//-------------------------------------------------------------------------
// proper end-to-end FD tests are elsewhere
public virtual void test_parameterSensitivity()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity point = ZeroRateSensitivity.of(GBP, 1d, 1d);
assertEquals(test.parameterSensitivity(point).size(), 1);
}
//-------------------------------------------------------------------------
public virtual void test_cloned()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity test = @base.cloned();
assertSame(test, @base);
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_withCurrency()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
assertSame(@base.withCurrency(GBP), @base);
assertEquals(@base.withCurrency(USD), ZeroRateSensitivity.of(GBP, YEARFRAC, USD, 32d));
}
public virtual void test_parameterSensitivity_withSpread_full()
{
int periodPerYear = 2;
double spread = 0.0011; // 11 bp
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double sensiValue = 25d;
ZeroRateSensitivity point = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear);
point = point.multipliedBy(sensiValue);
CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point);
assertEquals(sensiObject.Sensitivities.size(), 1);
DoubleArray sensi0 = sensiObject.Sensitivities.get(0).Sensitivity;
double shift = 1.0E-6;
for (int i = 0; i < X.size(); i++)
{
DoubleArray yP = Y.with(i, Y.get(i) + shift);
InterpolatedNodalCurve curveP = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yP, INTERPOLATOR);
double dfP = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveP).discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear);
DoubleArray yM = Y.with(i, Y.get(i) - shift);
InterpolatedNodalCurve curveM = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yM, INTERPOLATOR);
double dfM = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveM).discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear);
assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD, "With spread - " + i);
}
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, -0d);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, PERIODIC, 2), expected);
}
public virtual void test_zeroRatePointSensitivityWithSpread_smallYearFraction()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, -0d);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_VAL, SPREAD, CONTINUOUS, 0), expected);
}
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens)
{
double yearFraction = pointSens.YearFraction;
UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction);
CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSens.Currency, pointSens.Sensitivity);
return(CurrencyParameterSensitivities.of(curSens));
}
//-------------------------------------------------------------------------
public virtual void test_withSensitivity()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, 20d);
ZeroRateSensitivity test = @base.withSensitivity(20d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_mapSensitivity()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, 1 / 32d);
ZeroRateSensitivity test = @base.mapSensitivity(s => 1 / s);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d * 3.5d);
ZeroRateSensitivity test = @base.multipliedBy(3.5d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_currencyParameterSensitivity_val_date()
{
// Discount factor at valuation date is always 0, no sensitivity.
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_VAL);
assertEquals(test.parameterSensitivity(sens), CurrencyParameterSensitivities.empty());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ZeroRateSensitivity test = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
coverImmutableBean(test);
ZeroRateSensitivity test2 = ZeroRateSensitivity.of(USD, YEARFRAC2, 16d);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_zeroRatePointSensitivity()
{
ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = Math.Exp(-relativeYearFraction * CURVE.yValue(relativeYearFraction));
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivity(DATE_AFTER), expected);
}
public int compareKey(PointSensitivity other)
{
if (other is ZeroRateSensitivity)
{
ZeroRateSensitivity otherZero = (ZeroRateSensitivity)other;
return(ComparisonChain.start().compare(curveCurrency, otherZero.curveCurrency).compare(currency, otherZero.currency).compare(yearFraction, otherZero.yearFraction).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public virtual void test_of()
{
ZeroRateSensitivity test = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
assertEquals(test.Currency, GBP);
assertEquals(test.YearFraction, YEARFRAC);
assertEquals(test.Sensitivity, 32d);
assertEquals(test.Currency, GBP);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, 0.0d);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, CONTINUOUS, 0);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.Sensitivity, expected.Sensitivity, TOLERANCE_DELTA_FD);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continuous()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = CURVE.yValue(relativeYearFraction) * Math.Exp(-SPREAD * relativeYearFraction);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 1), expected);
}
public virtual void test_zeroRatePointSensitivity_sensitivityCurrency()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = CURVE.yValue(relativeYearFraction);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, USD), expected);
}
//-------------------------------------------------------------------------
public virtual void test_zeroRatePointSensitivityWithSpread_continous()
{
ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = Math.Exp(-relativeYearFraction * (CURVE.yValue(relativeYearFraction) + SPREAD));
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected);
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public virtual void test_combinedWith_mutable()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(@base);
PointSensitivityBuilder test = @base.combinedWith(new MutablePointSensitivities());
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_unitParameterSensitivity()
{
ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of(CURVE.yValueParameterSensitivity(relativeYearFraction).multipliedBy(sens.Currency, sens.Sensitivity));
assertEquals(test.parameterSensitivity(sens), expected);
}
/// <summary>
/// Compute the present value curve sensitivity of the payment with z-spread.
/// <para>
/// The present value sensitivity of the payment is the sensitivity of the
/// present value to the discount factor curve.
/// There is no sensitivity if the payment date is before the valuation date.
/// </para>
/// <para>
/// The specified discount factors should be for the payment currency, however this is not validated.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
///
/// </para>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="discountFactors"> the discount factors to price against </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivityBuilder presentValueSensitivityWithSpread(Payment payment, DiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (discountFactors.ValuationDate.isAfter(payment.Date))
{
return(PointSensitivityBuilder.none());
}
ZeroRateSensitivity sensi = discountFactors.zeroRatePointSensitivityWithSpread(payment.Date, zSpread, compoundedRateType, periodsPerYear);
return(sensi.multipliedBy(payment.Amount));
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continous()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 0);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.Sensitivity, expected.Sensitivity, TOLERANCE_DELTA);
}
//-------------------------------------------------------------------------
public virtual void test_combinedWith()
{
ZeroRateSensitivity base1 = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity base2 = ZeroRateSensitivity.of(GBP, YEARFRAC2, 22d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(base1).add(base2);
PointSensitivityBuilder test = base1.combinedWith(base2);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens)
{
double yearFraction = pointSens.YearFraction;
double rp = curve.yValue(yearFraction);
double rcBar = 1.0;
double rpBar = 1.0 / (1 + rp / frequency) * rcBar;
UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction).multipliedBy(rpBar);
CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSens.Currency, pointSens.Sensitivity);
return(CurrencyParameterSensitivities.of(curSens));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity_df()
{
PointSensitivities point = PRICER.presentValueSensitivity(PAYMENT, DISCOUNT_FACTORS).build();
double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
double expected = -DF * relativeYearFraction * NOTIONAL_USD;
ZeroRateSensitivity actual = (ZeroRateSensitivity)point.Sensitivities.get(0);
assertEquals(actual.Currency, USD);
assertEquals(actual.CurveCurrency, USD);
assertEquals(actual.YearFraction, relativeYearFraction);
assertEquals(actual.Sensitivity, expected, NOTIONAL_USD * TOL);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ZeroRateSensitivity other = (ZeroRateSensitivity)obj;
return(JodaBeanUtils.equal(curveCurrency, other.curveCurrency) && JodaBeanUtils.equal(yearFraction, other.yearFraction) && JodaBeanUtils.equal(currency, other.currency) && JodaBeanUtils.equal(sensitivity, other.sensitivity));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityWithSpread_df_spread_continuous()
{
PointSensitivities point = PRICER.presentValueSensitivityWithSpread(PAYMENT, DISCOUNT_FACTORS, Z_SPREAD, CONTINUOUS, 0).build();
double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
double expected = -DF *relativeYearFraction *NOTIONAL_USD *Math.Exp(-Z_SPREAD *relativeYearFraction);
ZeroRateSensitivity actual = (ZeroRateSensitivity)point.Sensitivities.get(0);
assertEquals(actual.Currency, USD);
assertEquals(actual.CurveCurrency, USD);
assertEquals(actual.YearFraction, relativeYearFraction);
assertEquals(actual.Sensitivity, expected, NOTIONAL_USD * TOL);
}
