private ImmutableRatesProvider createProvider(double rateStart, double rateStartInterp, double rateEnd, double rateEndInterp)
{
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(VAL_DATE.with(lastDayOfMonth()), 300);
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(Curves.prices("GB-RPIX"), DoubleArray.of(4, 5, 16, 17), DoubleArray.of(rateStart, rateStartInterp, rateEnd, rateEndInterp), INTERPOLATOR);
return(ImmutableRatesProvider.builder(VAL_DATE).priceIndexCurve(GB_RPIX, curve).timeSeries(GB_RPIX, timeSeries).build());
}
public virtual void test_rate()
{
SimpleRatesProvider prov = new SimpleRatesProvider();
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE);
IborIndexRates mockIbor = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
prov.IborRates = mockIbor;
ForwardIborRateComputationFn obsFn = ForwardIborRateComputationFn.DEFAULT;
assertEquals(obsFn.rate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov), RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov, builder), RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 1);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_START_DATE), FORWARD_START_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_END_DATE), FORWARD_END_DATE);
assertEquals(built.get(ExplainKey.COMBINED_RATE), RATE);
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(PREV_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).timeSeries(GBP_USD_WM, ts).build();
assertEquals(test.ValuationDate, VAL_DATE);
assertEquals(ImmutableRatesProvider.meta().timeSeries().get(test), ImmutableMap.of(GBP_USD_WM, ts));
assertSame(test.toImmutableRatesProvider(), test);
}
//-------------------------------------------------------------------------
public virtual void test_fxIndexRates()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).timeSeries(GBP_USD_WM, ts).build();
assertEquals(test.fxIndexRates(GBP_USD_WM).Index, GBP_USD_WM);
assertEquals(test.fxIndexRates(GBP_USD_WM).Fixings, ts);
assertEquals(test.TimeSeriesIndices, ImmutableSet.of(GBP_USD_WM));
}
//-------------------------------------------------------------------------
public virtual void test_priceIndexValues()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).priceIndexCurve(GB_RPI, GBPRI_CURVE).timeSeries(GB_RPI, ts).build();
assertEquals(test.priceIndexValues(GB_RPI).Index, GB_RPI);
assertEquals(test.priceIndexValues(GB_RPI).Fixings, ts);
assertEquals(test.PriceIndices, ImmutableSet.of(GB_RPI));
assertEquals(test.TimeSeriesIndices, ImmutableSet.of(GB_RPI));
}
//-------------------------------------------------------------------------
public virtual void test_overnightIndexRates()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).overnightIndexCurve(USD_FED_FUND, FED_FUND_CURVE).timeSeries(USD_FED_FUND, ts).build();
assertEquals(test.overnightIndexRates(USD_FED_FUND).Index, USD_FED_FUND);
assertEquals(test.overnightIndexRates(USD_FED_FUND).Fixings, ts);
assertEquals(test.OvernightIndices, ImmutableSet.of(USD_FED_FUND));
assertEquals(test.TimeSeriesIndices, ImmutableSet.of(USD_FED_FUND));
}
//-------------------------------------------------------------------------
public virtual void test_iborIndexRates()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).iborIndexCurve(USD_LIBOR_3M, USD_LIBOR_CURVE).timeSeries(USD_LIBOR_3M, ts).build();
assertEquals(test.iborIndexRates(USD_LIBOR_3M).Index, USD_LIBOR_3M);
assertEquals(test.iborIndexRates(USD_LIBOR_3M).Fixings, ts);
assertEquals(test.IborIndices, ImmutableSet.of(USD_LIBOR_3M));
assertEquals(test.TimeSeriesIndices, ImmutableSet.of(USD_LIBOR_3M));
}
public virtual void test_rate()
{
RatesProvider mockProv = mock(typeof(RatesProvider));
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE3TS);
IborIndexRates mockRates3M = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
IborIndexRates mockRates6M = new TestingIborIndexRates(GBP_LIBOR_6M, FIXING_DATE, LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE6), LocalDateDoubleTimeSeries.empty());
when(mockProv.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProv.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
IborInterpolatedRateComputation ro = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
ForwardIborInterpolatedRateComputationFn obs = ForwardIborInterpolatedRateComputationFn.DEFAULT;
LocalDate fixingEndDate3M = GBP_LIBOR_3M_OBS.MaturityDate;
LocalDate fixingEndDate6M = GBP_LIBOR_6M_OBS.MaturityDate;
double days3M = fixingEndDate3M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 3M fixing period
double days6M = fixingEndDate6M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 6M fixing period
double daysCpn = ACCRUAL_END_DATE.toEpochDay() - FIXING_DATE.toEpochDay();
double weight3M = (days6M - daysCpn) / (days6M - days3M);
double weight6M = (daysCpn - days3M) / (days6M - days3M);
double rateExpected = (weight3M * RATE3TS + weight6M * RATE6);
double rateComputed = obs.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv);
assertEquals(rateComputed, rateExpected, TOLERANCE_RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obs.explainRate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv, builder), rateExpected, TOLERANCE_RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 2);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE3TS);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.WEIGHT), weight3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX), GBP_LIBOR_6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX_VALUE), RATE6);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.WEIGHT), weight6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FROM_FIXING_SERIES), null);
assertEquals(built.get(ExplainKey.COMBINED_RATE), rateExpected);
}
public virtual void test_currentCash_onPaymentDate()
{
LocalDate paymentDate = RFRA.PaymentDate;
double publishedRate = 0.025;
ResolvedFraTrade trade = FraTrade.builder().info(TradeInfo.builder().tradeDate(paymentDate).build()).product(FRA).build().resolve(REF_DATA);
ImmutableRatesProvider ratesProvider = RatesProviderDataSets.multiGbp(paymentDate).toBuilder().timeSeries(GBP_LIBOR_3M, LocalDateDoubleTimeSeries.of(paymentDate, publishedRate)).build();
assertEquals(PRICER_TRADE.currentCash(trade, ratesProvider), CurrencyAmount.of(FRA.Currency, (publishedRate - FRA.FixedRate) / (1d + publishedRate * RFRA.YearFraction) * RFRA.YearFraction * RFRA.Notional));
}
/// <summary>
/// Create a yield curve bundle with three curves.
/// One called "Discounting EUR" with a constant rate of 2.50%, one called "Discounting USD"
/// with a constant rate of 1.00% and one called "Discounting GBP" with a constant rate of 2.00%;
/// "Discounting KRW" with a constant rate of 3.21%;
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="fxIndex"> the FX index </param>
/// <param name="spotRate"> the spot rate for the index </param>
/// <returns> the provider </returns>
public static RatesProvider createProvider(LocalDate valuationDate, FxIndex fxIndex, double spotRate)
{
return(ImmutableRatesProvider.builder(valuationDate).discountCurve(EUR, EUR_DSC).discountCurve(USD, USD_DSC).discountCurve(GBP, GBP_DSC).discountCurve(KRW, KRW_DSC).fxRateProvider(FX_MATRIX).timeSeries(fxIndex, LocalDateDoubleTimeSeries.of(fxIndex.calculateFixingFromMaturity(valuationDate, REF_DATA), spotRate)).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
SimplePriceIndexValues instance1 = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS);
coverImmutableBean(instance1);
SimplePriceIndexValues test2 = SimplePriceIndexValues.of(GB_HICP, VAL_DATE.plusMonths(1), CURVE_NOFIX, LocalDateDoubleTimeSeries.of(VAL_MONTH.minusMonths(2).atEndOfMonth(), 100d));
coverBeanEquals(instance1, test2);
}