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);
        }
Esempio n. 3
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        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));
        }