//-------------------------------------------------------------------------
private double forecastValueFwdSensitivity(ResolvedFra fra, double forwardRate, double eps)
{
RateComputationFn<RateComputation> obsFuncNew = mock(typeof(RateComputationFn));
RatesProvider provNew = mock(typeof(RatesProvider));
when(provNew.ValuationDate).thenReturn(VAL_DATE);
when(obsFuncNew.rate(fra.FloatingRate, fra.StartDate, fra.EndDate, provNew)).thenReturn(forwardRate + eps);
CurrencyAmount upValue = (new DiscountingFraProductPricer(obsFuncNew)).forecastValue(fra, provNew);
when(obsFuncNew.rate(fra.FloatingRate, fra.StartDate, fra.EndDate, provNew)).thenReturn(forwardRate - eps);
CurrencyAmount downValue = (new DiscountingFraProductPricer(obsFuncNew)).forecastValue(fra, provNew);
return upValue.minus(downValue).multipliedBy(0.5 / eps).Amount;
}
private double dscSensitivity(ResolvedFra fra, double forwardRate, double discountFactor, double paymentTime, double eps)
{
RatesProvider provNew = mock(typeof(RatesProvider));
when(provNew.ValuationDate).thenReturn(VAL_DATE);
RateComputationFn<RateComputation> obsFuncNew = mock(typeof(RateComputationFn));
when(obsFuncNew.rate(fra.FloatingRate, fra.StartDate, fra.EndDate, provNew)).thenReturn(forwardRate);
when(provNew.discountFactor(fra.Currency, fra.PaymentDate)).thenReturn(discountFactor * Math.Exp(-eps * paymentTime));
CurrencyAmount upDscValue = (new DiscountingFraProductPricer(obsFuncNew)).presentValue(fra, provNew);
when(provNew.discountFactor(fra.Currency, fra.PaymentDate)).thenReturn(discountFactor * Math.Exp(eps * paymentTime));
CurrencyAmount downDscValue = (new DiscountingFraProductPricer(obsFuncNew)).presentValue(fra, provNew);
return upDscValue.minus(downDscValue).multipliedBy(0.5 / eps).Amount;
}
// XCcy swap with exchange of notional and FX Reset on the USD leg
public virtual void test_XCcyFixedInitialNotional()
{
DiscountingSwapTradePricer pricer = swapPricer();
//Create an MTM swap with initial notional override
double notional = 1_000_000d;
ResolvedSwapTrade fixedNotionalMtmTrade = getMtmTrade(true, true, true, notional).resolve(REF_DATA);
ExplainMap explainMap = pricer.explainPresentValue(fixedNotionalMtmTrade, provider());
CurrencyAmount fixedNotional = CurrencyAmount.of(Currency.USD, notional);
ExplainMap fixedNotionalMtmLeg = explainMap.get(ExplainKey.LEGS).get().get(1);
IList <ExplainMap> events = fixedNotionalMtmLeg.get(ExplainKey.PAYMENT_EVENTS).get();
//First two payment events should use fixed initial notional
ExplainMap firstPaymentEvent = events[0];
assertFixedNotionalPaymentEvent(firstPaymentEvent, fixedNotional.negated());
ExplainMap secondPaymentEvent = events[1];
assertFixedNotionalPaymentEvent(secondPaymentEvent, fixedNotional);
//First coupon also uses fixed notional
ExplainMap firstCoupon = fixedNotionalMtmLeg.get(ExplainKey.PAYMENT_PERIODS).get().get(0);
assertEquals(firstCoupon.get(ExplainKey.TRADE_NOTIONAL), fixedNotional);
assertEquals(firstCoupon.get(ExplainKey.NOTIONAL), fixedNotional);
//Sum of all pv amounts which are impacted by overriding the first period with a fixed notional
CurrencyAmount firstPaymentPv = firstPaymentEvent.get(ExplainKey.PRESENT_VALUE).get();
CurrencyAmount secondPaymentPv = secondPaymentEvent.get(ExplainKey.PRESENT_VALUE).get();
CurrencyAmount firstCouponPv = firstCoupon.get(ExplainKey.PRESENT_VALUE).get();
CurrencyAmount fixedNotionalImpactedEventsPv = firstPaymentPv.plus(secondPaymentPv).plus(firstCouponPv);
//----------------------------------------------------------------------------------------------------------
//Build identical trade but with no fixed notional
ResolvedSwapTrade noFixedNotionalMtmTrade = getMtmTrade(true, true, true, null).resolve(REF_DATA);
ExplainMap noFixedNotionalMtmLeg = pricer.explainPresentValue(noFixedNotionalMtmTrade, provider()).get(ExplainKey.LEGS).get().get(1);
//Sum the pvs for the same combination of payments and events that are impacted by fixed notional in first trade
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
CurrencyAmount noFixedNotionalEventsPv = noFixedNotionalMtmLeg.get(ExplainKey.PAYMENT_EVENTS).get().subList(0, 2).Select(payment => payment.get(ExplainKey.PRESENT_VALUE).get()).Aggregate(CurrencyAmount.zero(Currency.USD), CurrencyAmount::plus);
CurrencyAmount noFixedNotionalCouponsPv = noFixedNotionalMtmLeg.get(ExplainKey.PAYMENT_PERIODS).get().get(0).get(ExplainKey.PRESENT_VALUE).get();
CurrencyAmount noFixedNotionalImpactedEventsPv = noFixedNotionalCouponsPv.plus(noFixedNotionalEventsPv);
//----------------------------------------------------------------------------------------------------------
//PV difference of the events impacted by fixing notional
CurrencyAmount paymentsPvDifference = fixedNotionalImpactedEventsPv.minus(noFixedNotionalImpactedEventsPv);
//Calculate PV of the full trades
MultiCurrencyAmount fixedNotionalLegPv = pricer.presentValue(fixedNotionalMtmTrade, provider());
MultiCurrencyAmount noFixedNotionalLegPv = pricer.presentValue(noFixedNotionalMtmTrade, provider());
//EUR PV should not have changed
assertEquals(fixedNotionalLegPv.getAmount(Currency.EUR).Amount, noFixedNotionalLegPv.getAmount(Currency.EUR).Amount, TOLERANCE_PV);
//Difference in USD PV should be equal the difference in PV of the three events impacted by the initial notional
//All else should remain equal
CurrencyAmount tradePvDifference = fixedNotionalLegPv.getAmount(Currency.USD).minus(noFixedNotionalLegPv.getAmount(Currency.USD));
assertEquals(tradePvDifference.Amount, paymentsPvDifference.Amount, TOLERANCE_PV);
}
