//-------------------------------------------------------------------------
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;
}
/// <summary>
/// Test present value sensitivity for AFMA FRA discounting method.
/// </summary>
public virtual void test_presentValueSensitivity_AFMA()
{
RateComputationFn<RateComputation> mockObs = mock(typeof(RateComputationFn));
DiscountFactors mockDf = mock(typeof(DiscountFactors));
SimpleRatesProvider simpleProv = new SimpleRatesProvider(VAL_DATE, mockDf);
ResolvedFra fraExp = RFRA_AFMA;
double forwardRate = 0.05;
double discountRate = 0.025;
double paymentTime = 0.3;
double discountFactor = Math.Exp(-discountRate * paymentTime);
LocalDate fixingDate = FRA_AFMA.StartDate;
IborIndexObservation obs = IborIndexObservation.of(FRA.Index, fixingDate, REF_DATA);
PointSensitivityBuilder sens = IborRateSensitivity.of(obs, 1d);
when(mockDf.discountFactor(fraExp.PaymentDate)).thenReturn(discountFactor);
when(mockDf.zeroRatePointSensitivity(fraExp.PaymentDate)).thenReturn(ZeroRateSensitivity.of(fraExp.Currency, paymentTime, -discountFactor * paymentTime));
when(mockObs.rateSensitivity(fraExp.FloatingRate, fraExp.StartDate, fraExp.EndDate, simpleProv)).thenReturn(sens);
when(mockObs.rate(fraExp.FloatingRate, FRA_AFMA.StartDate, FRA_AFMA.EndDate, simpleProv)).thenReturn(forwardRate);
DiscountingFraProductPricer test = new DiscountingFraProductPricer(mockObs);
PointSensitivities sensitivity = test.presentValueSensitivity(fraExp, simpleProv);
double eps = 1.e-7;
double fdDscSense = dscSensitivity(RFRA_AFMA, forwardRate, discountFactor, paymentTime, eps);
double fdSense = presentValueFwdSensitivity(RFRA_AFMA, forwardRate, discountFactor, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.Sensitivities;
assertEquals(sensitivities.size(), 2);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.Index, FRA_AFMA.Index);
assertEquals(sensitivity0.Observation.FixingDate, fixingDate);
assertEquals(sensitivity0.Sensitivity, fdSense, FRA_AFMA.Notional * eps);
ZeroRateSensitivity sensitivity1 = (ZeroRateSensitivity) sensitivities.get(1);
assertEquals(sensitivity1.Currency, FRA_AFMA.Currency);
assertEquals(sensitivity1.YearFraction, paymentTime);
assertEquals(sensitivity1.Sensitivity, fdDscSense, FRA_AFMA.Notional * eps);
}
public virtual void test_rate_IborRateComputation()
{
RateComputationFn <IborRateComputation> mockIbor = mock(typeof(RateComputationFn));
IborRateComputation ro = IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA);
when(mockIbor.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(0.0123d);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(mockIbor, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), 0.0123d, 0d);
}
public virtual void test_rate_InflationEndInterpolatedRateComputation()
{
double mockRate = 223.0d;
RateComputationFn <InflationEndInterpolatedRateComputation> mockInfInt = mock(typeof(RateComputationFn));
InflationEndInterpolatedRateComputation ro = InflationEndInterpolatedRateComputation.of(US_CPI_U, 234d, ACCRUAL_END_MONTH, 0.3);
when(mockInfInt.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, mockInfInt);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, TOLERANCE_RATE);
}
public virtual void test_rate_OvernightAveragedDailyRateComputation()
{
double mockRate = 0.0123d;
RateComputationFn <OvernightAveragedDailyRateComputation> mockOnAve = mock(typeof(RateComputationFn));
OvernightAveragedDailyRateComputation ro = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, REF_DATA);
when(mockOnAve.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, mockOnAve, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, TOLERANCE_RATE);
}
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;
}
public virtual void test_rate_IborAverageRateComputation()
{
double mockRate = 0.0123d;
RateComputationFn <IborAveragedRateComputation> mockIborAve = mock(typeof(RateComputationFn));
LocalDate[] fixingDates = new LocalDate[] { date(2014, 6, 30), date(2014, 7, 7), date(2014, 7, 14), date(2014, 7, 21) };
double[] weights = new double[] { 0.10d, 0.20d, 0.30d, 0.40d };
IList <IborAveragedFixing> fixings = new List <IborAveragedFixing>();
for (int i = 0; i < fixingDates.Length; i++)
{
IborAveragedFixing fixing = IborAveragedFixing.builder().observation(IborIndexObservation.of(GBP_LIBOR_3M, fixingDates[i], REF_DATA)).weight(weights[i]).build();
fixings.Add(fixing);
}
IborAveragedRateComputation ro = IborAveragedRateComputation.of(fixings);
when(mockIborAve.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, mockIborAve, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, 0d);
}