//-------------------------------------------------------------------------
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_rateSensitivity()
{
ImmutableRatesProvider prov = createProvider(RATE_START, RATE_END);
ImmutableRatesProvider provStartUp = createProvider(RATE_START + EPS_FD, RATE_END);
ImmutableRatesProvider provStartDw = createProvider(RATE_START - EPS_FD, RATE_END);
ImmutableRatesProvider provEndUp = createProvider(RATE_START, RATE_END + EPS_FD);
ImmutableRatesProvider provEndDw = createProvider(RATE_START, RATE_END - EPS_FD);
InflationMonthlyRateComputation ro = InflationMonthlyRateComputation.of(GB_RPIX, REFERENCE_START_MONTH, REFERENCE_END_MONTH);
ForwardInflationMonthlyRateComputationFn obsFn = ForwardInflationMonthlyRateComputationFn.DEFAULT;
double rateSrtUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provStartUp);
double rateSrtDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provStartDw);
double rateEndUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndUp);
double rateEndDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndDw);
PointSensitivityBuilder sensiStr = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REFERENCE_START_MONTH), 0.5 * (rateSrtUp - rateSrtDw) / EPS_FD);
PointSensitivityBuilder sensiEnd = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REFERENCE_END_MONTH), 0.5 * (rateEndUp - rateEndDw) / EPS_FD);
PointSensitivityBuilder sensiExpected = sensiStr.combinedWith(sensiEnd);
PointSensitivityBuilder sensiComputed = obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
assertTrue(sensiComputed.build().normalized().equalWithTolerance(sensiExpected.build().normalized(), EPS_FD));
}
public virtual void test_createAccrualPeriods_Monthly_firstKnown()
{
InflationRateCalculation test = InflationRateCalculation.builder().index(GB_HICP).lag(Period.ofMonths(3)).indexCalculationMethod(MONTHLY).firstIndexValue(123d).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(1.0).rateComputation(InflationEndMonthRateComputation.of(GB_HICP, 123d, YearMonth.from(DATE_2015_02_05).minusMonths(3))).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(1.0).rateComputation(InflationMonthlyRateComputation.of(GB_HICP, YearMonth.from(DATE_2015_02_05).minusMonths(3), YearMonth.from(DATE_2015_03_07).minusMonths(3))).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(1.0).rateComputation(InflationMonthlyRateComputation.of(GB_HICP, YearMonth.from(DATE_2015_03_07).minusMonths(3), YearMonth.from(DATE_2015_04_05).minusMonths(3))).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
//-------------------------------------------------------------------------
public virtual void test_inflation_monthly()
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, GBLO);
PeriodicSchedule accrualSchedule = PeriodicSchedule.builder().startDate(DATE_14_06_09).endDate(DATE_19_06_09).frequency(Frequency.ofYears(5)).businessDayAdjustment(bda).build();
PaymentSchedule paymentSchedule = PaymentSchedule.builder().paymentFrequency(Frequency.ofYears(5)).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).build();
InflationRateCalculation rateCalc = InflationRateCalculation.builder().index(GB_RPI).indexCalculationMethod(MONTHLY).lag(Period.ofMonths(3)).build();
NotionalSchedule notionalSchedule = NotionalSchedule.of(GBP, 1000d);
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).notionalSchedule(notionalSchedule).calculation(rateCalc).build();
assertEquals(test.StartDate, AdjustableDate.of(DATE_14_06_09, bda));
assertEquals(test.EndDate, AdjustableDate.of(DATE_19_06_09, bda));
assertEquals(test.Currency, GBP);
assertEquals(test.PayReceive, PAY);
assertEquals(test.AccrualSchedule, accrualSchedule);
assertEquals(test.PaymentSchedule, paymentSchedule);
assertEquals(test.NotionalSchedule, notionalSchedule);
assertEquals(test.Calculation, rateCalc);
RatePaymentPeriod rpp = RatePaymentPeriod.builder().paymentDate(DaysAdjustment.ofBusinessDays(2, GBLO).adjust(bda.adjust(DATE_19_06_09, REF_DATA), REF_DATA)).accrualPeriods(RateAccrualPeriod.builder().startDate(BusinessDayAdjustment.of(FOLLOWING, GBLO).adjust(DATE_14_06_09, REF_DATA)).endDate(BusinessDayAdjustment.of(FOLLOWING, GBLO).adjust(DATE_19_06_09, REF_DATA)).unadjustedStartDate(DATE_14_06_09).unadjustedEndDate(DATE_19_06_09).yearFraction(1.0).rateComputation(InflationMonthlyRateComputation.of(GB_RPI, YearMonth.from(bda.adjust(DATE_14_06_09, REF_DATA)).minusMonths(3), YearMonth.from(bda.adjust(DATE_19_06_09, REF_DATA)).minusMonths(3))).build()).dayCount(ONE_ONE).currency(GBP).notional(-1000d).build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().paymentPeriods(rpp).payReceive(PAY).type(SwapLegType.INFLATION).build();
ResolvedSwapLeg testResolved = test.resolve(REF_DATA);
assertEquals(testResolved, expected);
}
