public virtual void test_zeroRatePointSensitivity()
{
RepoCurveDiscountFactors @base = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER), GROUP);
RepoCurveZeroRateSensitivity computed = @base.zeroRatePointSensitivity(DATE_AFTER);
assertEquals(computed, expected);
}
/// <summary>
/// Calculates the par spread curve sensitivity.
/// <para>
/// The calculation is based on both of initial and final payments.
/// Thus the number resulting may not be meaningful when deposit has already started and only the final
/// payment remains (no initial payment).
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread curve sensitivity </returns>
public virtual PointSensitivities parSpreadSensitivity(ResolvedTermDeposit deposit, RatesProvider provider)
{
Currency currency = deposit.Currency;
double accrualFactorInv = 1d / deposit.YearFraction;
double dfStart = provider.discountFactor(currency, deposit.StartDate);
double dfEndInv = 1d / provider.discountFactor(currency, deposit.EndDate);
DiscountFactors discountFactors = provider.discountFactors(currency);
PointSensitivityBuilder sensStart = discountFactors.zeroRatePointSensitivity(deposit.StartDate).multipliedBy(dfEndInv * accrualFactorInv);
PointSensitivityBuilder sensEnd = discountFactors.zeroRatePointSensitivity(deposit.EndDate).multipliedBy(-dfStart * dfEndInv * dfEndInv * accrualFactorInv);
return(sensStart.combinedWith(sensEnd).build());
}
/// <summary>
/// Calculates the present value sensitivity by discounting the final cash flow (nominal + interest)
/// and the initial payment (initial amount).
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedTermDeposit deposit, RatesProvider provider)
{
Currency currency = deposit.Currency;
// backward sweep
double dfEndBar = deposit.Notional + deposit.Interest;
double dfStartBar = -initialAmount(deposit, provider);
// sensitivity
DiscountFactors discountFactors = provider.discountFactors(currency);
PointSensitivityBuilder sensStart = discountFactors.zeroRatePointSensitivity(deposit.StartDate).multipliedBy(dfStartBar);
PointSensitivityBuilder sensEnd = discountFactors.zeroRatePointSensitivity(deposit.EndDate).multipliedBy(dfEndBar);
return(sensStart.combinedWith(sensEnd).build());
}
public virtual PointSensitivityBuilder pvbpSensitivity(RatePaymentPeriod paymentPeriod, RatesProvider provider)
{
ArgChecker.isTrue(!paymentPeriod.FxReset.Present, "FX reset is not supported");
int accPeriodCount = paymentPeriod.AccrualPeriods.size();
ArgChecker.isTrue(accPeriodCount == 1 || paymentPeriod.CompoundingMethod.Equals(CompoundingMethod.FLAT), "Only one accrued period or Flat compounding supported");
// no compounding
if (accPeriodCount == 1)
{
RateAccrualPeriod accrualPeriod = paymentPeriod.AccrualPeriods.get(0);
DiscountFactors discountFactors = provider.discountFactors(paymentPeriod.Currency);
return(discountFactors.zeroRatePointSensitivity(paymentPeriod.PaymentDate).multipliedBy(accrualPeriod.YearFraction * paymentPeriod.Notional));
}
else
{
// Flat compounding
switch (paymentPeriod.CompoundingMethod)
{
case FLAT:
return(pvbpSensitivtyCompoundedFlat(paymentPeriod, provider));
default:
throw new System.NotSupportedException("PVBP not implemented yet for non FLAT compounding");
}
}
}
/// <summary>
/// Test present value sensitivity for AFMA FRA discounting method.
/// </summary>
public virtual void test_presentValueSensitivity_AFMA()
{
RateComputationFn<RateComputation> mockObs = mock(typeof(RateComputationFn));
DiscountFactors mockDf = mock(typeof(DiscountFactors));
SimpleRatesProvider simpleProv = new SimpleRatesProvider(VAL_DATE, mockDf);
ResolvedFra fraExp = RFRA_AFMA;
double forwardRate = 0.05;
double discountRate = 0.025;
double paymentTime = 0.3;
double discountFactor = Math.Exp(-discountRate * paymentTime);
LocalDate fixingDate = FRA_AFMA.StartDate;
IborIndexObservation obs = IborIndexObservation.of(FRA.Index, fixingDate, REF_DATA);
PointSensitivityBuilder sens = IborRateSensitivity.of(obs, 1d);
when(mockDf.discountFactor(fraExp.PaymentDate)).thenReturn(discountFactor);
when(mockDf.zeroRatePointSensitivity(fraExp.PaymentDate)).thenReturn(ZeroRateSensitivity.of(fraExp.Currency, paymentTime, -discountFactor * paymentTime));
when(mockObs.rateSensitivity(fraExp.FloatingRate, fraExp.StartDate, fraExp.EndDate, simpleProv)).thenReturn(sens);
when(mockObs.rate(fraExp.FloatingRate, FRA_AFMA.StartDate, FRA_AFMA.EndDate, simpleProv)).thenReturn(forwardRate);
DiscountingFraProductPricer test = new DiscountingFraProductPricer(mockObs);
PointSensitivities sensitivity = test.presentValueSensitivity(fraExp, simpleProv);
double eps = 1.e-7;
double fdDscSense = dscSensitivity(RFRA_AFMA, forwardRate, discountFactor, paymentTime, eps);
double fdSense = presentValueFwdSensitivity(RFRA_AFMA, forwardRate, discountFactor, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.Sensitivities;
assertEquals(sensitivities.size(), 2);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.Index, FRA_AFMA.Index);
assertEquals(sensitivity0.Observation.FixingDate, fixingDate);
assertEquals(sensitivity0.Sensitivity, fdSense, FRA_AFMA.Notional * eps);
ZeroRateSensitivity sensitivity1 = (ZeroRateSensitivity) sensitivities.get(1);
assertEquals(sensitivity1.Currency, FRA_AFMA.Currency);
assertEquals(sensitivity1.YearFraction, paymentTime);
assertEquals(sensitivity1.Sensitivity, fdDscSense, FRA_AFMA.Notional * eps);
}
/// <summary>
/// Compute the present value curve sensitivity of the payment.
/// <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>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="discountFactors"> the discount factors to price against </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(Payment payment, DiscountFactors discountFactors)
{
if (discountFactors.ValuationDate.isAfter(payment.Date))
{
return(PointSensitivityBuilder.none());
}
return(discountFactors.zeroRatePointSensitivity(payment.Date).multipliedBy(payment.Amount));
}
/// <summary>
/// Calculates the present value sensitivity of the Ibor fixing product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider)
{
double forwardRate = this.forwardRate(deposit, provider);
DiscountFactors discountFactors = provider.discountFactors(deposit.Currency);
double discountFactor = discountFactors.discountFactor(deposit.EndDate);
// sensitivity
PointSensitivityBuilder sensiFwd = forwardRateSensitivity(deposit, provider).multipliedBy(-discountFactor * deposit.Notional * deposit.YearFraction);
PointSensitivityBuilder sensiDsc = discountFactors.zeroRatePointSensitivity(deposit.EndDate).multipliedBy(deposit.Notional * deposit.YearFraction * (deposit.FixedRate - forwardRate));
return(sensiFwd.combinedWith(sensiDsc).build());
}
public virtual PointSensitivityBuilder presentValueSensitivity(FxResetNotionalExchange @event, RatesProvider provider)
{
DiscountFactors discountFactors = provider.discountFactors(@event.Currency);
PointSensitivityBuilder sensiDsc = discountFactors.zeroRatePointSensitivity(@event.PaymentDate);
sensiDsc = sensiDsc.multipliedBy(forecastValue(@event, provider));
PointSensitivityBuilder sensiFx = forecastValueSensitivity(@event, provider);
sensiFx = sensiFx.multipliedBy(discountFactors.discountFactor(@event.PaymentDate));
return(sensiDsc.combinedWith(sensiFx));
}
//-------------------------------------------------------------------------
/// <summary>
/// Compute the present value curve sensitivity of the payment.
/// <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>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="provider"> the provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(Payment payment, BaseProvider provider)
{
// duplicated code to avoid looking up in the provider when not necessary
if (provider.ValuationDate.isAfter(payment.Date))
{
return(PointSensitivityBuilder.none());
}
DiscountFactors discountFactors = provider.discountFactors(payment.Currency);
return(discountFactors.zeroRatePointSensitivity(payment.Date).multipliedBy(payment.Amount));
}
/// <summary>
/// Calculates the present value sensitivity of the FRA product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="fra"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedFra fra, RatesProvider provider)
{
DiscountFactors discountFactors = provider.discountFactors(fra.Currency);
double df = discountFactors.discountFactor(fra.PaymentDate);
double notional = fra.Notional;
double unitAmount = this.unitAmount(fra, provider);
double derivative = this.derivative(fra, provider);
PointSensitivityBuilder iborSens = forwardRateSensitivity(fra, provider).multipliedBy(derivative * df * notional);
PointSensitivityBuilder discSens = discountFactors.zeroRatePointSensitivity(fra.PaymentDate).multipliedBy(unitAmount * notional);
return(iborSens.withCurrency(fra.Currency).combinedWith(discSens).build());
}
//-------------------------------------------------------------------------
public virtual PointSensitivityBuilder presentValueSensitivity(RatePaymentPeriod period, RatesProvider provider)
{
Currency ccy = period.Currency;
DiscountFactors discountFactors = provider.discountFactors(ccy);
LocalDate paymentDate = period.PaymentDate;
double df = discountFactors.discountFactor(paymentDate);
PointSensitivityBuilder forecastSensitivity = forecastValueSensitivity(period, provider);
forecastSensitivity = forecastSensitivity.multipliedBy(df);
double forecastValue = this.forecastValue(period, provider);
PointSensitivityBuilder dscSensitivity = discountFactors.zeroRatePointSensitivity(paymentDate);
dscSensitivity = dscSensitivity.multipliedBy(forecastValue);
return(forecastSensitivity.combinedWith(dscSensitivity));
}
//-------------------------------------------------------------------------
// creates a simple provider
private SimpleRatesProvider createProvider(NotionalExchange ne)
{
LocalDate paymentDate = ne.PaymentDate;
double paymentTime = DAY_COUNT.relativeYearFraction(VAL_DATE, paymentDate);
Currency currency = ne.Currency;
DiscountFactors mockDf = mock(typeof(DiscountFactors));
when(mockDf.discountFactor(paymentDate)).thenReturn(DISCOUNT_FACTOR);
ZeroRateSensitivity sens = ZeroRateSensitivity.of(currency, paymentTime, -DISCOUNT_FACTOR * paymentTime);
when(mockDf.zeroRatePointSensitivity(paymentDate)).thenReturn(sens);
SimpleRatesProvider prov = new SimpleRatesProvider(VAL_DATE, mockDf);
prov.DayCount = DAY_COUNT;
return(prov);
}
//-------------------------------------------------------------------------
// creates a simple provider
private SimpleRatesProvider createProvider(FxResetNotionalExchange ne)
{
LocalDate paymentDate = ne.PaymentDate;
double paymentTime = ACT_360.relativeYearFraction(VAL_DATE, paymentDate);
Currency currency = ne.Currency;
DiscountFactors mockDf = mock(typeof(DiscountFactors));
when(mockDf.discountFactor(paymentDate)).thenReturn(DISCOUNT_FACTOR);
ZeroRateSensitivity sens = ZeroRateSensitivity.of(currency, paymentTime, -DISCOUNT_FACTOR * paymentTime);
when(mockDf.zeroRatePointSensitivity(paymentDate)).thenReturn(sens);
FxIndexRates mockFxRates = mock(typeof(FxIndexRates));
when(mockFxRates.rate(ne.Observation, ne.ReferenceCurrency)).thenReturn(FX_RATE);
SimpleRatesProvider prov = new SimpleRatesProvider(VAL_DATE);
prov.DiscountFactors = mockDf;
prov.FxIndexRates = mockFxRates;
prov.DayCount = ACT_360;
return(prov);
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(FxForwardSensitivity pointSensitivity)
{
// use the specified base currency to determine the desired currency pair
// then derive sensitivity from discount factors based off desired currency pair, not that of the index
CurrencyPair currencyPair = pointSensitivity.CurrencyPair;
Currency refBaseCurrency = pointSensitivity.ReferenceCurrency;
Currency refCounterCurrency = pointSensitivity.ReferenceCounterCurrency;
Currency sensitivityCurrency = pointSensitivity.Currency;
LocalDate referenceDate = pointSensitivity.ReferenceDate;
bool inverse = refBaseCurrency.Equals(currencyPair.Counter);
DiscountFactors discountFactorsRefBase = (inverse ? counterCurrencyDiscountFactors : baseCurrencyDiscountFactors);
DiscountFactors discountFactorsRefCounter = (inverse ? baseCurrencyDiscountFactors : counterCurrencyDiscountFactors);
double dfCcyBaseAtMaturity = discountFactorsRefBase.discountFactor(referenceDate);
double dfCcyCounterAtMaturityInv = 1d / discountFactorsRefCounter.discountFactor(referenceDate);
double fxRate = fxRateProvider.fxRate(refBaseCurrency, refCounterCurrency);
ZeroRateSensitivity dfCcyBaseAtMaturitySensitivity = discountFactorsRefBase.zeroRatePointSensitivity(referenceDate, sensitivityCurrency).multipliedBy(fxRate * dfCcyCounterAtMaturityInv * pointSensitivity.Sensitivity);
ZeroRateSensitivity dfCcyCounterAtMaturitySensitivity = discountFactorsRefCounter.zeroRatePointSensitivity(referenceDate, sensitivityCurrency).multipliedBy(-fxRate * dfCcyBaseAtMaturity * dfCcyCounterAtMaturityInv * dfCcyCounterAtMaturityInv * pointSensitivity.Sensitivity);
return(discountFactorsRefBase.parameterSensitivity(dfCcyBaseAtMaturitySensitivity).combinedWith(discountFactorsRefCounter.parameterSensitivity(dfCcyCounterAtMaturitySensitivity)));
}
