public virtual void test_toZonedDateTime_scenario_long()
{
ValuationZoneTimeDefinition test = ValuationZoneTimeDefinition.of(LOCAL_TIME_1, ZONE_ID, LOCAL_TIME_1, LOCAL_TIME_2);
MarketDataBox <LocalDate> dates = MarketDataBox.ofScenarioValues(LocalDate.of(2016, 10, 21), LocalDate.of(2016, 10, 22), LocalDate.of(2016, 10, 23));
MarketDataBox <ZonedDateTime> computed = test.toZonedDateTime(dates);
MarketDataBox <ZonedDateTime> expected = MarketDataBox.ofScenarioValue(ScenarioArray.of(dates.getValue(0).atTime(LOCAL_TIME_1).atZone(ZONE_ID), dates.getValue(1).atTime(LOCAL_TIME_2).atZone(ZONE_ID), dates.getValue(2).atTime(LOCAL_TIME_1).atZone(ZONE_ID)));
assertEquals(computed, expected);
}
public virtual void test_pv01_quote()
{
ScenarioMarketData md = FixedCouponBondTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
MultiCurrencyScenarioArray sumComputed = FixedCouponBondTradeCalculations.DEFAULT.pv01MarketQuoteSum(RTRADE, LOOKUP, md);
ScenarioArray <CurrencyParameterSensitivities> bucketedComputed = FixedCouponBondTradeCalculations.DEFAULT.pv01MarketQuoteBucketed(RTRADE, LOOKUP, md);
assertEquals(sumComputed.ScenarioCount, 1);
assertEquals(sumComputed.get(0).Currencies, ImmutableSet.of(GBP));
assertTrue(DoubleMath.fuzzyEquals(sumComputed.get(0).getAmount(GBP).Amount, expectedPv01Cal.getAmount(GBP).Amount, 1.0e-10));
assertEquals(bucketedComputed.ScenarioCount, 1);
assertTrue(bucketedComputed.get(0).equalWithTolerance(expectedPv01CalBucketed, 1.0e-10));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedCapitalIndexedBondTrade trade, RatesScenarioMarketData ratesMarketData, LegalEntityDiscountingScenarioMarketData legalEntityMarketData)
{
return(ScenarioArray.of(legalEntityMarketData.ScenarioCount, i => pv01CalibratedBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), legalEntityMarketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates cash flows for all scenarios
internal ScenarioArray <CashFlows> cashFlows(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => cashFlows(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(ResolvedIborCapFloorTrade trade, RatesScenarioMarketData ratesMarketData, IborCapFloorScenarioMarketData capFloorMarketData)
{
IborIndex index = trade.Product.CapFloorLeg.Index;
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), capFloorMarketData.scenario(i).volatilities(index))));
}
public virtual void test_pv01()
{
ScenarioMarketData md = SwapTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingSwapTradePricer pricer = DiscountingSwapTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(SwapTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(SwapTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedFxNdfTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = FxSingleTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingFxSingleTradePricer pricer = DiscountingFxSingleTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
MultiCurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
FxRate expectedForwardFx = pricer.forwardFxRate(RTRADE, provider);
assertEquals(FxSingleTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(FxSingleTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(FxSingleTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
assertEquals(FxSingleTradeCalculations.DEFAULT.forwardFxRate(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedForwardFx)));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingScenarioMarketData legalEntityMarketData, BondFutureOptionScenarioMarketData optionMarketData)
{
SecurityId securityId = trade.Product.UnderlyingFuture.SecurityId;
return(ScenarioArray.of(legalEntityMarketData.ScenarioCount, i => pv01CalibratedBucketed(trade, legalEntityMarketData.scenario(i).discountingProvider(), optionMarketData.scenario(i).volatilities(securityId))));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData)
{
IborIndex index = cmsLegIborIndex(trade);
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesMarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), swaptionMarketData.scenario(i).volatilities(index))));
}
public virtual void test_pv01()
{
ScenarioMarketData md = CmsTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
SabrExtrapolationReplicationCmsTradePricer pricer = new SabrExtrapolationReplicationCmsTradePricer(new SabrExtrapolationReplicationCmsProductPricer(new SabrExtrapolationReplicationCmsLegPricer(SabrExtrapolationReplicationCmsPeriodPricer.of(CMS_MODEL.CutOffStrike, CMS_MODEL.Mu))));
PointSensitivities pvPointSens = pricer.presentValueSensitivityRates(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
CmsTradeCalculations calcs = CmsTradeCalculations.of(CMS_MODEL);
assertEquals(calcs.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(calcs.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = BulletPaymentTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingPaymentPricer pricer = DiscountingPaymentPricer.DEFAULT;
Payment payment = RTRADE.Product.Payment;
CurrencyAmount expectedPv = pricer.presentValue(payment, provider);
CashFlows expectedCashFlows = pricer.cashFlows(payment, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(payment, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(payment, provider);
assertEquals(BulletPaymentTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.cashFlows(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedCashFlows)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
public virtual void test_pv01_quote()
{
PointSensitivities pvPointSens = TRADE_PRICER.presentValueSensitivity(RESOLVED_TRADE, RATES_PROVIDER);
CurrencyParameterSensitivities pvParamSens = RATES_PROVIDER.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01Bucketed = MQ_CALC.sensitivity(pvParamSens, RATES_PROVIDER).multipliedBy(ONE_BP);
MultiCurrencyAmount expectedPv01Sum = expectedPv01Bucketed.total();
assertEquals(CALC.pv01MarketQuoteSum(RESOLVED_TRADE, RATES_LOOKUP, MARKET_DATA), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Sum)));
assertEquals(CALC.pv01MarketQuoteSum(RESOLVED_TRADE, RATES_PROVIDER), expectedPv01Sum);
assertEquals(CALC.pv01MarketQuoteBucketed(RESOLVED_TRADE, RATES_LOOKUP, MARKET_DATA), ScenarioArray.of(ImmutableList.of(expectedPv01Bucketed)));
assertEquals(CALC.pv01MarketQuoteBucketed(RESOLVED_TRADE, RATES_PROVIDER), expectedPv01Bucketed);
}
public virtual void test_pv01_calibrated()
{
PointSensitivities pvPointSens = TRADE_PRICER.presentValueSensitivity(RESOLVED_TRADE, RATES_PROVIDER);
CurrencyParameterSensitivities pvParamSens = RATES_PROVIDER.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(ONE_BP);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(ONE_BP);
assertEquals(CALC.pv01CalibratedSum(RESOLVED_TRADE, RATES_LOOKUP, MARKET_DATA), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(CALC.pv01CalibratedSum(RESOLVED_TRADE, RATES_PROVIDER), expectedPv01Cal);
assertEquals(CALC.pv01CalibratedBucketed(RESOLVED_TRADE, RATES_LOOKUP, MARKET_DATA), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
assertEquals(CALC.pv01CalibratedBucketed(RESOLVED_TRADE, RATES_PROVIDER), expectedPv01CalBucketed);
}
//-------------------------------------------------------------------------
// calculates explain present value for all scenarios
internal ScenarioArray <ExplainMap> explainPresentValue(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => explainPresentValue(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedOvernightFutureTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01MarketQuoteBucketed(trade, marketData.scenario(i).ratesProvider())));
}
public virtual void test_pv01_quote()
{
ScenarioMarketData md = BillTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
PointSensitivities pvPointSens = PRICER.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
assertEquals(BillTradeCalculations.DEFAULT.pv01MarketQuoteSum(RTRADE, LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(BillTradeCalculations.DEFAULT.pv01MarketQuoteBucketed(RTRADE, LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
assertEquals(BillTradeCalculations.DEFAULT.pv01MarketQuoteSum(RTRADE, provider), expectedPv01Cal);
assertEquals(BillTradeCalculations.DEFAULT.pv01MarketQuoteBucketed(RTRADE, provider), expectedPv01CalBucketed);
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01MarketQuoteBucketed(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade, RatesScenarioMarketData ratesMarketData, IborFutureOptionScenarioMarketData optionMarketData)
{
IborIndex index = trade.Product.UnderlyingFuture.Index;
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01MarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(index))));
}
//-------------------------------------------------------------------------
// calculates bucketed CS01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivity> cs01Bucketed(ResolvedCdsIndexTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => cs01Bucketed(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
//-------------------------------------------------------------------------
// calculates forward FX rate for all scenarios
internal ScenarioArray <FxRate> forwardFxRate(ResolvedFxNdfTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => forwardFxRate(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates jump-to-default for all scenarios
internal ScenarioArray <JumpToDefault> jumpToDefault(ResolvedCdsIndexTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => jumpToDefault(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = SwapTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingSwapTradePricer pricer = DiscountingSwapTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
ExplainMap expectedExplainPv = pricer.explainPresentValue(RTRADE, provider);
double expectedParRate = pricer.parRate(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
CashFlows expectedCashFlows = pricer.cashFlows(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
MultiCurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
assertEquals(SwapTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(SwapTradeCalculations.DEFAULT.explainPresentValue(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedExplainPv)));
assertEquals(SwapTradeCalculations.DEFAULT.parRate(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParRate)));
assertEquals(SwapTradeCalculations.DEFAULT.parSpread(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)));
assertEquals(SwapTradeCalculations.DEFAULT.cashFlows(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedCashFlows)));
assertEquals(SwapTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(SwapTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
{
CurrencyPair currencyPair = trade.Product.CurrencyPair;
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesMarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(currencyPair), method)));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(ResolvedSwaptionTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData)
{
IborIndex index = trade.Product.Index;
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), swaptionMarketData.scenario(i).volatilities(index))));
}
public virtual void test_pv01()
{
ScenarioMarketData md = FxSingleBarrierOptionTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
BlackFxSingleBarrierOptionTradePricer pricer = BlackFxSingleBarrierOptionTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivityRatesStickyStrike(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
//-------------------------------------------------------------------------
// calculates single-node gamma PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01SingleNodeGammaBucketed(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01SingleNodeGammaBucketed(trade, marketData.scenario(i).ratesProvider())));
}
