public virtual void test_rateSensitivity()
{
RatesProvider mockProv = mock(typeof(RatesProvider));
IborIndexRates mockRates3M = mock(typeof(IborIndexRates));
IborIndexRates mockRates6M = mock(typeof(IborIndexRates));
when(mockProv.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProv.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
when(mockRates3M.ratePointSensitivity(GBP_LIBOR_3M_OBS)).thenReturn(SENSITIVITY3);
when(mockRates6M.ratePointSensitivity(GBP_LIBOR_6M_OBS)).thenReturn(SENSITIVITY6);
IborInterpolatedRateComputation ro = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
ForwardIborInterpolatedRateComputationFn obsFn = ForwardIborInterpolatedRateComputationFn.DEFAULT;
LocalDate fixingEndDate3M = GBP_LIBOR_3M_OBS.MaturityDate;
LocalDate fixingEndDate6M = GBP_LIBOR_6M_OBS.MaturityDate;
double days3M = fixingEndDate3M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 3M fixing period
double days6M = fixingEndDate6M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 6M fixing period
double daysCpn = ACCRUAL_END_DATE.toEpochDay() - FIXING_DATE.toEpochDay();
double weight3M = (days6M - daysCpn) / (days6M - days3M);
double weight6M = (daysCpn - days3M) / (days6M - days3M);
IborRateSensitivity sens3 = IborRateSensitivity.of(GBP_LIBOR_3M_OBS, weight3M);
IborRateSensitivity sens6 = IborRateSensitivity.of(GBP_LIBOR_6M_OBS, weight6M);
PointSensitivities expected = PointSensitivities.of(ImmutableList.of(sens3, sens6));
PointSensitivityBuilder test = obsFn.rateSensitivity(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv);
assertEquals(test.build(), expected);
}
public virtual void test_rateSensitivity_finiteDifference()
{
double eps = 1.0e-7;
RatesProvider mockProv = mock(typeof(RatesProvider));
IborIndexRates mockRates3M = mock(typeof(IborIndexRates));
IborIndexRates mockRates6M = mock(typeof(IborIndexRates));
when(mockProv.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProv.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
when(mockRates3M.rate(GBP_LIBOR_3M_OBS)).thenReturn(RATE3);
when(mockRates6M.rate(GBP_LIBOR_6M_OBS)).thenReturn(RATE6);
when(mockRates3M.ratePointSensitivity(GBP_LIBOR_3M_OBS)).thenReturn(SENSITIVITY3);
when(mockRates6M.ratePointSensitivity(GBP_LIBOR_6M_OBS)).thenReturn(SENSITIVITY6);
IborInterpolatedRateComputation ro = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
ForwardIborInterpolatedRateComputationFn obs = ForwardIborInterpolatedRateComputationFn.DEFAULT;
PointSensitivityBuilder test = obs.rateSensitivity(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv);
IborIndexRates mockRatesUp3M = mock(typeof(IborIndexRates));
when(mockRatesUp3M.rate(GBP_LIBOR_3M_OBS)).thenReturn(RATE3 + eps);
IborIndexRates mockRatesDw3M = mock(typeof(IborIndexRates));
when(mockRatesDw3M.rate(GBP_LIBOR_3M_OBS)).thenReturn(RATE3 - eps);
IborIndexRates mockRatesUp6M = mock(typeof(IborIndexRates));
when(mockRatesUp6M.rate(GBP_LIBOR_6M_OBS)).thenReturn(RATE6 + eps);
IborIndexRates mockRatesDw6M = mock(typeof(IborIndexRates));
when(mockRatesDw6M.rate(GBP_LIBOR_6M_OBS)).thenReturn(RATE6 - eps);
RatesProvider mockProvUp3M = mock(typeof(RatesProvider));
when(mockProvUp3M.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRatesUp3M);
when(mockProvUp3M.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
RatesProvider mockProvDw3M = mock(typeof(RatesProvider));
when(mockProvDw3M.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRatesDw3M);
when(mockProvDw3M.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
RatesProvider mockProvUp6M = mock(typeof(RatesProvider));
when(mockProvUp6M.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProvUp6M.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRatesUp6M);
RatesProvider mockProvDw6M = mock(typeof(RatesProvider));
when(mockProvDw6M.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProvDw6M.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRatesDw6M);
double rateUp3M = obs.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProvUp3M);
double rateDw3M = obs.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProvDw3M);
double senseExpected3M = 0.5 * (rateUp3M - rateDw3M) / eps;
double rateUp6M = obs.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProvUp6M);
double rateDw6M = obs.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProvDw6M);
double senseExpected6M = 0.5 * (rateUp6M - rateDw6M) / eps;
assertEquals(test.build().Sensitivities.get(0).Sensitivity, senseExpected3M, eps);
assertEquals(test.build().Sensitivities.get(1).Sensitivity, senseExpected6M, eps);
}
public virtual void test_resolve_IborInterpolated()
{
Fra fra = Fra.builder().buySell(SELL).notional(NOTIONAL_1M).startDate(date(2015, 6, 12)).endDate(date(2015, 9, 5)).businessDayAdjustment(BDA_MOD_FOLLOW).fixedRate(FIXED_RATE).index(GBP_LIBOR_3M).indexInterpolated(GBP_LIBOR_2M).fixingDateOffset(MINUS_TWO_DAYS).build();
ResolvedFra test = fra.resolve(REF_DATA);
assertEquals(test.Currency, GBP);
assertEquals(test.Notional, -NOTIONAL_1M, 0d); // sell
assertEquals(test.StartDate, date(2015, 6, 12));
assertEquals(test.EndDate, date(2015, 9, 7));
assertEquals(test.PaymentDate, date(2015, 6, 12));
assertEquals(test.FixedRate, FIXED_RATE, 0d);
assertEquals(test.FloatingRate, IborInterpolatedRateComputation.of(GBP_LIBOR_2M, GBP_LIBOR_3M, date(2015, 6, 10), REF_DATA));
assertEquals(test.YearFraction, ACT_365F.yearFraction(date(2015, 6, 12), date(2015, 9, 7)), 0d);
assertEquals(test.Discounting, ISDA);
}
public virtual void test_rate()
{
RatesProvider mockProv = mock(typeof(RatesProvider));
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE3TS);
IborIndexRates mockRates3M = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
IborIndexRates mockRates6M = new TestingIborIndexRates(GBP_LIBOR_6M, FIXING_DATE, LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE6), LocalDateDoubleTimeSeries.empty());
when(mockProv.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProv.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
IborInterpolatedRateComputation ro = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
ForwardIborInterpolatedRateComputationFn obs = ForwardIborInterpolatedRateComputationFn.DEFAULT;
LocalDate fixingEndDate3M = GBP_LIBOR_3M_OBS.MaturityDate;
LocalDate fixingEndDate6M = GBP_LIBOR_6M_OBS.MaturityDate;
double days3M = fixingEndDate3M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 3M fixing period
double days6M = fixingEndDate6M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 6M fixing period
double daysCpn = ACCRUAL_END_DATE.toEpochDay() - FIXING_DATE.toEpochDay();
double weight3M = (days6M - daysCpn) / (days6M - days3M);
double weight6M = (daysCpn - days3M) / (days6M - days3M);
double rateExpected = (weight3M * RATE3TS + weight6M * RATE6);
double rateComputed = obs.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv);
assertEquals(rateComputed, rateExpected, TOLERANCE_RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obs.explainRate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv, builder), rateExpected, TOLERANCE_RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 2);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE3TS);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.WEIGHT), weight3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX), GBP_LIBOR_6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX_VALUE), RATE6);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.WEIGHT), weight6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FROM_FIXING_SERIES), null);
assertEquals(built.get(ExplainKey.COMBINED_RATE), rateExpected);
}
public virtual void test_expand_singlePeriod_stubCalcsInitialStub_interpolated()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_2M).fixingDateOffset(MINUS_TWO_DAYS).initialStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1W, GBP_LIBOR_1M)).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB).yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1W, GBP_LIBOR_1M, DATE_01_06, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(SINGLE_ACCRUAL_SCHEDULE_STUB, SINGLE_ACCRUAL_SCHEDULE_STUB, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1));
}