public virtual void bucketedCs01SingleNodeCurveTest()
{
ImmutableCreditRatesProvider ratesProviderNoCredit = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).build();
QuoteId quoteId = QuoteId.of(StandardId.of("OG", END2.ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(START, END2, CDS_CONV), quoteId, LEGAL_ENTITY);
ImmutableMarketData marketData = ImmutableMarketData.builder(VALUATION_DATE).addValue(quoteId, DEAL_SPREAD * ONE_BP).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, ImmutableList.of(node), true, false);
LegalEntitySurvivalProbabilities creditCurve = BUILDER.calibrate(definition, marketData, ratesProviderNoCredit, REF_DATA);
ImmutableCreditRatesProvider ratesProvider = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, USD), creditCurve)).build();
double[] expectedFd = new double[] { -6.876275937539589E-4, 1.1832215762730414E-4, 0.0012340982402658796, 0.002784985575488008, 0.005287295115619095, 2429.636217554099, 3101.303324461041 };
CurrencyParameterSensitivity analytic = CS01_AN.bucketedCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), ratesProvider, REF_DATA);
CurrencyParameterSensitivity fd = CS01_FD.bucketedCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), ratesProvider, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(fd.ParameterCount, NUM_MARKET_CDS);
assertEquals(fd.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(fd.Sensitivity.multipliedBy(ONE_BP).toArray(), expectedFd, NOTIONAL * TOL));
assertEquals(analytic.Currency, USD);
assertEquals(analytic.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(analytic.ParameterCount, NUM_MARKET_CDS);
assertEquals(analytic.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(analytic.Sensitivity.toArray(), fd.Sensitivity.toArray(), NOTIONAL * ONE_BP * 10d));
}
//-------------------------------------------------------------------------
public virtual void test_iborIndex_tenor()
{
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").DefaultTenor, Tenor.TENOR_3M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toFloatingRateIndex(), IborIndices.GBP_LIBOR_3M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toFloatingRateIndex(Tenor.TENOR_1M), IborIndices.GBP_LIBOR_1M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toIborIndex(Tenor.TENOR_6M), IborIndices.GBP_LIBOR_6M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toIborIndex(Tenor.TENOR_12M), IborIndices.GBP_LIBOR_12M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toIborIndex(Tenor.TENOR_1Y), IborIndices.GBP_LIBOR_12M);
assertThrows(() => FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").toIborIndex(Tenor.TENOR_6M), typeof(System.InvalidOperationException));
assertEquals(ImmutableList.copyOf(FloatingRateName.of("GBP-LIBOR-BBA").Tenors), ImmutableList.of(Tenor.TENOR_1W, Tenor.TENOR_1M, Tenor.TENOR_2M, Tenor.TENOR_3M, Tenor.TENOR_6M, Tenor.TENOR_12M));
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toIborIndexFixingOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO)));
}
//-------------------------------------------------------------------------
public virtual void test_builder_full()
{
BondFuture test = BondFuture.builder().securityId(SECURITY_ID).deliveryBasket(BOND_PRODUCT).conversionFactors(CONVERSION_FACTOR).firstNoticeDate(FIRST_NOTICE_DATE).firstDeliveryDate(FIRST_DELIVERY_DATE).lastNoticeDate(LAST_NOTICE_DATE).lastDeliveryDate(LAST_DELIVERY_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build();
assertEquals(test.DeliveryBasket, ImmutableList.copyOf(BOND_PRODUCT));
assertEquals(test.ConversionFactors, ImmutableList.copyOf(CONVERSION_FACTOR));
assertEquals(test.Currency, USD);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.FirstNoticeDate, FIRST_NOTICE_DATE);
assertEquals(test.LastNoticeDate, LAST_NOTICE_DATE);
assertEquals(test.FirstDeliveryDate, FIRST_DELIVERY_DATE);
assertEquals(test.LastDeliveryDate, LAST_DELIVERY_DATE);
assertEquals(test.LastTradeDate, LAST_TRADING_DATE);
assertEquals(test.Rounding, ROUNDING);
}
public virtual void parellelCs01Test()
{
double fromExcel = 4238.557409;
CurrencyAmount fd = CS01_FD.parallelCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
CurrencyAmount analytic = CS01_AN.parallelCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.Amount * ONE_BP, fromExcel, TOL * NOTIONAL);
assertEquals(analytic.Currency, USD);
assertEquals(analytic.Amount * ONE_BP, fd.Amount * ONE_BP, ONE_BP * NOTIONAL);
// equivalence to market quote sensitivity for par spread quote
PointSensitivities point = PRICER.presentValueOnSettleSensitivity(CDS1, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, LEGAL_ENTITY, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
double cs01FromQuoteSensi = quoteSensi.Sensitivities.get(0).Sensitivity.sum();
assertEquals(cs01FromQuoteSensi * ONE_BP, analytic.Amount * ONE_BP, TOL * NOTIONAL);
}
//-------------------------------------------------------------------------
public virtual void parellelCs01IndexTest()
{
CurrencyAmount fdSingle = CS01_FD.parallelCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
CurrencyAmount analyticSingle = CS01_AN.parallelCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
CurrencyAmount fd = CS01_FD.parallelCs01(CDS_INDEX, ImmutableList.copyOf(MARKET_CDS_INDEX), RATES_PROVIDER, REF_DATA);
CurrencyAmount analytic = CS01_AN.parallelCs01(CDS_INDEX, ImmutableList.copyOf(MARKET_CDS_INDEX), RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.Amount, fdSingle.Amount * INDEX_FACTOR, TOL * NOTIONAL);
assertEquals(analytic.Amount, analyticSingle.Amount * INDEX_FACTOR, TOL * NOTIONAL);
assertEquals(analytic.Currency, USD);
// equivalence to market quote sensitivity for par spread quote
PointSensitivities point = PRICER_INDEX.presentValueOnSettleSensitivity(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, INDEX_ID, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
double cs01FromQuoteSensi = quoteSensi.Sensitivities.get(0).Sensitivity.sum();
assertEquals(cs01FromQuoteSensi, analytic.Amount, TOL * NOTIONAL);
}
public virtual void test_of_noLists()
{
IniFile test = IniFile.of(CharSource.wrap(INI1));
Multimap <string, string> keyValues1 = ImmutableListMultimap.of("c", "x", "b", "y", "a", "z");
Multimap <string, string> keyValues2 = ImmutableListMultimap.of("a", "m", "b", "n");
assertEquals(test.asMap(), ImmutableMap.of("section", PropertySet.of(keyValues1), "name", PropertySet.of(keyValues2)));
assertEquals(test.contains("section"), true);
assertEquals(test.section("section"), PropertySet.of(keyValues1));
assertEquals(test.section("section").contains("c"), true);
assertEquals(test.section("section").value("c"), "x");
assertEquals(test.section("section").valueList("c"), ImmutableList.of("x"));
assertEquals(test.section("section").contains("b"), true);
assertEquals(test.section("section").value("b"), "y");
assertEquals(test.section("section").valueList("b"), ImmutableList.of("y"));
assertEquals(test.section("section").contains("a"), true);
assertEquals(test.section("section").value("a"), "z");
assertEquals(test.section("section").valueList("a"), ImmutableList.of("z"));
assertEquals(test.section("section").contains("d"), false);
// order must be retained
assertEquals(ImmutableList.copyOf(test.section("section").keys()), ImmutableList.of("c", "b", "a"));
assertEquals(test.section("section").asMultimap(), ImmutableListMultimap.of("c", "x", "b", "y", "a", "z"));
assertEquals(test.contains("name"), true);
assertEquals(test.section("name"), PropertySet.of(keyValues2));
assertEquals(test.section("name").contains("a"), true);
assertEquals(test.section("name").value("a"), "m");
assertEquals(test.section("name").valueList("a"), ImmutableList.of("m"));
assertEquals(test.section("name").contains("b"), true);
assertEquals(test.section("name").value("b"), "n");
assertEquals(test.section("name").valueList("b"), ImmutableList.of("n"));
assertEquals(test.section("name").contains("c"), false);
assertEquals(ImmutableList.copyOf(test.section("name").keys()), ImmutableList.of("a", "b"));
assertEquals(test.section("name").asMultimap(), ImmutableListMultimap.of("a", "m", "b", "n"));
assertEquals(test.contains("unknown"), false);
assertThrowsIllegalArg(() => test.section("unknown"));
assertEquals(test.section("section").valueList("unknown"), ImmutableList.of());
assertThrowsIllegalArg(() => test.section("section").value("unknown"));
assertEquals(test.ToString(), "{section={c=[x], b=[y], a=[z]}, name={a=[m], b=[n]}}");
}
public virtual void bucketedCs01Test()
{
double[] expectedFd = new double[] { 0.02446907003406107, 0.1166137422736746, 0.5196553952424576, 1.4989046391578054, 3.5860718603647483, 4233.77162264947, 0.0 };
CurrencyParameterSensitivity fd = CS01_FD.bucketedCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity analytic = CS01_AN.bucketedCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(fd.ParameterCount, NUM_MARKET_CDS);
assertEquals(fd.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(fd.Sensitivity.multipliedBy(ONE_BP).toArray(), expectedFd, NOTIONAL * TOL));
assertEquals(analytic.Currency, USD);
assertEquals(analytic.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(analytic.ParameterCount, NUM_MARKET_CDS);
assertEquals(analytic.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(analytic.Sensitivity.toArray(), fd.Sensitivity.toArray(), NOTIONAL * ONE_BP * 10d));
PointSensitivities point = PRICER.presentValueOnSettleSensitivity(CDS1, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, LEGAL_ENTITY, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
assertTrue(DoubleArrayMath.fuzzyEquals(quoteSensi.Sensitivities.get(0).Sensitivity.toArray(), analytic.Sensitivity.toArray(), NOTIONAL * TOL));
}
public virtual void bucketedCs01IndexTest()
{
CurrencyParameterSensitivity fdSingle = CS01_FD.bucketedCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity analyticSingle = CS01_AN.bucketedCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity fd = CS01_FD.bucketedCs01(CDS_INDEX, ImmutableList.copyOf(MARKET_CDS_INDEX), RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity analytic = CS01_AN.bucketedCs01(CDS_INDEX, ImmutableList.copyOf(MARKET_CDS_INDEX), RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(fd.ParameterCount, NUM_MARKET_CDS);
assertEquals(fd.ParameterMetadata, CDS_INDEX_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(fd.Sensitivity.toArray(), fdSingle.Sensitivity.multipliedBy(INDEX_FACTOR).toArray(), NOTIONAL * TOL));
assertEquals(analytic.Currency, USD);
assertEquals(analytic.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(analytic.ParameterCount, NUM_MARKET_CDS);
assertEquals(analytic.ParameterMetadata, CDS_INDEX_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(analytic.Sensitivity.toArray(), analyticSingle.Sensitivity.multipliedBy(INDEX_FACTOR).toArray(), NOTIONAL * TOL));
PointSensitivities point = PRICER_INDEX.presentValueOnSettleSensitivity(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, INDEX_ID, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
assertTrue(DoubleArrayMath.fuzzyEquals(quoteSensi.Sensitivities.get(0).Sensitivity.toArray(), analytic.Sensitivity.toArray(), NOTIONAL * TOL));
}
//-------------------------------------------------------------------------
internal static BondFuture sut()
{
return(BondFuture.builder().securityId(SECURITY_ID).deliveryBasket(BOND_PRODUCT).conversionFactors(ImmutableList.copyOf(CONVERSION_FACTOR)).firstNoticeDate(FIRST_NOTICE_DATE).firstDeliveryDate(FIRST_DELIVERY_DATE).lastNoticeDate(LAST_NOTICE_DATE).lastDeliveryDate(LAST_DELIVERY_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build());
}
