public virtual void test_builder_noRepoRate()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).build();
assertEquals(test.issuerCurveDiscountFactors(ID_ISSUER, GBP), IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
assertEquals(test.ValuationDate, DATE);
}
public virtual void test_zeroRatePointSensitivity_USD()
{
IssuerCurveDiscountFactors @base = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP);
IssuerCurveZeroRateSensitivity expected = IssuerCurveZeroRateSensitivity.of(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD), GROUP);
IssuerCurveZeroRateSensitivity computed = @base.zeroRatePointSensitivity(DATE_AFTER, USD);
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IssuerCurveDiscountFactors test1 = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP);
coverImmutableBean(test1);
IssuerCurveDiscountFactors test2 = IssuerCurveDiscountFactors.of(ZeroRateDiscountFactors.of(USD, DATE, CURVE), LegalEntityGroup.of("ISSUER2"));
coverBeanEquals(test1, test2);
}
public virtual void test_parameterSensitivity()
{
IssuerCurveDiscountFactors @base = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP);
IssuerCurveZeroRateSensitivity sensi = @base.zeroRatePointSensitivity(DATE_AFTER, USD);
CurrencyParameterSensitivities computed = @base.parameterSensitivity(sensi);
CurrencyParameterSensitivities expected = DSC_FACTORS.parameterSensitivity(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD));
assertEquals(computed, expected);
}
public virtual void test_of()
{
IssuerCurveDiscountFactors test = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP);
assertEquals(test.LegalEntityGroup, GROUP);
assertEquals(test.Currency, GBP);
assertEquals(test.ValuationDate, DATE);
assertEquals(test.discountFactor(DATE_AFTER), DSC_FACTORS.discountFactor(DATE_AFTER));
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).valuationDate(DATE).build();
assertEquals(test.issuerCurveDiscountFactors(ID_ISSUER, GBP), IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
assertEquals(test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP), RepoCurveDiscountFactors.of(DSC_FACTORS_REPO, GROUP_REPO_SECURITY));
assertThrowsIllegalArg(() => test.repoCurveDiscountFactors(ID_ISSUER, GBP));
assertEquals(test.ValuationDate, DATE);
}
// lookup the discount factors for the legal entity group
private IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityGroup legalEntityGroup, Currency currency)
{
DiscountFactors discountFactors = issuerCurves.get(Pair.of(legalEntityGroup, currency));
if (discountFactors == null)
{
throw new System.ArgumentException("Unable to find issuer curve: " + legalEntityGroup + ", " + currency);
}
return(IssuerCurveDiscountFactors.of(discountFactors, legalEntityGroup));
}
//-------------------------------------------------------------------------
public virtual void presentValueSensitivity()
{
PointSensitivities sensiComputed = PRICER.presentValueSensitivity(BILL, PROVIDER);
PointSensitivities sensiExpected = IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER).zeroRatePointSensitivity(MATURITY_DATE).multipliedBy(NOTIONAL.Amount).build();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, TOLERANCE_PV));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(sensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER.presentValue(BILL, p));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT));
}
public virtual void test_presentValueWithZSpread_periodic_noExcoupon()
{
CurrencyAmount computed = PRICER.presentValueWithZSpread(PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurrencyAmount expected = PRICER_NOMINAL.presentValueWithSpread(PRODUCT.NominalPayment, DSC_FACTORS_ISSUER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
int size = PRODUCT.PeriodicPayments.size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i)
{
FixedCouponBondPaymentPeriod payment = PRODUCT.PeriodicPayments.get(i);
pvcCupon += PRICER_COUPON.presentValueWithSpread(payment, IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
}
expected = expected.plus(pvcCupon);
assertEquals(computed.Currency, EUR);
assertEquals(computed.Amount, expected.Amount, NOTIONAL * TOL);
}
/// <summary>
/// Obtains issuer curve discount factors form valuation date.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the discount factors </returns>
public static IssuerCurveDiscountFactors getIssuerCurveDiscountFactors(LocalDate valuationDate)
{
DiscountFactors dscIssuer = ZeroRateDiscountFactors.of(USD, valuationDate, ISSUER_CURVE);
return(IssuerCurveDiscountFactors.of(dscIssuer, GROUP_ISSUER));
}
