public virtual void test_rateSensitivity()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
IList <IborAveragedFixing> fixings = new List <IborAveragedFixing>();
double totalWeight = 0.0d;
for (int i = 0; i < OBSERVATIONS.Length; i++)
{
IborIndexObservation obs = OBSERVATIONS[i];
IborAveragedFixing fixing = IborAveragedFixing.builder().observation(obs).weight(WEIGHTS[i]).build();
fixings.Add(fixing);
totalWeight += WEIGHTS[i];
when(mockIbor.ratePointSensitivity(obs)).thenReturn(SENSITIVITIES[i]);
}
PointSensitivities expected = PointSensitivities.of(ImmutableList.of(IborRateSensitivity.of(OBSERVATIONS[0], WEIGHTS[0] / totalWeight), IborRateSensitivity.of(OBSERVATIONS[1], WEIGHTS[1] / totalWeight), IborRateSensitivity.of(OBSERVATIONS[2], WEIGHTS[2] / totalWeight), IborRateSensitivity.of(OBSERVATIONS[3], WEIGHTS[3] / totalWeight)));
IborAveragedRateComputation ro = IborAveragedRateComputation.of(fixings);
ForwardIborAveragedRateComputationFn obsFn = ForwardIborAveragedRateComputationFn.DEFAULT;
PointSensitivityBuilder test = obsFn.rateSensitivity(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov);
assertEquals(test.build(), expected);
}
public virtual void test_rateSensitivity_finiteDifference()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
double eps = 1.0e-7;
int nDates = OBSERVATIONS.Length;
IList <IborAveragedFixing> fixings = new List <IborAveragedFixing>();
for (int i = 0; i < nDates; i++)
{
IborIndexObservation obs = OBSERVATIONS[i];
IborAveragedFixing fixing = IborAveragedFixing.builder().observation(obs).weight(WEIGHTS[i]).build();
fixings.Add(fixing);
when(mockIbor.ratePointSensitivity(obs)).thenReturn(SENSITIVITIES[i]);
}
IborAveragedRateComputation ro = IborAveragedRateComputation.of(fixings);
ForwardIborAveragedRateComputationFn obsFn = ForwardIborAveragedRateComputationFn.DEFAULT;
PointSensitivityBuilder test = obsFn.rateSensitivity(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov);
for (int i = 0; i < nDates; ++i)
{
IborIndexRates mockIborUp = mock(typeof(IborIndexRates));
SimpleRatesProvider provUp = new SimpleRatesProvider();
provUp.IborRates = mockIborUp;
IborIndexRates mockIborDw = mock(typeof(IborIndexRates));
SimpleRatesProvider provDw = new SimpleRatesProvider();
provDw.IborRates = mockIborDw;
for (int j = 0; j < nDates; ++j)
{
if (i == j)
{
when(mockIborUp.rate(OBSERVATIONS[j])).thenReturn(FIXING_VALUES[j] + eps);
when(mockIborDw.rate(OBSERVATIONS[j])).thenReturn(FIXING_VALUES[j] - eps);
}
else
{
when(mockIborUp.rate(OBSERVATIONS[j])).thenReturn(FIXING_VALUES[j]);
when(mockIborDw.rate(OBSERVATIONS[j])).thenReturn(FIXING_VALUES[j]);
}
}
double rateUp = obsFn.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, provUp);
double rateDw = obsFn.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, provDw);
double resExpected = 0.5 * (rateUp - rateDw) / eps;
assertEquals(test.build().Sensitivities.get(i).Sensitivity, resExpected, eps);
}
}
public virtual void test_rate()
{
LocalDate fixingDate = OBSERVATIONS[0].FixingDate;
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(fixingDate, FIXING_VALUES[0]);
LocalDateDoubleTimeSeries rates = LocalDateDoubleTimeSeries.builder().put(OBSERVATIONS[1].FixingDate, FIXING_VALUES[1]).put(OBSERVATIONS[2].FixingDate, FIXING_VALUES[2]).put(OBSERVATIONS[3].FixingDate, FIXING_VALUES[3]).build();
IborIndexRates mockIbor = new TestingIborIndexRates(GBP_LIBOR_3M, fixingDate, rates, timeSeries);
SimpleRatesProvider prov = new SimpleRatesProvider(fixingDate);
prov.IborRates = mockIbor;
IList <IborAveragedFixing> fixings = new List <IborAveragedFixing>();
double totalWeightedRate = 0.0d;
double totalWeight = 0.0d;
for (int i = 0; i < OBSERVATIONS.Length; i++)
{
IborIndexObservation obs = OBSERVATIONS[i];
IborAveragedFixing fixing = IborAveragedFixing.builder().observation(obs).weight(WEIGHTS[i]).build();
fixings.Add(fixing);
totalWeightedRate += FIXING_VALUES[i] * WEIGHTS[i];
totalWeight += WEIGHTS[i];
}
double rateExpected = totalWeightedRate / totalWeight;
IborAveragedRateComputation ro = IborAveragedRateComputation.of(fixings);
ForwardIborAveragedRateComputationFn obsFn = ForwardIborAveragedRateComputationFn.DEFAULT;
double rateComputed = obsFn.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov);
assertEquals(rateComputed, rateExpected, TOLERANCE_RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov, builder), rateExpected, TOLERANCE_RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), OBSERVATIONS.Length);
for (int i = 0; i < 4; i++)
{
ExplainMap childMap = built.get(ExplainKey.OBSERVATIONS).get().get(i);
assertEquals(childMap.get(ExplainKey.FIXING_DATE), (OBSERVATIONS[i].FixingDate));
assertEquals(childMap.get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(childMap.get(ExplainKey.INDEX_VALUE), FIXING_VALUES[i]);
assertEquals(childMap.get(ExplainKey.WEIGHT), WEIGHTS[i]);
assertEquals(childMap.get(ExplainKey.FROM_FIXING_SERIES), i == 0 ? true : null);
}
assertEquals(built.get(ExplainKey.COMBINED_RATE), rateExpected);
}