public virtual void test_trade_noMarketData()
{
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY);
MarketData marketData = MarketData.empty(VAL_DATE);
assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException));
}
//-------------------------------------------------------------------------
public virtual void test_trade()
{
CdsIndexIsdaCreditCurveNode node = CdsIndexIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES, 0.01);
double rate = 0.0125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
CdsIndexCalibrationTrade trade = node.trade(quantity, marketData, REF_DATA);
CdsTrade cdsTrade = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, 0.01, REF_DATA);
CdsIndex cdsIndex = CdsIndex.of(SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.Convention.Currency, -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.Convention.SettlementDateOffset.Calendar, 0.01);
CdsIndex cdsIndexMod = cdsIndex.toBuilder().paymentSchedule(cdsIndex.PaymentSchedule.toBuilder().rollConvention(RollConventions.DAY_20).startDateBusinessDayAdjustment(cdsIndex.PaymentSchedule.BusinessDayAdjustment).build()).build();
CdsIndexTrade expected = CdsIndexTrade.builder().product(cdsIndexMod).info(cdsTrade.Info).build();
assertEquals(trade.UnderlyingTrade, expected);
assertEquals(trade.Quote, CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, rate));
CdsIndexIsdaCreditCurveNode node1 = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES);
CdsTrade cdsTrade1 = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, rate, REF_DATA);
CdsIndexCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA);
CdsIndex cdsIndex1 = CdsIndex.of(SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.Convention.Currency, -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.Convention.SettlementDateOffset.Calendar, rate);
CdsIndex cdsIndexMod1 = cdsIndex1.toBuilder().paymentSchedule(cdsIndex.PaymentSchedule.toBuilder().rollConvention(RollConventions.DAY_20).startDateBusinessDayAdjustment(cdsIndex1.PaymentSchedule.BusinessDayAdjustment).build()).build();
CdsIndexTrade expected1 = CdsIndexTrade.builder().product(cdsIndexMod1).info(cdsTrade1.Info).build();
assertEquals(trade1.UnderlyingTrade, expected1);
assertEquals(trade1.Quote, CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, rate));
}
public virtual void test_ofMatrix_source()
{
FxRateLookup test = FxRateLookup.ofMatrix(FxMatrixId.of(OBS_SOURCE));
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(FxMatrixId.of(OBS_SOURCE), FxMatrix.of(GBP, USD, 1.5d)).build();
assertEquals(test.fxRateProvider(marketData).fxRate(GBP, USD), 1.5d);
}
public virtual void test_ofRates_currency_source()
{
FxRateLookup test = FxRateLookup.ofRates(EUR, OBS_SOURCE);
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(FxRateId.of(GBP, USD, OBS_SOURCE), FxRate.of(GBP, USD, 1.5d)).build();
assertEquals(test.fxRateProvider(marketData).fxRate(GBP, USD), 1.5d);
}
//-------------------------------------------------------------------------
public virtual void calculate()
{
ImmutableList <CalculationTarget> targets = ImmutableList.of(TARGET);
Column column1 = Column.of(TestingMeasures.PRESENT_VALUE);
Column column2 = Column.of(TestingMeasures.BUCKETED_PV01);
ImmutableList <Column> columns = ImmutableList.of(column1, column2);
CalculationRules rules = CalculationRules.of(CalculationFunctions.empty());
MarketData md = MarketData.empty(date(2016, 6, 30));
ScenarioMarketData smd = ScenarioMarketData.empty();
// use of try-with-resources checks class is AutoCloseable
using (CalculationRunner test = CalculationRunner.of(MoreExecutors.newDirectExecutorService()))
{
assertThat(test.calculate(rules, targets, columns, md, REF_DATA).get(0, 0).Failure).True;
assertThat(test.calculateMultiScenario(rules, targets, columns, smd, REF_DATA).get(0, 0).Failure).True;
}
}
//-------------------------------------------------------------------------
public virtual void test_trade()
{
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01);
double rate = 0.0125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
CdsCalibrationTrade trade = node.trade(quantity, marketData, REF_DATA);
CdsTrade expected = TEMPLATE.createTrade(LEGAL_ENTITY, VAL_DATE, SELL, -quantity, 0.01, REF_DATA);
assertEquals(trade.UnderlyingTrade, expected);
assertEquals(trade.Quote, CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, rate));
CdsIsdaCreditCurveNode node1 = CdsIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY);
CdsTrade expected1 = TEMPLATE.createTrade(LEGAL_ENTITY, VAL_DATE, SELL, -quantity, rate, REF_DATA);
CdsCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA);
assertEquals(trade1.UnderlyingTrade, expected1);
assertEquals(trade1.Quote, CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, rate));
}
public virtual void test_bondDiscountingProvider()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_B, GROUP_REPO_X);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves);
LocalDate valDate = date(2015, 6, 30);
Curve repoCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD1.CurveName, ACT_360), 1d);
Curve issuerCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD3.CurveName, ACT_360), 2d);
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.of(CURVE_ID_USD1, repoCurve, CURVE_ID_USD3, issuerCurve));
LegalEntityDiscountingProvider provider = test.discountingProvider(md);
assertEquals(provider.ValuationDate, valDate);
assertEquals(provider.findData(CURVE_ID_USD1.CurveName), repoCurve);
assertEquals(provider.findData(CURVE_ID_USD3.CurveName), issuerCurve);
assertEquals(provider.findData(CurveName.of("Rubbish")), null);
// check repo
RepoCurveDiscountFactors rcdf = provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, USD);
SimpleDiscountFactors rdf = (SimpleDiscountFactors)rcdf.DiscountFactors;
assertEquals(rdf.Curve.Name, repoCurve.Name);
assertEquals(rcdf, provider.repoCurveDiscountFactors(SEC_B1, ISSUER_B, USD));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_C1, ISSUER_C, USD));
// check issuer
IssuerCurveDiscountFactors icdf = provider.issuerCurveDiscountFactors(ISSUER_A, USD);
SimpleDiscountFactors idf = (SimpleDiscountFactors)icdf.DiscountFactors;
assertEquals(idf.Curve.Name, issuerCurve.Name);
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_C, USD));
}
//-------------------------------------------------------------------------
// present value for one scenario
private static CurrencyAmount calculatePresentValue(Security security, double quantity, MarketData marketData)
{
QuoteId id = QuoteId.of(security.SecurityId.StandardId);
double price = marketData.getValue(id);
return(security.Info.PriceInfo.calculateMonetaryAmount(quantity, price));
}
