public virtual void test_before()
{
LocalDate startDate = date(2018, 2, 1);
LocalDate endDate = date(2018, 2, 28);
OvernightAveragedDailyRateComputation cmp = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, startDate, endDate, REF_DATA);
ImmutableRatesProvider rates = getRatesProvider(date(2018, 1, 24));
double computedRate = FUNCTION.rate(cmp, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, rates);
PointSensitivityBuilder sensiComputed = FUNCTION.rateSensitivity(cmp, startDate, endDate, rates);
ExplainMapBuilder builder = ExplainMap.builder();
double explainRate = FUNCTION.explainRate(cmp, startDate, endDate, rates, builder);
double expectedRate = 0d;
PointSensitivityBuilder sensiExpected = PointSensitivityBuilder.none();
LocalDate date = startDate;
while (!date.isAfter(endDate))
{
OvernightIndexObservation obs = OvernightIndexObservation.of(USD_FED_FUND, date, REF_DATA);
double rate = rates.overnightIndexRates(USD_FED_FUND).rate(obs);
PointSensitivityBuilder rateSensi = rates.overnightIndexRates(USD_FED_FUND).ratePointSensitivity(obs);
LocalDate nextDate = cmp.FixingCalendar.next(date);
long days = DAYS.between(date, nextDate);
expectedRate += rate * days;
sensiExpected = sensiComputed.combinedWith(rateSensi.multipliedBy(days));
date = nextDate;
}
double nDays = 28d;
expectedRate /= nDays;
sensiExpected = sensiExpected.multipliedBy(1d / nDays);
assertEquals(computedRate, expectedRate, TOL);
assertTrue(sensiComputed.build().equalWithTolerance(sensiExpected.build(), TOL));
assertEquals(explainRate, computedRate, TOL);
assertEquals(builder.build().get(ExplainKey.COMBINED_RATE).Value, expectedRate, TOL);
}
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_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()
{
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);
}
//-------------------------------------------------------------------------
/// <summary>
/// Explains the present value of the FRA product.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="fra"> the FRA product for which present value should be computed </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the explanatory information </returns>
public virtual ExplainMap explainPresentValue(ResolvedFra fra, RatesProvider provider)
{
ExplainMapBuilder builder = ExplainMap.builder();
Currency currency = fra.Currency;
builder.put(ExplainKey.ENTRY_TYPE, "FRA");
builder.put(ExplainKey.PAYMENT_DATE, fra.PaymentDate);
builder.put(ExplainKey.START_DATE, fra.StartDate);
builder.put(ExplainKey.END_DATE, fra.EndDate);
builder.put(ExplainKey.ACCRUAL_YEAR_FRACTION, fra.YearFraction);
builder.put(ExplainKey.DAYS, (int)DAYS.between(fra.StartDate, fra.EndDate));
builder.put(ExplainKey.PAYMENT_CURRENCY, currency);
builder.put(ExplainKey.NOTIONAL, CurrencyAmount.of(currency, fra.Notional));
builder.put(ExplainKey.TRADE_NOTIONAL, CurrencyAmount.of(currency, fra.Notional));
if (fra.PaymentDate.isBefore(provider.ValuationDate))
{
builder.put(ExplainKey.COMPLETED, true);
builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
}
else
{
double rate = rateComputationFn.explainRate(fra.FloatingRate, fra.StartDate, fra.EndDate, provider, builder);
builder.put(ExplainKey.FIXED_RATE, fra.FixedRate);
builder.put(ExplainKey.DISCOUNT_FACTOR, provider.discountFactor(currency, fra.PaymentDate));
builder.put(ExplainKey.PAY_OFF_RATE, rate);
builder.put(ExplainKey.UNIT_AMOUNT, unitAmount(fra, provider));
builder.put(ExplainKey.FORECAST_VALUE, forecastValue(fra, provider));
builder.put(ExplainKey.PRESENT_VALUE, presentValue(fra, provider));
}
return(builder.build());
}
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);
}
//-------------------------------------------------------------------------
/// <summary>
/// Explains the present value of a CMS leg.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="provider"> the rates provider </param>
/// <param name="volatilities"> the swaption volatilities </param>
/// <returns> the explanatory information </returns>
public virtual ExplainMap explainPresentValue(ResolvedCmsLeg cmsLeg, RatesProvider provider, SabrSwaptionVolatilities volatilities)
{
ExplainMapBuilder builder = ExplainMap.builder();
builder.put(ExplainKey.ENTRY_TYPE, "CmsLeg");
builder.put(ExplainKey.PAY_RECEIVE, cmsLeg.PayReceive);
builder.put(ExplainKey.PAYMENT_CURRENCY, cmsLeg.Currency);
builder.put(ExplainKey.START_DATE, cmsLeg.StartDate);
builder.put(ExplainKey.END_DATE, cmsLeg.EndDate);
builder.put(ExplainKey.INDEX, cmsLeg.Index);
foreach (CmsPeriod period in cmsLeg.CmsPeriods)
{
builder.addListEntry(ExplainKey.PAYMENT_PERIODS, child => cmsPeriodPricer.explainPresentValue(period, provider, volatilities, child));
}
builder.put(ExplainKey.PRESENT_VALUE, presentValue(cmsLeg, provider, volatilities));
return(builder.build());
}
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_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()
{
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);
}
/// <summary>
/// Explains the present value of the payment.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="provider"> the provider </param>
/// <returns> the explanatory information </returns>
public virtual ExplainMap explainPresentValue(Payment payment, BaseProvider provider)
{
Currency currency = payment.Currency;
LocalDate paymentDate = payment.Date;
ExplainMapBuilder builder = ExplainMap.builder();
builder.put(ExplainKey.ENTRY_TYPE, "Payment");
builder.put(ExplainKey.PAYMENT_DATE, paymentDate);
builder.put(ExplainKey.PAYMENT_CURRENCY, currency);
if (paymentDate.isBefore(provider.ValuationDate))
{
builder.put(ExplainKey.COMPLETED, true);
builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
}
else
{
builder.put(ExplainKey.DISCOUNT_FACTOR, provider.discountFactor(currency, paymentDate));
builder.put(ExplainKey.FORECAST_VALUE, forecastValue(payment, provider));
builder.put(ExplainKey.PRESENT_VALUE, presentValue(payment, provider));
}
return(builder.build());
}