//-------------------------------------------------------------------------
public virtual void test_presentValue_formula()
{
CurrencyAmount computedCaplet = PRICER.presentValue(CAPLET_LONG, RATES, VOLS);
CurrencyAmount computedFloorlet = PRICER.presentValue(FLOORLET_SHORT, RATES, VOLS);
double forward = RATES.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation);
double expiry = VOLS.relativeTime(CAPLET_LONG.FixingDateTime);
double volatility = VOLS.volatility(expiry, STRIKE, forward);
double df = RATES.discountFactor(EUR, CAPLET_LONG.PaymentDate);
double expectedCaplet = NOTIONAL * df * CAPLET_LONG.YearFraction * NormalFormulaRepository.price(forward, STRIKE, expiry, volatility, CALL);
double expectedFloorlet = -NOTIONAL *df *CAPLET_LONG.YearFraction *NormalFormulaRepository.price(forward, STRIKE, expiry, volatility, PUT);
assertEquals(computedCaplet.Currency, EUR);
assertEquals(computedCaplet.Amount, expectedCaplet, NOTIONAL * TOL);
assertEquals(computedFloorlet.Currency, EUR);
assertEquals(computedFloorlet.Amount, expectedFloorlet, NOTIONAL * TOL);
}
public virtual void test_impliedVolatility_onFix()
{
double computed = PRICER.impliedVolatility(CAPLET_LONG, RATES_ON_FIX, VOLS_ON_FIX);
double forward = RATES_ON_FIX.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation);
double expected = VOLS.volatility(0d, STRIKE, forward);
assertEquals(computed, expected, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue_noFixing()
{
double discountFactor = IMM_PROV_NOFIX.discountFactor(EUR, END_DATE);
double forwardRate = IMM_PROV_NOFIX.iborIndexRates(EUR_EURIBOR_6M).rate(RDEPOSIT.FloatingRate.Observation);
CurrencyAmount computed = PRICER.presentValue(RDEPOSIT, IMM_PROV_NOFIX);
double expected = NOTIONAL * discountFactor * (RATE - forwardRate) * RDEPOSIT.YearFraction;
assertEquals(computed.Currency, EUR);
assertEquals(computed.Amount, expected, TOLERANCE_PV);
}
public virtual void test_price()
{
double computed = PRICER.price(FUTURE, RATE_PROVIDER, HW_PROVIDER);
LocalDate start = FUTURE.IborRate.Observation.EffectiveDate;
LocalDate end = FUTURE.IborRate.Observation.MaturityDate;
double fixingYearFraction = FUTURE.IborRate.Observation.YearFraction;
double convexity = HW_PROVIDER.futuresConvexityFactor(FUTURE.LastTradeDate, start, end);
double forward = RATE_PROVIDER.iborIndexRates(EUR_EURIBOR_3M).rate(FUTURE.IborRate.Observation);
double expected = 1d - convexity * forward + (1d - convexity) / fixingYearFraction;
assertEquals(computed, expected, TOL);
}
public virtual void test_cashFlowEquivalent()
{
ResolvedSwap swap = ResolvedSwap.of(IBOR_LEG, FIXED_LEG);
ResolvedSwapLeg computed = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, PROVIDER);
ResolvedSwapLeg computedIborLeg = CashFlowEquivalentCalculator.cashFlowEquivalentIborLeg(IBOR_LEG, PROVIDER);
ResolvedSwapLeg computedFixedLeg = CashFlowEquivalentCalculator.cashFlowEquivalentFixedLeg(FIXED_LEG, PROVIDER);
assertEquals(computedFixedLeg.PaymentEvents, computed.PaymentEvents.subList(0, 2));
assertEquals(computedIborLeg.PaymentEvents, computed.PaymentEvents.subList(2, 6));
// expected payments from fixed leg
NotionalExchange fixedPayment1 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC1), PAYMENT1);
NotionalExchange fixedPayment2 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC2), PAYMENT2);
// expected payments from ibor leg
LocalDate fixingSTART1 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING1, REF_DATA);
double fixedYearFraction1 = GBP_LIBOR_3M.DayCount.relativeYearFraction(fixingSTART1, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART1, REF_DATA));
double beta1 = (1d + fixedYearFraction1 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(GBP_LIBOR_3M_COMP1.Observation)) * PROVIDER.discountFactor(GBP, PAYMENT1) / PROVIDER.discountFactor(GBP, fixingSTART1);
NotionalExchange iborPayment11 = NotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL * beta1 * PAY_YC1 / fixedYearFraction1), fixingSTART1);
NotionalExchange iborPayment12 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * PAY_YC1 / fixedYearFraction1), PAYMENT1);
LocalDate fixingSTART2 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING2, REF_DATA);
double fixedYearFraction2 = GBP_LIBOR_3M.DayCount.relativeYearFraction(fixingSTART2, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART2, REF_DATA));
double beta2 = (1d + fixedYearFraction2 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(GBP_LIBOR_3M_COMP2.Observation)) * PROVIDER.discountFactor(GBP, PAYMENT2) / PROVIDER.discountFactor(GBP, fixingSTART2);
NotionalExchange iborPayment21 = NotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL * beta2 * PAY_YC2 / fixedYearFraction2), fixingSTART2);
NotionalExchange iborPayment22 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * PAY_YC2 / fixedYearFraction2), PAYMENT2);
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(OTHER).payReceive(RECEIVE).paymentEvents(fixedPayment1, fixedPayment2, iborPayment11, iborPayment12, iborPayment21, iborPayment22).build();
double eps = 1.0e-12;
assertEquals(computed.PaymentEvents.size(), expected.PaymentEvents.size());
for (int i = 0; i < 6; ++i)
{
NotionalExchange payCmp = (NotionalExchange)computed.PaymentEvents.get(i);
NotionalExchange payExp = (NotionalExchange)expected.PaymentEvents.get(i);
assertEquals(payCmp.Currency, payExp.Currency);
assertEquals(payCmp.PaymentDate, payExp.PaymentDate);
assertTrue(DoubleMath.fuzzyEquals(payCmp.PaymentAmount.Amount, payExp.PaymentAmount.Amount, NOTIONAL * eps));
}
}
//-------------------------------------------------------------------------
public virtual void test_presentValue_formula()
{
CurrencyAmount computedCaplet = PRICER.presentValue(CAPLET_LONG, RATES, VOLS);
CurrencyAmount computedFloorlet = PRICER.presentValue(FLOORLET_SHORT, RATES, VOLS);
double forward = RATES.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation);
double expiry = VOLS.relativeTime(CAPLET_LONG.FixingDateTime);
double volatility = VOLS.volatility(expiry, STRIKE, forward);
double df = RATES.discountFactor(EUR, CAPLET_LONG.PaymentDate);
double expectedCaplet = NOTIONAL * df * CAPLET_LONG.YearFraction * BlackFormulaRepository.price(forward + SHIFT, STRIKE + SHIFT, expiry, volatility, CALL.Call);
double expectedFloorlet = -NOTIONAL *df *FLOORLET_SHORT.YearFraction *BlackFormulaRepository.price(forward + SHIFT, STRIKE + SHIFT, expiry, volatility, PUT.Call);
assertEquals(computedCaplet.Currency, EUR);
assertEquals(computedCaplet.Amount, expectedCaplet, NOTIONAL * TOL);
assertEquals(computedFloorlet.Currency, EUR);
assertEquals(computedFloorlet.Amount, expectedFloorlet, NOTIONAL * TOL);
// consistency with shifted Black
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities vols = ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(EUR_EURIBOR_3M, VALUATION, ConstantSurface.of("constVol", volatility).withMetadata(Surfaces.blackVolatilityByExpiryStrike("costVol", DayCounts.ACT_ACT_ISDA)), IborCapletFloorletSabrRateVolatilityDataSet.CURVE_CONST_SHIFT);
CurrencyAmount computedCapletBlack = PRICER_BASE.presentValue(CAPLET_LONG, RATES, vols);
CurrencyAmount computedFloorletBlack = PRICER_BASE.presentValue(FLOORLET_SHORT, RATES, vols);
assertEquals(computedCaplet.Amount, computedCapletBlack.Amount, NOTIONAL * TOL);
assertEquals(computedFloorlet.Amount, computedFloorletBlack.Amount, NOTIONAL * TOL);
}