public virtual void test_usdLibor3m_dates()
{
IborIndex test = IborIndex.of("USD-LIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 14), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 14), REF_DATA), date(2015, 1, 14));
// effective date is US holiday
assertEquals(test.calculateEffectiveFromFixing(date(2015, 1, 16), REF_DATA), date(2015, 1, 20));
assertEquals(test.calculateMaturityFromFixing(date(2015, 1, 16), REF_DATA), date(2015, 4, 20));
assertEquals(test.calculateFixingFromEffective(date(2015, 1, 20), REF_DATA), date(2015, 1, 16));
assertEquals(test.calculateMaturityFromEffective(date(2015, 1, 20), REF_DATA), date(2015, 4, 20));
// input date is Sunday, 13th is US holiday, but not UK holiday (can fix, but not be effective)
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 14));
// fixing time and zone
assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 0)).atZone(ZoneId.of("Europe/London")));
// resolve
assertEquals(test.resolve(REF_DATA).apply(date(2014, 10, 27)), IborIndexObservation.of(test, date(2014, 10, 27), REF_DATA));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance from an index and fixing date.
/// <para>
/// The reference data is used to find the maturity date from the fixing date.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="fixingDate"> the fixing date </param>
/// <param name="refData"> the reference data to use when resolving holiday calendars </param>
/// <returns> the rate observation </returns>
public static IborIndexObservation of(IborIndex index, LocalDate fixingDate, ReferenceData refData)
{
LocalDate effectiveDate = index.calculateEffectiveFromFixing(fixingDate, refData);
LocalDate maturityDate = index.calculateMaturityFromEffective(effectiveDate, refData);
double yearFraction = index.DayCount.yearFraction(effectiveDate, maturityDate);
return(new IborIndexObservation(index, fixingDate, effectiveDate, maturityDate, yearFraction));
}
public virtual void test_tibor_euroyen3m_dates()
{
IborIndex test = IborIndex.of("JPY-TIBOR-EUROYEN-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 15), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 15), REF_DATA), date(2015, 1, 15));
// input date is Sunday
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 16));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 16));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 9));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 14));
// fixing time and zone
assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 50)).atZone(ZoneId.of("Asia/Tokyo")));
}
public virtual void test_euribor3m_dates()
{
IborIndex test = IborIndex.of("EUR-EURIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 14), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 14), REF_DATA), date(2015, 1, 14));
// input date is Sunday
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 9));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 13));
// fixing time and zone
assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 0)).atZone(ZoneId.of("Europe/Brussels")));
}
public virtual void test_gbpLibor3m_dates()
{
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2015, 1, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13), REF_DATA), date(2015, 1, 13));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 12));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2015, 1, 12));
// input date is Sunday
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 13));
// fixing time and zone
assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 0)).atZone(ZoneId.of("Europe/London")));
// resolve
assertEquals(test.resolve(REF_DATA).apply(date(2014, 10, 13)), IborIndexObservation.of(test, date(2014, 10, 13), REF_DATA));
}
/// <summary>
/// Test the future convexity adjustment factor v a hard-coded value.
/// </summary>
public virtual void futureConvexityFactor()
{
LocalDate SPOT_DATE = LocalDate.of(2012, 9, 19);
LocalDate LAST_TRADING_DATE = EURIBOR3M.calculateFixingFromEffective(SPOT_DATE, REF_DATA);
LocalDate REFERENCE_DATE = LocalDate.of(2010, 8, 18);
double tradeLastTime = DayCounts.ACT_ACT_ISDA.relativeYearFraction(REFERENCE_DATE, LAST_TRADING_DATE);
double fixStartTime = DayCounts.ACT_ACT_ISDA.relativeYearFraction(REFERENCE_DATE, SPOT_DATE);
double fixEndTime = DayCounts.ACT_ACT_ISDA.relativeYearFraction(REFERENCE_DATE, EURIBOR3M.calculateMaturityFromEffective(SPOT_DATE, REF_DATA));
double factor = MODEL.futuresConvexityFactor(MODEL_PARAMETERS, tradeLastTime, fixStartTime, fixEndTime);
double expectedFactor = 1.000079130767980;
assertEquals(expectedFactor, factor, TOLERANCE_RATE);
// Derivative with respect to volatility parameters
int nbSigma = MODEL_PARAMETERS.Volatility.size();
ValueDerivatives factorDeriv = MODEL.futuresConvexityFactorAdjoint(MODEL_PARAMETERS, tradeLastTime, fixStartTime, fixEndTime);
double factor2 = factorDeriv.Value;
double[] sigmaBar = factorDeriv.Derivatives.toArray();
assertEquals(factor, factor2, TOLERANCE_RATE);
double[] sigmaBarExpected = new double[nbSigma];
double shift = 1E-6;
for (int loops = 0; loops < nbSigma; loops++)
{
double[] volBumped = VOLATILITY.toArray();
volBumped[loops] += shift;
HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, DoubleArray.copyOf(volBumped), VOLATILITY_TIME);
double factorPlus = MODEL.futuresConvexityFactor(parametersBumped, tradeLastTime, fixStartTime, fixEndTime);
volBumped[loops] -= 2 * shift;
parametersBumped = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, DoubleArray.copyOf(volBumped), VOLATILITY_TIME);
double factorMinus = MODEL.futuresConvexityFactor(parametersBumped, tradeLastTime, fixStartTime, fixEndTime);
sigmaBarExpected[loops] = (factorPlus - factorMinus) / (2 * shift);
assertEquals(sigmaBarExpected[loops], sigmaBar[loops], TOLERANCE_RATE);
}
}
