//-------------------------------------------------------------------------
public virtual void test_rate()
{
ImmutableRatesProvider prov = createProvider(RATE_START, RATE_END);
InflationMonthlyRateComputation ro = InflationMonthlyRateComputation.of(GB_RPIX, REFERENCE_START_MONTH, REFERENCE_END_MONTH);
ForwardInflationMonthlyRateComputationFn obsFn = ForwardInflationMonthlyRateComputationFn.DEFAULT;
double rateExpected = RATE_END / RATE_START - 1.0;
assertEquals(obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov), rateExpected, EPS);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov, builder), rateExpected, EPS);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 2);
ExplainMap explain0 = built.get(ExplainKey.OBSERVATIONS).get().get(0);
assertEquals(explain0.get(ExplainKey.FIXING_DATE), REFERENCE_START_MONTH.atEndOfMonth());
assertEquals(explain0.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain0.get(ExplainKey.INDEX_VALUE), RATE_START);
ExplainMap explain1 = built.get(ExplainKey.OBSERVATIONS).get().get(1);
assertEquals(explain1.get(ExplainKey.FIXING_DATE), REFERENCE_END_MONTH.atEndOfMonth());
assertEquals(explain1.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain1.get(ExplainKey.INDEX_VALUE), RATE_END);
assertEquals(built.get(ExplainKey.COMBINED_RATE).Value.doubleValue(), rateExpected, EPS);
}
//-------------------------------------------------------------------------
public virtual void test_rate()
{
ImmutableRatesProvider prov = createProvider(RATE_END, RATE_END_INTERP);
InflationEndInterpolatedRateComputation ro = InflationEndInterpolatedRateComputation.of(GB_RPIX, START_INDEX_VALUE, REF_END_MONTH, WEIGHT);
ForwardInflationEndInterpolatedRateComputationFn obsFn = ForwardInflationEndInterpolatedRateComputationFn.DEFAULT;
// rate
double rateExpected = (WEIGHT * RATE_END + (1.0 - WEIGHT) * RATE_END_INTERP) / START_INDEX_VALUE - 1;
assertEquals(obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov), rateExpected, EPS);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov, builder), rateExpected, EPS);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 2);
ExplainMap explain0 = built.get(ExplainKey.OBSERVATIONS).get().get(0);
assertEquals(explain0.get(ExplainKey.FIXING_DATE), REF_END_MONTH.atEndOfMonth());
assertEquals(explain0.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain0.get(ExplainKey.INDEX_VALUE), RATE_END);
assertEquals(explain0.get(ExplainKey.WEIGHT), WEIGHT);
ExplainMap explain1 = built.get(ExplainKey.OBSERVATIONS).get().get(1);
assertEquals(explain1.get(ExplainKey.FIXING_DATE), REF_END_MONTH_INTERP.atEndOfMonth());
assertEquals(explain1.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain1.get(ExplainKey.INDEX_VALUE), RATE_END_INTERP);
assertEquals(explain1.get(ExplainKey.WEIGHT), (1d - WEIGHT));
assertEquals(built.get(ExplainKey.COMBINED_RATE).Value.doubleValue(), rateExpected, EPS);
}
public virtual void test_rate()
{
SimpleRatesProvider prov = new SimpleRatesProvider();
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE);
IborIndexRates mockIbor = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
prov.IborRates = mockIbor;
ForwardIborRateComputationFn obsFn = ForwardIborRateComputationFn.DEFAULT;
assertEquals(obsFn.rate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov), RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov, builder), RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 1);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_START_DATE), FORWARD_START_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_END_DATE), FORWARD_END_DATE);
assertEquals(built.get(ExplainKey.COMBINED_RATE), RATE);
}
public virtual void test_pvExplain()
{
ExplainMap explain1 = PRODUCT_PRICER.explainPresentValue(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
assertEquals(explain1.get(ExplainKey.ENTRY_TYPE).get(), "CmsSwap");
assertEquals(explain1.get(ExplainKey.LEGS).get().size(), 1);
ExplainMap explain2 = PRODUCT_PRICER.explainPresentValue(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
assertEquals(explain2.get(ExplainKey.ENTRY_TYPE).get(), "CmsSwap");
assertEquals(explain2.get(ExplainKey.LEGS).get().size(), 2);
ExplainMap explainCms = CMS_LEG_PRICER.explainPresentValue(CMS_LEG, RATES_PROVIDER, VOLATILITIES);
ExplainMap explainOther = SWAP_LEG_PRICER.explainPresentValue(CMS_TWO_LEGS.PayLeg.get(), RATES_PROVIDER);
assertEquals(explain2.get(ExplainKey.LEGS).get().get(0), explainCms);
assertEquals(explain2.get(ExplainKey.LEGS).get().get(1), explainOther);
}
public virtual void test_explainPresentValueWithZSpread_past()
{
ExplainMapBuilder builder = ExplainMap.builder();
PRICER.explainPresentValueWithZSpread(PERIOD_INTERP, IRP_AFTER_PAY, ICDF_AFTER_PAY, builder, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
ExplainMap explain = builder.build();
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "CapitalIndexedBondPaymentPeriod");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), PERIOD_INTERP.PaymentDate);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), PERIOD_INTERP.Currency);
assertEquals(explain.get(ExplainKey.START_DATE).get(), START);
assertEquals(explain.get(ExplainKey.UNADJUSTED_START_DATE).get(), START_UNADJ);
assertEquals(explain.get(ExplainKey.END_DATE).get(), END);
assertEquals(explain.get(ExplainKey.UNADJUSTED_END_DATE).get(), END_UNADJ);
assertEquals(explain.get(ExplainKey.DAYS).Value.intValue(), (int)DAYS.between(START_UNADJ, END_UNADJ));
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Amount, 0d, NOTIONAL * TOL);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Amount, 0d, NOTIONAL * TOL);
}
public virtual void test_explainPresentValue_provider_ended()
{
ExplainMap explain = PRICER.explainPresentValue(TRADE_PAST, PROVIDER);
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "Payment");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), PAYMENT_DATE_PAST);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), USD);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Currency, USD);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Amount, 0, TOL);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Currency, USD);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Amount, 0, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_explainPresentValue_provider()
{
CurrencyAmount fvExpected = AMOUNT;
CurrencyAmount pvExpected = PRICER.presentValue(TRADE, PROVIDER);
ExplainMap explain = PRICER.explainPresentValue(TRADE, PROVIDER);
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "Payment");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), PAYMENT_DATE);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), USD);
assertEquals(explain.get(ExplainKey.DISCOUNT_FACTOR).Value, DF, TOL);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Currency, USD);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Amount, fvExpected.Amount, TOL);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Currency, USD);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Amount, pvExpected.Amount, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_explainPresentValue()
{
ExplainMapBuilder builder = ExplainMap.builder();
PRICER.explainPresentValue(PERIOD_INTERP, IRP_BEFORE_START, ICDF_BEFORE_START, builder);
ExplainMap explain = builder.build();
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "CapitalIndexedBondPaymentPeriod");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), PERIOD_INTERP.PaymentDate);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), PERIOD_INTERP.Currency);
assertEquals(explain.get(ExplainKey.START_DATE).get(), START);
assertEquals(explain.get(ExplainKey.UNADJUSTED_START_DATE).get(), START_UNADJ);
assertEquals(explain.get(ExplainKey.END_DATE).get(), END);
assertEquals(explain.get(ExplainKey.UNADJUSTED_END_DATE).get(), END_UNADJ);
assertEquals(explain.get(ExplainKey.DAYS).Value.intValue(), (int)DAYS.between(START_UNADJ, END_UNADJ));
assertEquals(explain.get(ExplainKey.DISCOUNT_FACTOR).Value, ICDF_BEFORE_START.discountFactor(END));
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Amount, PRICER.forecastValue(PERIOD_INTERP, IRP_BEFORE_START), NOTIONAL * TOL);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Amount, PRICER.presentValue(PERIOD_INTERP, IRP_BEFORE_START, ICDF_BEFORE_START), NOTIONAL * TOL);
}
public virtual void test_rate()
{
RatesProvider mockProv = mock(typeof(RatesProvider));
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE3TS);
IborIndexRates mockRates3M = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
IborIndexRates mockRates6M = new TestingIborIndexRates(GBP_LIBOR_6M, FIXING_DATE, LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE6), LocalDateDoubleTimeSeries.empty());
when(mockProv.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProv.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
IborInterpolatedRateComputation ro = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
ForwardIborInterpolatedRateComputationFn obs = ForwardIborInterpolatedRateComputationFn.DEFAULT;
LocalDate fixingEndDate3M = GBP_LIBOR_3M_OBS.MaturityDate;
LocalDate fixingEndDate6M = GBP_LIBOR_6M_OBS.MaturityDate;
double days3M = fixingEndDate3M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 3M fixing period
double days6M = fixingEndDate6M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 6M fixing period
double daysCpn = ACCRUAL_END_DATE.toEpochDay() - FIXING_DATE.toEpochDay();
double weight3M = (days6M - daysCpn) / (days6M - days3M);
double weight6M = (daysCpn - days3M) / (days6M - days3M);
double rateExpected = (weight3M * RATE3TS + weight6M * RATE6);
double rateComputed = obs.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv);
assertEquals(rateComputed, rateExpected, TOLERANCE_RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obs.explainRate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv, builder), rateExpected, TOLERANCE_RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 2);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE3TS);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.WEIGHT), weight3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX), GBP_LIBOR_6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX_VALUE), RATE6);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.WEIGHT), weight6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FROM_FIXING_SERIES), null);
assertEquals(built.get(ExplainKey.COMBINED_RATE), rateExpected);
}
public virtual void test_explainPresentValue_inPast()
{
RatesProvider prov = createProvider(VAL_DATE);
ExplainMapBuilder builder = ExplainMap.builder();
PRICER.explainPresentValue(PERIOD_PAST, prov, builder);
ExplainMap explain = builder.build();
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "KnownAmountPaymentPeriod");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), PERIOD_PAST.PaymentDate);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), PERIOD_PAST.Currency);
int daysBetween = (int)DAYS.between(DATE_1, DATE_2);
assertEquals(explain.get(ExplainKey.START_DATE).get(), PERIOD_PAST.StartDate);
assertEquals(explain.get(ExplainKey.UNADJUSTED_START_DATE).get(), PERIOD_PAST.UnadjustedStartDate);
assertEquals(explain.get(ExplainKey.END_DATE).get(), PERIOD_PAST.EndDate);
assertEquals(explain.get(ExplainKey.UNADJUSTED_END_DATE).get(), PERIOD_PAST.UnadjustedEndDate);
assertEquals(explain.get(ExplainKey.DAYS).Value, (int?)daysBetween);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Currency, PERIOD_PAST.Currency);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Amount, 0, TOLERANCE_PV);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Currency, PERIOD_PAST.Currency);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Amount, 0 * DISCOUNT_FACTOR, TOLERANCE_PV);
}
