Exemple #1
0
        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);
        }
Exemple #2
0
        //-------------------------------------------------------------------------
        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);
        }