE, PRICE);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullUnderlying() {
new BondIborTransactionDefinition(null, QUANTITY, SETTLEMENT_DATE, PRICE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullSettle() {
new BondIborTransactionDefinition(BOND_DESCRIPTION, QUANTITY, null, PRICE);
}
@Test
public void testGetters() {
assertEquals(PRICE, BOND_TRANSACTION.getPrice());
assertEquals(QUANTITY, BOND_TRANSACTION.getQuantity());
assertEquals(SETTLEMENT_DATE, BOND_TRANSACTION.getSettlementDate());
assertEquals(BOND_DESCRIPTION, BOND_TRANSACTION.getUnderlyingBond());
assertEquals(DateUtils.getUTCDate(2011, 7, 13), BOND_TRANSACTION.getPreviousAccrualDate());
assertEquals(DateUtils.getUTCDate(2011, 10, 13), BOND_TRANSACTION.getNextAccrualDate());
}
}
@Test
public void testGetters() {
assertEquals(PRICE, BOND_TRANSACTION.getPrice());
assertEquals(QUANTITY, BOND_TRANSACTION.getQuantity());
assertEquals(SETTLEMENT_DATE, BOND_TRANSACTION.getSettlementDate());
assertEquals(BOND_DESCRIPTION, BOND_TRANSACTION.getUnderlyingBond());
assertEquals(DateUtils.getUTCDate(2011, 7, 13), BOND_TRANSACTION.getPreviousAccrualDate());
assertEquals(DateUtils.getUTCDate(2011, 10, 13), BOND_TRANSACTION.getNextAccrualDate());
}
/** Tests related to the discounting method for bond security. */
public class BondSecurityFRDiscountingMethodTest {
// Calculators
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
private static final BondSecurityDiscountingMethod METHOD =
BondSecurityDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-8;
private static final String REPO_TYPE = "General collateral";
private static final Currency EUR = Currency.EUR;
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final DayCount DAY_COUNT_ACTACTICMA =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ICMA");
private static final BusinessDayConvention BUSINESS_DAY_FOL =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final boolean IS_EOM_FIXED = false;
// To derivatives
private static final DayCount ACT_ACT =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final String CREDIT_CURVE_NAME = "Credit";
private static final String REPO_CURVE_NAME = "Repo";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES_NAME = {
CREDIT_CURVE_NAME, REPO_CURVE_NAME, FORWARD_CURVE_NAME
};
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurvesBond1();
// FRTR 4 1/2 04/25/41 - ISIN: FR0010773192
private static final String ISSUER_FR = "FRANCE (GOVT OF)";
private static final YieldConvention YIELD_CONVENTION_FRANCE =
SimpleYieldConvention.FRANCE_COMPOUND_METHOD;
private static final int SETTLEMENT_DAYS_FR = 3;
private static final Period PAYMENT_TENOR_FR = Period.ofMonths(12);
// private static final int COUPON_PER_YEAR_FR = 1;
private static final ZonedDateTime BOND_START_FR = DateUtils.getUTCDate(2009, 4, 25);
private static final ZonedDateTime BOND_MATURITY_FR = DateUtils.getUTCDate(2041, 4, 25);
private static final ZonedDateTime BOND_FIRSTCPN_FR = DateUtils.getUTCDate(2010, 4, 25);
private static final double RATE_FR = 0.0450;
private static final BondFixedSecurityDefinition BOND_FR_SECURITY_DEFINITION =
BondFixedSecurityDefinition.from(
EUR,
BOND_START_FR,
BOND_FIRSTCPN_FR,
BOND_MATURITY_FR,
PAYMENT_TENOR_FR,
RATE_FR,
SETTLEMENT_DAYS_FR,
TARGET,
DAY_COUNT_ACTACTICMA,
BUSINESS_DAY_FOL,
YIELD_CONVENTION_FRANCE,
IS_EOM_FIXED,
ISSUER_FR);
}
@Test
/** Tests the toDerivative method. */
public void toDerivativeFixingOnStartNotYetFixed() {
final ZonedDateTime referenceDate = SPOT_DATE;
final DoubleTimeSeries<ZonedDateTime> fixingTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8)
},
new double[] {0.01, 0.01});
final Payment cpnConverted =
ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
final double paymentTime =
EUR_DAY_COUNT.getDayCountFraction(referenceDate, EUR_PAYMENT_DATE, EUR_CALENDAR);
final double[] FIXING_PERIOD_START_TIMES =
new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
final double[] FIXING_PERIOD_END_TIMES =
new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
final double[] FIXING_PERIOD_ACCRUAL_FACTOR =
new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
final double[] FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT =
new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
for (int i = 0; i < ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1; i++) {
FIXING_PERIOD_START_TIMES[i] =
EUR_DAY_COUNT.getDayCountFraction(
referenceDate,
ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i],
EUR_CALENDAR);
FIXING_PERIOD_END_TIMES[i] =
EUR_DAY_COUNT.getDayCountFraction(
referenceDate,
ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
EUR_CALENDAR);
FIXING_PERIOD_ACCRUAL_FACTOR[i] =
EUR_DAY_COUNT.getDayCountFraction(
ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i],
ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
EUR_CALENDAR);
FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] =
TimeCalculator.getTimeBetween(
ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i],
ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
}
final CouponONCompounded cpnExpected =
new CouponONCompounded(
EUR_CUR,
paymentTime,
EUR_PAYMENT_YEAR_FRACTION,
NOTIONAL,
EUR_OIS,
FIXING_PERIOD_START_TIMES,
FIXING_PERIOD_END_TIMES,
FIXING_PERIOD_ACCRUAL_FACTOR,
NOTIONAL);
assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
}
@Test
public void toDerivativesStartMonthNotknown() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
final DoubleTimeSeries<ZonedDateTime> priceIndexTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2017, 5, 1),
DateUtils.getUTCDate(2017, 6, 1),
DateUtils.getUTCDate(2018, 5, 1),
DateUtils.getUTCDate(2018, 6, 1)
},
new double[] {127.23, 127.43, 128.23, 128.43});
Coupon yearOnYearCouponConverted =
YoY_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS, CURVE_NAMES);
double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime0 =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
final double referenceEndTime0 =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
final double referenceStartTime1 =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[1]);
final double referenceEndTime1 =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[1]);
final double naturalPaymentStartPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final double[] referenceStartTime = new double[2];
final double[] referenceEndTime = new double[2];
referenceStartTime[0] = referenceStartTime0;
referenceStartTime[1] = referenceStartTime1;
referenceEndTime[0] = referenceEndTime0;
referenceEndTime[1] = referenceEndTime1;
CouponInflationYearOnYearInterpolation yearOnYearCoupon =
new CouponInflationYearOnYearInterpolation(
CUR,
paymentTime,
1.0,
NOTIONAL,
PRICE_INDEX,
referenceStartTime,
naturalPaymentStartPaymentTime,
referenceEndTime,
naturalPaymentEndPaymentTime,
false,
WEIGHT_START,
WEIGHT_END);
assertEquals(
"Inflation zero-coupon: toDerivative", yearOnYearCoupon, yearOnYearCouponConverted);
}
@Test
public void toDerivativesNoData() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate);
// lastKnownFixingTime could be negatif so we don't use the dayfraction
final double lastKnownFixingTime =
TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
final double naturalPaymentStartPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final CapFloorInflationYearOnYearMonthly zeroCoupon =
new CapFloorInflationYearOnYearMonthly(
CUR,
paymentTime,
1.0,
NOTIONAL,
PRICE_INDEX,
lastKnownFixingTime,
referenceStartTime,
naturalPaymentStartPaymentTime,
referenceEndTime,
naturalPaymentEndPaymentTime,
STRIKE,
IS_CAP);
assertEquals("Inflation zero-coupon: toDerivative", zeroCouponConverted, zeroCoupon);
}
@Test
public void testStartAndEndSame2() {
final ZonedDateTime date = DateUtils.getUTCDate(2000, 1, 1);
final ZonedDateTime[] dates = CALCULATOR.getSchedule(date, date);
assertEquals(dates.length, 1);
assertEquals(dates[0], date);
}
@Test
public void test2() {
ZonedDateTime startDate = DateUtils.getUTCDate(2000, 1, 1);
ZonedDateTime endDate = DateUtils.getUTCDate(2000, 12, 30);
ZonedDateTime[] forward = CALCULATOR.getSchedule(startDate, endDate, false, true);
assertEquals(forward.length, 1);
assertEquals(forward[0], startDate);
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, true));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, false, false));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, false));
startDate = DateUtils.getUTCDate(2000, 1, 2);
endDate = DateUtils.getUTCDate(2000, 12, 30);
forward = CALCULATOR.getSchedule(startDate, endDate, false, true);
assertEquals(forward.length, 0);
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, true));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, false, false));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, false));
startDate = DateUtils.getUTCDate(2002, 2, 2);
endDate = DateUtils.getUTCDate(2003, 2, 9);
forward = CALCULATOR.getSchedule(startDate, endDate, false, true);
assertEquals(forward.length, 1);
assertEquals(forward[0], DateUtils.getUTCDate(2003, 1, 1));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, true));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, false, false));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, false));
startDate = DateUtils.getUTCDate(2000, 1, 1);
endDate = DateUtils.getUTCDate(2010, 2, 9);
final int months = 11;
forward = CALCULATOR.getSchedule(startDate, endDate, false, true);
assertEquals(forward.length, months);
assertEquals(forward[0], startDate);
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, true));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, false, false));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, false));
final ZonedDateTime lastDate = DateUtils.getUTCDate(2010, 1, 1);
assertEquals(forward[months - 1], lastDate);
for (int i = 1; i < months; i++) {
if (forward[i].getYear() == forward[i - 1].getYear()) {
assertEquals(forward[i].getYear() - forward[i - 1].getYear(), 1);
assertEquals(forward[i].getMonthOfYear().getValue(), 1);
assertEquals(forward[i].getDayOfMonth(), 1);
}
}
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, true));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, false, false));
assertArrayEquals(forward, CALCULATOR.getSchedule(startDate, endDate, true, false));
}
/** Test. */
@Test(groups = TestGroup.UNIT)
public class ForwardStartOptionModelTest {
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
private static final double R = 0.08;
private static final YieldCurve CURVE = YieldCurve.from(ConstantDoublesCurve.from(R));
private static final VolatilitySurface SURFACE =
new VolatilitySurface(ConstantDoublesSurface.from(0.3));
private static final double B = 0.04;
private static final double SPOT = 60;
private static final double PERCENT = 0.1;
private static final ZonedDateTime START = DateUtils.getDateOffsetWithYearFraction(DATE, 0.25);
private static final ZonedDateTime EXPIRY = DateUtils.getDateOffsetWithYearFraction(DATE, 1);
private static final StandardOptionDataBundle DATA =
new StandardOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE);
private static final ForwardStartOptionDefinition FORWARD =
new ForwardStartOptionDefinition(
new Expiry(EXPIRY), true, new Expiry(START), PERCENT, Moneyness.OTM);
private static final ForwardStartOptionDefinition NOW =
new ForwardStartOptionDefinition(
new Expiry(EXPIRY), true, new Expiry(DATE), PERCENT, Moneyness.OTM);
private static final ForwardStartOptionDefinition END =
new ForwardStartOptionDefinition(
new Expiry(EXPIRY), true, new Expiry(EXPIRY), PERCENT, Moneyness.OTM);
private static final EuropeanVanillaOptionDefinition VANILLA =
new EuropeanVanillaOptionDefinition(SPOT * (1 + PERCENT), new Expiry(EXPIRY), true);
private static final AnalyticOptionModel<ForwardStartOptionDefinition, StandardOptionDataBundle>
MODEL = new ForwardStartOptionModel();
private static final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> BSM =
new BlackScholesMertonModel();
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getPricingFunction(FORWARD).evaluate((StandardOptionDataBundle) null);
}
@Test
public void test() {
assertEquals(MODEL.getPricingFunction(END).evaluate(DATA), 0, 0);
assertEquals(
MODEL
.getPricingFunction(FORWARD)
.evaluate(
DATA.withVolatilitySurface(
new VolatilitySurface(ConstantDoublesSurface.from(1e-9)))),
0,
0);
assertEquals(
MODEL.getPricingFunction(NOW).evaluate(DATA),
BSM.getPricingFunction(VANILLA).evaluate(DATA),
1e-4);
assertEquals(MODEL.getPricingFunction(FORWARD).evaluate(DATA), 4.4064, 1e-4);
}
}
/** Test. */
@Test(groups = TestGroup.UNIT)
public class BlackOptionDataBundleTest {
private static final double R = 0.05;
private static final YieldAndDiscountCurve CURVE = YieldCurve.from(ConstantDoublesCurve.from(R));
private static final VolatilitySurface SURFACE =
new VolatilitySurface(ConstantDoublesSurface.from(0.35));
private static final double F = 100;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 5, 1);
private static final BlackOptionDataBundle DATA =
new BlackOptionDataBundle(F, CURVE, SURFACE, DATE);
@Test
public void test() {
assertEquals(DATA.getDate(), DATE);
assertEquals(DATA.getForward(), F, 0);
assertEquals(DATA.getVolatilitySurface(), SURFACE);
assertEquals(DATA.getInterestRateCurve(), CURVE);
final double t = Math.random();
assertEquals(DATA.getDiscountFactor(t), Math.exp(-R * t), 0);
BlackOptionDataBundle other = new BlackOptionDataBundle(F, CURVE, SURFACE, DATE);
assertEquals(other, DATA);
assertEquals(other.hashCode(), DATA.hashCode());
other = new BlackOptionDataBundle(DATA);
assertEquals(other, DATA);
assertEquals(other.hashCode(), DATA.hashCode());
other = new BlackOptionDataBundle(F + 1, CURVE, SURFACE, DATE);
assertFalse(other.equals(DATA));
other =
new BlackOptionDataBundle(
F, YieldCurve.from(ConstantDoublesCurve.from(0.06)), SURFACE, DATE);
assertFalse(other.equals(DATA));
other =
new BlackOptionDataBundle(
F, CURVE, new VolatilitySurface(ConstantDoublesSurface.from(0.6)), DATE);
assertFalse(other.equals(DATA));
other = new BlackOptionDataBundle(F, CURVE, SURFACE, DATE.plusDays(1));
assertFalse(other.equals(DATA));
}
@Test
public void testBuilders() {
final ZonedDateTime newDate = DATE.plusDays(1);
assertEquals(DATA.withDate(newDate), new BlackOptionDataBundle(F, CURVE, SURFACE, newDate));
final double newForward = F + 1;
assertEquals(
DATA.withForward(newForward), new BlackOptionDataBundle(newForward, CURVE, SURFACE, DATE));
final YieldCurve newCurve = YieldCurve.from(ConstantDoublesCurve.from(0.05));
assertEquals(
DATA.withInterestRateCurve(newCurve),
new BlackOptionDataBundle(F, newCurve, SURFACE, DATE));
final VolatilitySurface newSurface = new VolatilitySurface(ConstantDoublesSurface.from(0.9));
assertEquals(
DATA.withVolatilitySurface(newSurface),
new BlackOptionDataBundle(F, CURVE, newSurface, DATE));
}
}
@Override
public BondIborSecurity toDerivative(final ZonedDateTime date) {
ArgumentChecker.notNull(date, "date");
final ZonedDateTime spot =
ScheduleCalculator.getAdjustedDate(date, getSettlementDays(), getCalendar());
return toDerivative(
date,
ImmutableZonedDateTimeDoubleTimeSeries.of(DateUtils.getUTCDate(1800, 1, 1), 0.0),
spot);
}
@Test
public void toDerivativesStartMonthNotknown() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
final DoubleTimeSeries<ZonedDateTime> priceIndexTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2017, 5, 1),
DateUtils.getUTCDate(2017, 6, 1),
DateUtils.getUTCDate(2018, 5, 1),
DateUtils.getUTCDate(2018, 6, 1)
},
new double[] {127.23, 127.43, 128.23, 128.43});
final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
// lastKnownFixingTime could be negatif so we don't use the dayfraction
final double lastKnownFixingTime =
TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
final double naturalPaymentStartPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final CapFloorInflationYearOnYearMonthly zeroCoupon =
new CapFloorInflationYearOnYearMonthly(
CUR,
paymentTime,
1.0,
NOTIONAL,
PRICE_INDEX,
lastKnownFixingTime,
referenceStartTime,
naturalPaymentStartPaymentTime,
referenceEndTime,
naturalPaymentEndPaymentTime,
STRIKE,
IS_CAP);
assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
}
public class ProductOptionModelTest {
private static final double S1 = 100;
private static final double S2 = 105;
private static final YieldAndDiscountCurve R = new YieldCurve(ConstantDoublesCurve.from(0.07));
private static final double B1 = 0.02;
private static final double B2 = 0.05;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
private static final ProductOptionModel MODEL = new ProductOptionModel();
private static final Expiry EXPIRY1 =
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.1));
private static final Expiry EXPIRY2 =
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.5));
private static final double EPS = 1e-4;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL
.getPricingFunction(new ProductOptionDefinition(0.1, EXPIRY1, true))
.evaluate((StandardTwoAssetOptionDataBundle) null);
}
@Test
public void test() {
ProductOptionDefinition option = new ProductOptionDefinition(15000, EXPIRY1, true);
StandardTwoAssetOptionDataBundle data =
new StandardTwoAssetOptionDataBundle(
R,
B1,
B2,
new VolatilitySurface(ConstantDoublesSurface.from(0.2)),
new VolatilitySurface(ConstantDoublesSurface.from(0.3)),
S1,
S2,
-0.5,
DATE);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.0028, EPS);
data =
data.withFirstVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.3)))
.withCorrelation(0);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.4026, EPS);
option = new ProductOptionDefinition(15000, EXPIRY2, true);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 266.1594, EPS);
}
}
public class FXVannaVolgaVolatilityCurveDataBundleTest {
private static final double DELTA = 0.1;
private static final double RR = 0.01;
private static final double ATM = 0.2;
private static final double VWB = 0.05;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
private static final FXVannaVolgaVolatilityCurveDataBundle DATA =
new FXVannaVolgaVolatilityCurveDataBundle(DELTA, RR, ATM, VWB, DATE);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullMaturity() {
new FXVannaVolgaVolatilityCurveDataBundle(DELTA, RR, ATM, VWB, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeATMVol() {
new FXVannaVolgaVolatilityCurveDataBundle(DELTA, RR, -ATM, VWB, DATE);
}
@Test
public void testGetters() {
assertEquals(ATM, DATA.getAtTheMoney(), 0);
assertEquals(DELTA, DATA.getDelta(), 0);
assertEquals(DATE, DATA.getMaturity());
assertEquals(RR, DATA.getRiskReversal(), 0);
assertEquals(VWB, DATA.getVegaWeightedButterfly(), 0);
}
@Test
public void testEqualsAndHashCode() {
FXVannaVolgaVolatilityCurveDataBundle other =
new FXVannaVolgaVolatilityCurveDataBundle(DELTA, RR, ATM, VWB, DATE);
assertEquals(DATA, other);
assertEquals(DATA.hashCode(), other.hashCode());
other = new FXVannaVolgaVolatilityCurveDataBundle(-DELTA, RR, ATM, VWB, DATE);
assertFalse(other.equals(DATA));
other = new FXVannaVolgaVolatilityCurveDataBundle(DELTA, -RR, ATM, VWB, DATE);
assertFalse(other.equals(DATA));
other = new FXVannaVolgaVolatilityCurveDataBundle(DELTA, RR, ATM + 1, VWB, DATE);
assertFalse(other.equals(DATA));
other = new FXVannaVolgaVolatilityCurveDataBundle(DELTA, RR, ATM, -VWB, DATE);
assertFalse(other.equals(DATA));
other =
new FXVannaVolgaVolatilityCurveDataBundle(
DELTA, RR, ATM, VWB, DateUtils.getDateOffsetWithYearFraction(DATE, 1));
assertFalse(other.equals(DATA));
}
}
@Test
public void test() {
GapOptionDefinition other = new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE);
assertEquals(other, CALL);
assertEquals(other.hashCode(), CALL.hashCode());
other = new GapOptionDefinition(STRIKE + 1, EXPIRY, true, PAYOFF_STRIKE);
assertFalse(other.equals(CALL));
other =
new GapOptionDefinition(
STRIKE, new Expiry(DateUtils.getUTCDate(2010, 3, 1)), true, PAYOFF_STRIKE);
assertFalse(other.equals(CALL));
other = new GapOptionDefinition(STRIKE, EXPIRY, false, PAYOFF_STRIKE);
assertFalse(other.equals(CALL));
other = new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE + 1);
assertFalse(other.equals(CALL));
}
@Test
/** Tests the toDerivative method. */
public void toDerivativeFixingLast() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 16);
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(referenceDate, fixingTS);
final double paymentTime =
EUR_DAY_COUNT.getDayCountFraction(referenceDate, EUR_PAYMENT_DATE, 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. */
@Test(groups = TestGroup.UNIT)
public class LogOptionModelTest {
private static final AnalyticOptionModel<LogOptionDefinition, StandardOptionDataBundle> MODEL =
new LogOptionModel();
private static final Set<Greek> REQUIRED_GREEKS = Collections.singleton(Greek.FAIR_PRICE);
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2009, 1, 1);
private static final Expiry EXPIRY =
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.75));
private static final YieldAndDiscountCurve CURVE =
YieldCurve.from(ConstantDoublesCurve.from(0.08));
private static final double B = 0.04;
private static final double SPOT = 100;
private static final double EPS = 1e-4;
@Test
public void test() {
LogOptionDefinition definition = getDefinition(70);
assertPriceEquals(definition, 0.2, 0.3510);
assertPriceEquals(definition, 0.3, 0.3422);
assertPriceEquals(definition, 0.4, 0.3379);
assertPriceEquals(definition, 0.5, 0.3365);
assertPriceEquals(definition, 0.6, 0.3362);
definition = getDefinition(130);
assertPriceEquals(definition, 0.2, 0.0056);
assertPriceEquals(definition, 0.3, 0.0195);
assertPriceEquals(definition, 0.4, 0.0363);
assertPriceEquals(definition, 0.5, 0.0532);
assertPriceEquals(definition, 0.6, 0.0691);
}
private void assertPriceEquals(
final LogOptionDefinition definition, final double sigma, final double price) {
final StandardOptionDataBundle bundle = getBundle(sigma);
final GreekResultCollection actual = MODEL.getGreeks(definition, bundle, REQUIRED_GREEKS);
assertEquals(actual.get(Greek.FAIR_PRICE), price, EPS);
}
private StandardOptionDataBundle getBundle(final double sigma) {
return new StandardOptionDataBundle(
CURVE, B, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), SPOT, DATE);
}
private LogOptionDefinition getDefinition(final double strike) {
return new LogOptionDefinition(strike, EXPIRY);
}
}
public class RelativeOutperformanceOptionModelTest {
private static final double S1 = 130;
private static final double S2 = 100;
private static final YieldAndDiscountCurve R = YieldCurve.from(ConstantDoublesCurve.from(0.07));
private static final double B1 = 0.05;
private static final double B2 = 0.03;
private static final VolatilitySurface SIGMA1 =
new VolatilitySurface(ConstantDoublesSurface.from(0.3));
private static final VolatilitySurface SIGMA2 =
new VolatilitySurface(ConstantDoublesSurface.from(0.4));
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
private static final RelativeOutperformanceOptionModel MODEL =
new RelativeOutperformanceOptionModel();
private static final Expiry EXPIRY =
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.25));
private static final double EPS = 1e-4;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL
.getPricingFunction(new RelativeOutperformanceOptionDefinition(0.1, EXPIRY, true))
.evaluate((StandardTwoAssetOptionDataBundle) null);
}
@Test
public void test() {
RelativeOutperformanceOptionDefinition option =
new RelativeOutperformanceOptionDefinition(0.1, EXPIRY, true);
StandardTwoAssetOptionDataBundle data =
new StandardTwoAssetOptionDataBundle(R, B1, B2, SIGMA1, SIGMA2, S1, S2, -0.5, DATE);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 1.2582, EPS);
option = new RelativeOutperformanceOptionDefinition(0.5, EXPIRY, true);
data = data.withCorrelation(0);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.8449, EPS);
option = new RelativeOutperformanceOptionDefinition(1, EXPIRY, true);
data = data.withCorrelation(0.5);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.3382, EPS);
}
}
static {
final int n = NO_STUB1.length;
SHORT_START_STUB1 = Arrays.copyOf(NO_STUB1, n);
LONG_START_STUB1 = Arrays.copyOf(NO_STUB1, n);
SHORT_END_STUB1 = Arrays.copyOf(NO_STUB1, n);
LONG_END_STUB1 = Arrays.copyOf(NO_STUB1, n);
SHORT_START_STUB3 = Arrays.copyOf(NO_STUB3, n);
LONG_START_STUB3 = Arrays.copyOf(NO_STUB3, n);
SHORT_END_STUB3 = Arrays.copyOf(NO_STUB3, n);
LONG_END_STUB3 = Arrays.copyOf(NO_STUB3, n);
SHORT_START_STUB1[0] = DateUtils.getUTCDate(2008, 1, 30);
LONG_START_STUB1[0] = DateUtils.getUTCDate(2007, 12, 1);
SHORT_END_STUB1[n - 1] = DateUtils.getUTCDate(2011, 9, 4);
LONG_END_STUB1[n - 1] = DateUtils.getUTCDate(2011, 11, 3);
SHORT_START_STUB3[0] = DateUtils.getUTCDate(2008, 2, 27);
LONG_START_STUB3[0] = DateUtils.getUTCDate(2008, 1, 27);
SHORT_END_STUB3[n - 1] = DateUtils.getUTCDate(2011, 9, 4);
LONG_END_STUB3[n - 1] = DateUtils.getUTCDate(2011, 11, 4);
NO_STUB2 = new LocalDate[n];
SHORT_START_STUB2 = new LocalDate[n];
LONG_START_STUB2 = new LocalDate[n];
SHORT_END_STUB2 = new LocalDate[n];
LONG_END_STUB2 = new LocalDate[n];
NO_STUB4 = new LocalDate[n];
SHORT_START_STUB4 = new LocalDate[n];
LONG_START_STUB4 = new LocalDate[n];
SHORT_END_STUB4 = new LocalDate[n];
LONG_END_STUB4 = new LocalDate[n];
for (int i = 0; i < n; i++) {
NO_STUB2[i] = NO_STUB1[i].toLocalDate();
SHORT_START_STUB4[i] = SHORT_START_STUB3[i].toLocalDate();
LONG_START_STUB4[i] = LONG_START_STUB3[i].toLocalDate();
SHORT_END_STUB4[i] = SHORT_END_STUB3[i].toLocalDate();
LONG_END_STUB4[i] = LONG_END_STUB3[i].toLocalDate();
NO_STUB4[i] = NO_STUB3[i].toLocalDate();
SHORT_START_STUB2[i] = SHORT_START_STUB1[i].toLocalDate();
LONG_START_STUB2[i] = LONG_START_STUB1[i].toLocalDate();
SHORT_END_STUB2[i] = SHORT_END_STUB1[i].toLocalDate();
LONG_END_STUB2[i] = LONG_END_STUB1[i].toLocalDate();
}
}
@Test(expectedExceptions = IllegalArgumentException.class)
/** Tests the toDerivative method: after payment date */
public void toDerivativeAfterPayment() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 20);
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
});
ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
}
@Test
/** Tests toDerivative. */
public void toDerivativeBetweenSettleMaturity() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
final double startTime = 0;
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositZero expected =
new DepositZero(
EUR,
startTime,
endTime,
0.0,
NOTIONAL,
DEPOSIT_AF,
RATE,
DEPOSIT_DEFINITION.getInterestAmount());
assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
}
@SuppressWarnings("deprecation")
@Test
/** Tests toDerivative. */
public void toDerivativeBetweenTradeAndSettleDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositZero expected =
new DepositZero(
EUR,
startTime,
endTime,
NOTIONAL,
NOTIONAL,
DEPOSIT_AF,
RATE,
DEPOSIT_DEFINITION.getInterestAmount(),
CURVE_NAME);
assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
}
@Test
public void toDerivativesNoData() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
Coupon yearOnYearCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate, CURVE_NAMES);
double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime0 =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
final double referenceEndTime0 =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
final double referenceStartTime1 =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[1]);
final double referenceEndTime1 =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[1]);
final double naturalPaymentStartPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final double[] referenceStartTime = new double[2];
final double[] referenceEndTime = new double[2];
referenceStartTime[0] = referenceStartTime0;
referenceStartTime[1] = referenceStartTime1;
referenceEndTime[0] = referenceEndTime0;
referenceEndTime[1] = referenceEndTime1;
CouponInflationYearOnYearInterpolation yearOnYearCoupon =
new CouponInflationYearOnYearInterpolation(
CUR,
paymentTime,
1.0,
NOTIONAL,
PRICE_INDEX,
referenceStartTime,
naturalPaymentStartPaymentTime,
referenceEndTime,
naturalPaymentEndPaymentTime,
false,
WEIGHT_START,
WEIGHT_END);
assertEquals(
"Inflation year on year coupon: toDerivative", yearOnYearCouponConverted, yearOnYearCoupon);
}
@Test
public void priceAfterFixing() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
final ZonedDateTime[] dateFixing =
new ZonedDateTime[] {
DateUtils.getUTCDate(2012, 3, 1),
DateUtils.getUTCDate(2012, 3, 2),
DateUtils.getUTCDate(2012, 3, 5),
DateUtils.getUTCDate(2012, 3, 6),
DateUtils.getUTCDate(2012, 3, 7)
};
final double[] rateFixing = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
final DoubleTimeSeries<ZonedDateTime> fixingTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(dateFixing, rateFixing);
final FederalFundsFutureSecurity futureSecurity =
FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAMES);
double interest = futureSecurity.getAccruedInterest();
final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
final double[] ratePeriod = new double[futureSecurity.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0;
loopfix < futureSecurity.getFixingPeriodAccrualFactor().length;
loopfix++) {
ratePeriod[loopfix] =
(oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(
futureSecurity.getFixingPeriodTime()[loopfix + 1])
- 1.0)
/ futureSecurity.getFixingPeriodAccrualFactor()[loopfix];
interest +=
(oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix + 1])
- 1.0);
}
final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(futureSecurity, CURVES);
assertEquals(
"Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
public class FloatingStrikeLookbackOptionDefinitionTest {
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 6, 1);
private static final Expiry EXPIRY = new Expiry(DATE);
private static final FloatingStrikeLookbackOptionDefinition CALL =
new FloatingStrikeLookbackOptionDefinition(EXPIRY, true);
private static final FloatingStrikeLookbackOptionDefinition PUT =
new FloatingStrikeLookbackOptionDefinition(EXPIRY, false);
private static final double SPOT = 100;
private static final double DIFF = 10;
private static final DoubleTimeSeries<?> HIGH_TS =
new FastArrayIntDoubleTimeSeries(
DateTimeNumericEncoding.DATE_DDMMYYYY,
new int[] {20100529, 20100530, 20100531},
new double[] {SPOT, SPOT + DIFF, SPOT});
private static final DoubleTimeSeries<?> LOW_TS =
new FastArrayIntDoubleTimeSeries(
DateTimeNumericEncoding.DATE_DDMMYYYY,
new int[] {20100529, 20100530, 20100531},
new double[] {SPOT, SPOT - DIFF, SPOT});
private static final StandardOptionWithSpotTimeSeriesDataBundle HIGH_DATA =
new StandardOptionWithSpotTimeSeriesDataBundle(
new YieldCurve(ConstantDoublesCurve.from(0.1)),
0.05,
new VolatilitySurface(ConstantDoublesSurface.from(0.2)),
SPOT,
DateUtils.getUTCDate(2010, 6, 1),
HIGH_TS);
private static final StandardOptionWithSpotTimeSeriesDataBundle LOW_DATA =
new StandardOptionWithSpotTimeSeriesDataBundle(
new YieldCurve(ConstantDoublesCurve.from(0.1)),
0.05,
new VolatilitySurface(ConstantDoublesSurface.from(0.2)),
SPOT,
DateUtils.getUTCDate(2010, 6, 1),
LOW_TS);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDataBundle() {
CALL.getPayoffFunction().getPayoff(null, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTS() {
CALL.getPayoffFunction().getPayoff(HIGH_DATA.withSpotTimeSeries(null), null);
}
@Test
public void testExercise() {
assertFalse(CALL.getExerciseFunction().shouldExercise(HIGH_DATA, null));
assertFalse(CALL.getExerciseFunction().shouldExercise(LOW_DATA, null));
assertFalse(PUT.getExerciseFunction().shouldExercise(HIGH_DATA, null));
assertFalse(PUT.getExerciseFunction().shouldExercise(LOW_DATA, null));
}
@Test
public void testPayoff() {
final double eps = 1e-15;
OptionPayoffFunction<StandardOptionWithSpotTimeSeriesDataBundle> payoff =
CALL.getPayoffFunction();
assertEquals(payoff.getPayoff(LOW_DATA, 0.), DIFF, eps);
assertEquals(payoff.getPayoff(HIGH_DATA, 0.), 0, eps);
payoff = PUT.getPayoffFunction();
assertEquals(payoff.getPayoff(LOW_DATA, 0.), 0, eps);
assertEquals(payoff.getPayoff(HIGH_DATA, 0.), DIFF, eps);
}
@Test
public void testEqualsAndHashCode() {
final OptionDefinition call1 = new FloatingStrikeLookbackOptionDefinition(EXPIRY, true);
final OptionDefinition put1 = new FloatingStrikeLookbackOptionDefinition(EXPIRY, false);
final OptionDefinition call2 =
new FloatingStrikeLookbackOptionDefinition(
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 3)), true);
final OptionDefinition put2 =
new FloatingStrikeLookbackOptionDefinition(
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 3)), false);
assertFalse(CALL.equals(PUT));
assertEquals(call1, CALL);
assertEquals(put1, PUT);
assertEquals(call1.hashCode(), CALL.hashCode());
assertEquals(put1.hashCode(), PUT.hashCode());
assertFalse(call2.equals(CALL));
assertFalse(put2.equals(PUT));
}
}
public class AsymmetricPowerOptionModelTest {
private static final double B = 0.02;
private static final double SPOT = 10;
private static final double STRIKE = 100;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2009, 1, 1);
private static final Expiry EXPIRY =
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.5));
private static final YieldAndDiscountCurve CURVE =
new YieldCurve(ConstantDoublesCurve.from(0.08));
private static final VolatilitySurface SURFACE =
new VolatilitySurface(ConstantDoublesSurface.from(0.1));
private static final StandardOptionDataBundle BUNDLE =
new StandardOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE);
private static final AnalyticOptionModel<
AsymmetricPowerOptionDefinition, StandardOptionDataBundle>
MODEL = new AsymmetricPowerOptionModel();
private static final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> BS_MODEL =
new BlackScholesMertonModel();
private static final Set<Greek> REQUIRED_GREEKS = Collections.singleton(Greek.FAIR_PRICE);
private static final double EPS = 1e-4;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL
.getPricingFunction(new AsymmetricPowerOptionDefinition(STRIKE, EXPIRY, 1, true))
.evaluate((StandardOptionDataBundle) null);
}
@Test
public void test() {
assertEquals(getPrice(1.9, true), 0.3102, EPS);
assertEquals(getPrice(1.95, true), 1.9320, EPS);
assertEquals(getPrice(2., true), 6.7862, EPS);
assertEquals(getPrice(2.05, true), 15.8587, EPS);
assertEquals(getPrice(2.1, true), 28.4341, EPS);
assertEquals(getPrice(1.9, false), 18.2738, EPS);
assertEquals(getPrice(1.95, false), 10.2890, EPS);
assertEquals(getPrice(2., false), 4.3539, EPS);
assertEquals(getPrice(2.05, false), 1.3089, EPS);
assertEquals(getPrice(2.1, false), 0.2745, EPS);
for (int i = 0; i < 5; i++) {
final double power = 1.9 + 0.05 * i;
assertEquals(getPrice(power, true), getBSPrice(power, true), EPS);
assertEquals(getPrice(power, false), getBSPrice(power, false), EPS);
}
}
private double getPrice(final double power, final boolean isCall) {
return MODEL
.getGreeks(getDefinition(power, isCall), BUNDLE, REQUIRED_GREEKS)
.get(Greek.FAIR_PRICE);
}
private double getBSPrice(final double power, final boolean isCall) {
final StandardOptionDataBundle bsBundle = getModifiedDataBundle(BUNDLE, power);
return BS_MODEL
.getGreeks(getDefinition(power, isCall), bsBundle, REQUIRED_GREEKS)
.get(Greek.FAIR_PRICE);
}
private AsymmetricPowerOptionDefinition getDefinition(final double power, final boolean isCall) {
return new AsymmetricPowerOptionDefinition(STRIKE, EXPIRY, power, isCall);
}
private StandardOptionDataBundle getModifiedDataBundle(
final StandardOptionDataBundle data, final double p) {
final double t = DateUtils.getDifferenceInYears(DATE, EXPIRY);
final double spot = Math.pow(data.getSpot(), p);
double sigma = data.getVolatility(t, STRIKE);
final double b = p * (data.getCostOfCarry() + (p - 1) * sigma * sigma * 0.5);
sigma *= p;
return new StandardOptionDataBundle(
CURVE, b, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), spot, DATE);
}
}
/**
* Tests related to the pricing of CMS coupons with Hull-White (extended Vasicek) model and
* different numerical methods.
*/
public class CouponCMSHullWhiteMethodsTest {
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER =
GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor GENERATOR_EUR1YEURIBOR6M =
GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", TARGET);
private static final Period TENOR_SWAP = Period.ofYears(10);
private static final IndexSwap SWAP_EUR10Y = new IndexSwap(GENERATOR_EUR1YEURIBOR6M, TENOR_SWAP);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 17);
// Coupon CMS: 6m fixing in advance (payment in arrears); ACT/360
private static final Period TENOR_COUPON = Period.ofMonths(6);
private static final Period TENOR_FIXING = Period.ofMonths(60);
private static final DayCount ACT360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final ZonedDateTime FIXING_DATE =
ScheduleCalculator.getAdjustedDate(
REFERENCE_DATE,
TENOR_FIXING,
GENERATOR_EUR1YEURIBOR6M.getBusinessDayConvention(),
TARGET,
GENERATOR_EUR1YEURIBOR6M.isEndOfMonth());
private static final ZonedDateTime START_DATE =
ScheduleCalculator.getAdjustedDate(
FIXING_DATE, GENERATOR_EUR1YEURIBOR6M.getSpotLag(), TARGET);
private static final ZonedDateTime PAYMENT_DATE =
ScheduleCalculator.getAdjustedDate(
START_DATE,
TENOR_COUPON,
GENERATOR_EUR1YEURIBOR6M.getBusinessDayConvention(),
TARGET,
GENERATOR_EUR1YEURIBOR6M.isEndOfMonth());
private static final double NOTIONAL = 100000000; // 100m
private static final double ACCRUAL_FACTOR = ACT360.getDayCountFraction(START_DATE, PAYMENT_DATE);
private static final CouponCMSDefinition CPN_CMS_DEFINITION =
CouponCMSDefinition.from(
PAYMENT_DATE, START_DATE, PAYMENT_DATE, ACCRUAL_FACTOR, NOTIONAL, SWAP_EUR10Y);
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurves2();
private static final String[] CURVE_NAMES = TestsDataSetsSABR.curves2Names();
private static final HullWhiteOneFactorPiecewiseConstantParameters PARAMETERS_HW =
TestsDataSetHullWhite.createHullWhiteParameters();
private static final HullWhiteOneFactorPiecewiseConstantDataBundle BUNDLE_HW =
new HullWhiteOneFactorPiecewiseConstantDataBundle(PARAMETERS_HW, CURVES);
private static final CouponCMS CPN_CMS =
(CouponCMS)
CPN_CMS_DEFINITION.toDerivative(
REFERENCE_DATE, new String[] {CURVE_NAMES[0], CURVE_NAMES[2]});
private static final CouponCMSHullWhiteNumericalIntegrationMethod METHOD_NI =
CouponCMSHullWhiteNumericalIntegrationMethod.getInstance();
private static final CouponCMSHullWhiteApproximationMethod METHOD_APP =
CouponCMSHullWhiteApproximationMethod.getInstance();
private static final CouponCMSDiscountingMethod METHOD_DSC =
CouponCMSDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-2;
private static final double TOLERANCE_PRICE_APP = 5.0E+0;
@Test
public void presentValueNumericalIntegration() {
CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
double pvPrevious = 1124760.482; // From previous run
assertEquals(
"Coupon CMS - Hull-White - present value - numerical integration",
pvPrevious,
pvNumericalIntegration.getAmount(),
TOLERANCE_PRICE);
// Comparison with non-adjusted figures: to have the right order of magnitude
CurrencyAmount pvDiscounting = METHOD_DSC.presentValue(CPN_CMS, BUNDLE_HW);
assertEquals(
"Coupon CMS - Hull-White - present value - numerical integration",
1.0,
pvDiscounting.getAmount() / pvNumericalIntegration.getAmount(),
0.20);
}
@Test
public void presentValueApproximation() {
CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
CurrencyAmount pvApproximation = METHOD_APP.presentValue(CPN_CMS, BUNDLE_HW);
assertEquals(
"Coupon CMS - Hull-White - present value - approximation",
pvApproximation.getAmount(),
pvNumericalIntegration.getAmount(),
TOLERANCE_PRICE_APP);
}
}
public class FederalFundsFutureSecurityDiscountingMethodTest {
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 30);
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final IndexON INDEX_FEDFUND = IndexONMaster.getInstance().getIndex("FED FUND");
private static final ZonedDateTime MARCH_1 = DateUtils.getUTCDate(2012, 3, 1);
private static final FederalFundsFutureSecurityDefinition FUTURE_SECURITY_DEFINITION =
FederalFundsFutureSecurityDefinition.fromFedFund(MARCH_1, INDEX_FEDFUND, NYC);
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurves2();
private static final String[] CURVE_NAMES = TestsDataSetsSABR.curves2Names();
private static final FederalFundsFutureSecurity FUTURE_SECURITY =
FUTURE_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE, CURVE_NAMES);
private static final FederalFundsFutureSecurityDiscountingMethod METHOD_SECURITY =
FederalFundsFutureSecurityDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-6;
@Test
public void priceBeforeFixing() {
double interest = 0.0;
final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
final double[] ratePeriod =
new double[FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0;
loopfix < FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length;
loopfix++) {
ratePeriod[loopfix] =
(oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(
FUTURE_SECURITY.getFixingPeriodTime()[loopfix + 1])
- 1.0)
/ FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor()[loopfix];
interest +=
(oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix + 1])
- 1.0);
}
final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(FUTURE_SECURITY, CURVES);
assertEquals(
"Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
@Test
public void priceAfterFixing() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
final ZonedDateTime[] dateFixing =
new ZonedDateTime[] {
DateUtils.getUTCDate(2012, 3, 1),
DateUtils.getUTCDate(2012, 3, 2),
DateUtils.getUTCDate(2012, 3, 5),
DateUtils.getUTCDate(2012, 3, 6),
DateUtils.getUTCDate(2012, 3, 7)
};
final double[] rateFixing = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
final DoubleTimeSeries<ZonedDateTime> fixingTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(dateFixing, rateFixing);
final FederalFundsFutureSecurity futureSecurity =
FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAMES);
double interest = futureSecurity.getAccruedInterest();
final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
final double[] ratePeriod = new double[futureSecurity.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0;
loopfix < futureSecurity.getFixingPeriodAccrualFactor().length;
loopfix++) {
ratePeriod[loopfix] =
(oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(
futureSecurity.getFixingPeriodTime()[loopfix + 1])
- 1.0)
/ futureSecurity.getFixingPeriodAccrualFactor()[loopfix];
interest +=
(oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix + 1])
- 1.0);
}
final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(futureSecurity, CURVES);
assertEquals(
"Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
}
/** Tests on the construction of interest rate future option with up-front payment. */
public class InterestRateFutureOptionMarginSecurityTest {
// EURIBOR 3M Index
private static final Period TENOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT_INDEX =
DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Currency CUR = Currency.EUR;
private static final IborIndex IBOR_INDEX =
new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM);
// 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, -SETTLEMENT_DAYS, CALENDAR);
private static final double NOTIONAL = 1000000.0; // 1m
private static final double FUTURE_FACTOR = 0.25;
private static final String NAME = "EDU2";
private static final double STRIKE = 0.9850;
private static final InterestRateFutureSecurityDefinition EDU2_DEFINITION =
new InterestRateFutureSecurityDefinition(
LAST_TRADING_DATE, IBOR_INDEX, NOTIONAL, FUTURE_FACTOR, NAME, CALENDAR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
private static final String DISCOUNTING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES = {DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME};
private static final InterestRateFutureSecurity EDU2 =
EDU2_DEFINITION.toDerivative(REFERENCE_DATE, CURVES);
// Option
private static final ZonedDateTime EXPIRATION_DATE = DateUtils.getUTCDate(2011, 9, 16);
private static final DayCount ACT_ACT =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final double EXPIRATION_TIME =
ACT_ACT.getDayCountFraction(REFERENCE_DATE, EXPIRATION_DATE);
private static final boolean IS_CALL = true;
private static final InterestRateFutureOptionPremiumSecurity OPTION_EDU2 =
new InterestRateFutureOptionPremiumSecurity(EDU2, EXPIRATION_TIME, STRIKE, IS_CALL);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullUnderlying() {
new InterestRateFutureOptionPremiumSecurity(null, EXPIRATION_TIME, STRIKE, IS_CALL);
}
@Test
public void getter() {
assertEquals(EDU2, OPTION_EDU2.getUnderlyingFuture());
assertEquals(EXPIRATION_TIME, OPTION_EDU2.getExpirationTime());
assertEquals(STRIKE, OPTION_EDU2.getStrike());
assertEquals(IS_CALL, OPTION_EDU2.isCall());
assertEquals(DISCOUNTING_CURVE_NAME, OPTION_EDU2.getDiscountingCurveName());
assertEquals(FORWARD_CURVE_NAME, OPTION_EDU2.getForwardCurveName());
}
@Test
/** Tests the equal and hash code methods. */
public void equalHash() {
final InterestRateFutureOptionPremiumSecurity newOption =
new InterestRateFutureOptionPremiumSecurity(EDU2, EXPIRATION_TIME, STRIKE, IS_CALL);
assertTrue(OPTION_EDU2.equals(newOption));
assertEquals(OPTION_EDU2.hashCode(), newOption.hashCode());
InterestRateFutureOptionPremiumSecurity modifiedOption;
modifiedOption =
new InterestRateFutureOptionPremiumSecurity(EDU2, EXPIRATION_TIME - 0.01, STRIKE, IS_CALL);
assertFalse(OPTION_EDU2.equals(modifiedOption));
modifiedOption =
new InterestRateFutureOptionPremiumSecurity(EDU2, EXPIRATION_TIME, STRIKE + 0.01, IS_CALL);
assertFalse(OPTION_EDU2.equals(modifiedOption));
modifiedOption =
new InterestRateFutureOptionPremiumSecurity(EDU2, EXPIRATION_TIME, STRIKE, !IS_CALL);
assertFalse(OPTION_EDU2.equals(modifiedOption));
}
}
