/// <summary>
/// Test for the case where publication lag=0, effective offset=0 (GBP conventions) and no cutoff period.
/// The arithmetic average coupons are used mainly in USD. This test is more for completeness than a real case.
/// </summary>
public virtual void rateGbpNoCutOff()
{
OvernightIndexRates mockRates = mock(typeof(OvernightIndexRates));
when(mockRates.Index).thenReturn(GBP_SONIA);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < GBP_OBS.Length; i++)
{
when(mockRates.rate(GBP_OBS[i])).thenReturn(FIXING_RATES[i]);
}
OvernightAveragedRateComputation ro = OvernightAveragedRateComputation.of(GBP_SONIA, START_DATE, END_DATE, 0, REF_DATA);
ForwardOvernightAveragedRateComputationFn obsFn = ForwardOvernightAveragedRateComputationFn.DEFAULT;
double accrualFactorTotal = 0.0d;
double accruedRate = 0.0d;
int indexLast = 5; // Fixing in the observation period are from 1 to 5 (inclusive)
for (int i = 1; i <= indexLast; i++)
{
LocalDate startDate = GBP_OBS[i].EffectiveDate;
LocalDate endDate = GBP_OBS[i].MaturityDate;
double af = GBP_SONIA.DayCount.yearFraction(startDate, endDate);
accrualFactorTotal += af;
accruedRate += FIXING_RATES[i] * af;
}
double rateExpected = accruedRate / accrualFactorTotal;
double rateComputed = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
assertEquals(rateExpected, rateComputed, TOLERANCE_RATE);
}
/// <summary>
/// Test for the case where publication lag=1, effective offset=0 (USD conventions) and cutoff=2 (FedFund swaps). </summary>
public virtual void rateFedFund()
{
OvernightIndexRates mockRates = mock(typeof(OvernightIndexRates));
when(mockRates.Index).thenReturn(USD_FED_FUND);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < USD_OBS.Length; i++)
{
when(mockRates.rate(USD_OBS[i])).thenReturn(FIXING_RATES[i]);
}
OvernightAveragedRateComputation ro = OvernightAveragedRateComputation.of(USD_FED_FUND, START_DATE, END_DATE, 2, REF_DATA);
ForwardOvernightAveragedRateComputationFn obsFn = ForwardOvernightAveragedRateComputationFn.DEFAULT;
double accrualFactorTotal = 0.0d;
double accruedRate = 0.0d;
int indexLast = 5; // Fixing in the observation period are from 1 to 5 (inclusive), but last is modified by cut-off
for (int i = 1; i <= indexLast - 1; i++)
{
LocalDate endDate = USD_OBS[i].MaturityDate;
double af = USD_FED_FUND.DayCount.yearFraction(FIXING_DATES[i], endDate);
accrualFactorTotal += af;
accruedRate += FIXING_RATES[i] * af;
}
// CutOff
LocalDate endDate = USD_OBS[indexLast].MaturityDate;
double af = USD_FED_FUND.DayCount.yearFraction(FIXING_DATES[indexLast], endDate);
accrualFactorTotal += af;
accruedRate += FIXING_RATES[indexLast - 1] * af;
double rateExpected = accruedRate / accrualFactorTotal;
double rateComputed = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
assertEquals(rateExpected, rateComputed, TOLERANCE_RATE);
}
private double?[] computedSensitivityFD(OvernightAveragedRateComputation ro, OvernightIndex index, OvernightIndexObservation[] indexObs)
{
int nRates = FIXING_DATES.Length;
OvernightIndexRates[] mockRatesUp = new OvernightIndexRates[nRates];
SimpleRatesProvider[] simpleProvUp = new SimpleRatesProvider[nRates];
OvernightIndexRates[] mockRatesDw = new OvernightIndexRates[nRates];
SimpleRatesProvider[] simpleProvDw = new SimpleRatesProvider[nRates];
double[][] ratesUp = new double[nRates][];
double[][] ratesDw = new double[nRates][];
for (int i = 0; i < nRates; ++i)
{
mockRatesUp[i] = mock(typeof(OvernightIndexRates));
simpleProvUp[i] = new SimpleRatesProvider(mockRatesUp[i]);
mockRatesDw[i] = mock(typeof(OvernightIndexRates));
simpleProvDw[i] = new SimpleRatesProvider(mockRatesDw[i]);
ratesUp[i] = Arrays.copyOf(FIXING_RATES, nRates);
ratesDw[i] = Arrays.copyOf(FIXING_RATES, nRates);
ratesUp[i][i] += EPS_FD;
ratesDw[i][i] -= EPS_FD;
}
for (int i = 0; i < nRates; i++)
{
for (int j = 0; j < nRates; ++j)
{
when(mockRatesUp[j].rate(indexObs[i])).thenReturn(ratesUp[j][i]);
when(mockRatesDw[j].rate(indexObs[i])).thenReturn(ratesDw[j][i]);
}
}
ForwardOvernightAveragedRateComputationFn obsFn = ForwardOvernightAveragedRateComputationFn.DEFAULT;
IList <double> sensitivityExpected = new List <double>();
for (int i = 0; i < nRates; ++i)
{
double rateUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProvUp[i]);
double rateDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProvDw[i]);
double res = 0.5 * (rateUp - rateDw) / EPS_FD;
if (Math.Abs(res) > 1.0e-14)
{
sensitivityExpected.Add(res);
}
}
int size = sensitivityExpected.Count;
double?[] result = new double?[size];
return(sensitivityExpected.toArray(result));
}
//-------------------------------------------------------------------------
/// <summary>
/// Test for the case where publication lag=1, effective offset=0 (USD conventions) and no cutoff period. </summary>
public virtual void rateFedFundNoCutOff()
{
OvernightIndexRates mockRates = mock(typeof(OvernightIndexRates));
when(mockRates.Index).thenReturn(USD_FED_FUND);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < USD_OBS.Length; i++)
{
when(mockRates.rate(USD_OBS[i])).thenReturn(FIXING_RATES[i]);
}
OvernightAveragedRateComputation ro = OvernightAveragedRateComputation.of(USD_FED_FUND, START_DATE, END_DATE, 0, REF_DATA);
// Accrual dates = fixing dates
ForwardOvernightAveragedRateComputationFn obsFn = ForwardOvernightAveragedRateComputationFn.DEFAULT;
double accrualFactorTotal = 0.0d;
double accruedRate = 0.0d;
int indexLast = 5; // Fixing in the observation period are from 1 to 5 (inclusive)
for (int i = 1; i <= indexLast; i++)
{
LocalDate endDate = USD_OBS[i].MaturityDate;
double af = USD_FED_FUND.DayCount.yearFraction(FIXING_DATES[i], endDate);
accrualFactorTotal += af;
accruedRate += FIXING_RATES[i] * af;
}
double rateExpected = accruedRate / accrualFactorTotal;
double rateComputed = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
assertEquals(rateExpected, rateComputed, TOLERANCE_RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
double explainedRate = obsFn.explainRate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv, builder);
assertEquals(explainedRate, rateExpected, TOLERANCE_RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, false);
assertEquals(built.get(ExplainKey.COMBINED_RATE).Value.doubleValue(), rateExpected, TOLERANCE_RATE);
}
/// <summary>
/// Test parameter sensitivity with finite difference sensitivity calculator. No cutoff period. </summary>
public virtual void rateChfNoCutOffParameterSensitivity()
{
LocalDate[] valuationDate = new LocalDate[] { date(2015, 1, 1), date(2015, 1, 8) };
DoubleArray time = DoubleArray.of(0.0, 0.5, 1.0, 2.0, 5.0, 10.0);
DoubleArray rate = DoubleArray.of(0.0100, 0.0110, 0.0115, 0.0130, 0.0135, 0.0135);
for (int loopvaldate = 0; loopvaldate < 2; loopvaldate++)
{
Curve onCurve = InterpolatedNodalCurve.of(Curves.zeroRates("ON", ACT_ACT_ISDA), time, rate, INTERPOLATOR);
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(valuationDate[loopvaldate]).overnightIndexCurve(CHF_TOIS, onCurve, TIME_SERIES).build();
OvernightAveragedRateComputation ro = OvernightAveragedRateComputation.of(CHF_TOIS, START_DATE, END_DATE, 0, REF_DATA);
ForwardOvernightAveragedRateComputationFn obsFn = ForwardOvernightAveragedRateComputationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed = obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
CurrencyParameterSensitivities parameterSensitivityComputed = prov.parameterSensitivity(sensitivityBuilderComputed.build());
CurrencyParameterSensitivities parameterSensitivityExpected = CAL_FD.sensitivity(prov, (p) => CurrencyAmount.of(CHF_TOIS.Currency, obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, (p))));
assertTrue(parameterSensitivityComputed.equalWithTolerance(parameterSensitivityExpected, EPS_FD * 10.0));
}
}