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_after_regression()
{
LocalDate startDate = date(2018, 3, 1);
LocalDate endDate = date(2018, 3, 31);
OvernightAveragedDailyRateComputation cmp = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, startDate, endDate, REF_DATA);
ImmutableRatesProvider rates = getRatesProvider(date(2018, 4, 28));
double computed = FUNCTION.rate(cmp, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, rates);
double expected = 0.0150612903225806;
assertEquals(computed, expected, TOL);
assertEquals(FUNCTION.rateSensitivity(cmp, startDate, endDate, rates), PointSensitivityBuilder.none());
}
