@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 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);
}
}
