public virtual void test_currencyExposureOnFixing_noTimeSeries()
{
double eps = 1.0e-14;
LocalDate valuationDate = date(2014, 6, 27);
LocalDate paymentDate = date(2014, 7, 1);
LocalDate fixingDate = date(2014, 6, 27);
FxResetNotionalExchange resetNotionalUSD = FxResetNotionalExchange.of(CurrencyAmount.of(USD, NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
FxResetNotionalExchange resetNotionalGBP = FxResetNotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
// USD
MultiCurrencyAmount computedUSD = test.currencyExposure(resetNotionalUSD, prov);
PointSensitivities pointUSD = test.presentValueSensitivity(resetNotionalUSD, prov).build();
MultiCurrencyAmount expectedUSD = prov.currencyExposure(pointUSD.convertedTo(USD, prov)).plus(CurrencyAmount.of(resetNotionalUSD.Currency, test.presentValue(resetNotionalUSD, prov)));
assertFalse(computedUSD.contains(GBP)); // 0 GBP
assertEquals(computedUSD.getAmount(USD).Amount, expectedUSD.getAmount(USD).Amount, eps * NOTIONAL);
// GBP
MultiCurrencyAmount computedGBP = test.currencyExposure(resetNotionalGBP, prov);
PointSensitivities pointGBP = test.presentValueSensitivity(resetNotionalGBP, prov).build();
MultiCurrencyAmount expectedGBP = prov.currencyExposure(pointGBP.convertedTo(GBP, prov)).plus(CurrencyAmount.of(resetNotionalGBP.Currency, test.presentValue(resetNotionalGBP, prov)));
assertFalse(computedGBP.contains(USD)); // 0 USD
assertEquals(computedGBP.getAmount(GBP).Amount, expectedGBP.getAmount(GBP).Amount, eps * NOTIONAL);
// FD approximation
FxMatrix fxMatrixUp = FxMatrix.of(GBP, USD, FX_RATE + EPS_FD);
ImmutableRatesProvider provUp = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(fxMatrixUp).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
double expectedFdUSD = -(test.presentValue(resetNotionalUSD, provUp) - test.presentValue(resetNotionalUSD, prov)) * FX_RATE * FX_RATE / EPS_FD;
assertEquals(computedUSD.getAmount(USD).Amount, expectedFdUSD, EPS_FD * NOTIONAL);
double expectedFdGBP = (test.presentValue(resetNotionalGBP, provUp) - test.presentValue(resetNotionalGBP, prov)) / EPS_FD;
assertEquals(computedGBP.getAmount(GBP).Amount, expectedFdGBP, EPS_FD * NOTIONAL);
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
double eps = 1.0e-14;
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
// USD
MultiCurrencyAmount computedUSD = test.currencyExposure(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
PointSensitivities pointUSD = test.presentValueSensitivity(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov).build();
MultiCurrencyAmount expectedUSD = prov.currencyExposure(pointUSD.convertedTo(USD, prov)).plus(CurrencyAmount.of(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Currency, test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov)));
assertFalse(computedUSD.contains(GBP)); // 0 GBP
assertEquals(computedUSD.getAmount(USD).Amount, expectedUSD.getAmount(USD).Amount, eps * NOTIONAL);
// GBP
MultiCurrencyAmount computedGBP = test.currencyExposure(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov);
PointSensitivities pointGBP = test.presentValueSensitivity(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov).build();
MultiCurrencyAmount expectedGBP = prov.currencyExposure(pointGBP.convertedTo(GBP, prov)).plus(CurrencyAmount.of(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP.Currency, test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov)));
assertFalse(computedGBP.contains(USD)); // 0 USD
assertEquals(computedGBP.getAmount(GBP).Amount, expectedGBP.getAmount(GBP).Amount, eps * NOTIONAL);
// FD approximation
FxMatrix fxMatrixUp = FxMatrix.of(GBP, USD, FX_RATE + EPS_FD);
ImmutableRatesProvider provUp = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(fxMatrixUp).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
double expectedFdUSD = -(test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, provUp) - test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov)) * FX_RATE * FX_RATE / EPS_FD;
assertEquals(computedUSD.getAmount(USD).Amount, expectedFdUSD, EPS_FD * NOTIONAL);
double expectedFdGBP = (test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, provUp) - test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov)) / EPS_FD;
assertEquals(computedGBP.getAmount(GBP).Amount, expectedFdGBP, EPS_FD * NOTIONAL);
}
public virtual void test_explainPresentValue_paymentDateInPast()
{
SimpleRatesProvider prov = createProvider(FX_RESET_NOTIONAL_EXCHANGE_REC_USD);
prov.ValuationDate = VAL_DATE.plusYears(1);
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
ExplainMapBuilder builder = ExplainMap.builder();
test.explainPresentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov, builder);
ExplainMap explain = builder.build();
Currency paymentCurrency = FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Currency;
Currency notionalCurrency = FX_RESET_NOTIONAL_EXCHANGE_REC_USD.ReferenceCurrency;
double notional = FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Notional;
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "FxResetNotionalExchange");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), FX_RESET_NOTIONAL_EXCHANGE_REC_USD.PaymentDate);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), paymentCurrency);
assertEquals(explain.get(ExplainKey.TRADE_NOTIONAL).get().Currency, notionalCurrency);
assertEquals(explain.get(ExplainKey.TRADE_NOTIONAL).get().Amount, notional, TOLERANCE);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Currency, paymentCurrency);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Amount, 0d, TOLERANCE);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Currency, paymentCurrency);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Amount, 0d * DISCOUNT_FACTOR, TOLERANCE);
}
public virtual void test_currentCash_zero()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
double cc = test.currentCash(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
assertEquals(cc, 0d);
}
//-------------------------------------------------------------------------
public virtual void test_forecastValue()
{
SimpleRatesProvider prov = createProvider(FX_RESET_NOTIONAL_EXCHANGE_REC_USD);
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
double calculated = test.forecastValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
assertEquals(calculated, FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Notional * FX_RATE, 0d);
}
public virtual void test_currentCash_onPayment()
{
double eps = 1.0e-14;
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.PaymentDate).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
double rate = prov.fxIndexRates(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Observation.Index).rate(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Observation, FX_RESET_NOTIONAL_EXCHANGE_REC_USD.ReferenceCurrency);
double ccUSD = test.currentCash(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
assertEquals(ccUSD, NOTIONAL * rate, eps);
double ccGBP = test.currentCash(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov);
assertEquals(ccGBP, -NOTIONAL / rate, eps);
}
//-------------------------------------------------------------------------
public virtual void test_forecastValueSensitivity()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
FxResetNotionalExchange[] expanded = new FxResetNotionalExchange[] { FX_RESET_NOTIONAL_EXCHANGE_REC_USD, FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP };
for (int i = 0; i < 2; ++i)
{
FxResetNotionalExchange fxReset = expanded[i];
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
PointSensitivityBuilder pointSensitivityComputed = test.forecastValueSensitivity(expanded[i], prov);
CurrencyParameterSensitivities parameterSensitivityComputed = prov.parameterSensitivity(pointSensitivityComputed.build());
CurrencyParameterSensitivities parameterSensitivityExpected = FD_CALCULATOR.sensitivity(prov, (p) => CurrencyAmount.of(fxReset.Currency, test.forecastValue(fxReset, (p))));
assertTrue(parameterSensitivityComputed.equalWithTolerance(parameterSensitivityExpected, Math.Abs(expanded[i].Notional) * EPS_FD * 10.0));
}
}