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));
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return(ratesProvider.data(id));
}
//-------------------------------------------------------------------------
// present value for one scenario
private static CurrencyAmount calculatePresentValue(Security security, double quantity, MarketData marketData)
{
QuoteId id = QuoteId.of(security.SecurityId.StandardId);
double price = marketData.getValue(id);
return(security.Info.PriceInfo.calculateMonetaryAmount(quantity, price));
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return(ratesProvider.data(id) / 100); // convert market quote to value needed
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return(discountingProvider.data(id) / 100); // convert market quote to value needed
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return(discountingProvider.data(id));
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
double price = ratesProvider.data(id);
ArgChecker.isTrue(price < 10, "Price must be in decimal form, such as 1.007 for a 0.7% present value, but was: {}", price);
return(price);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
CdsIsdaCreditCurveNode test1 = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01);
coverImmutableBean(test1);
CdsIsdaCreditCurveNode test2 = CdsIsdaCreditCurveNode.ofPointsUpfront(TenorCdsTemplate.of(TENOR_10Y, CdsConventions.EUR_GB_STANDARD), QuoteId.of(StandardId.of("OG-Ticker", "Cds2")), StandardId.of("OG", "DEF"), 0.01);
QuoteId.of(StandardId.of("OG-Ticker", "Deposit2"));
coverBeanEquals(test1, test2);
}
static FxOptionVolatilitiesDefinitionTest()
{
ImmutableList.Builder <FxOptionVolatilitiesNode> builder = ImmutableList.builder();
ImmutableList.Builder <QuoteId> quoteBuilder = ImmutableList.builder();
for (int i = 0; i < TENORS.size(); ++i)
{
QuoteId id = QuoteId.of(StandardId.of("OG", TENORS.get(i).ToString() + "_" + DELTAS.get(i).ToString() + "_" + QUOTE_TYPE.get(i).ToString()));
builder.add(FxOptionVolatilitiesNode.of(EUR_GBP, SPOT_OFFSET, BUS_ADJ, QUOTE_TYPE.get(i), id, TENORS.get(i), DeltaStrike.of(DELTAS.get(i))));
quoteBuilder.add(id);
}
NODES = builder.build();
QUOTE_IDS = quoteBuilder.build();
}
static CreditDataSet()
{
ImmutableList.Builder <StandardId> builder = ImmutableList.builder();
for (int i = 0; i < 97; ++i)
{
builder.add(StandardId.of("OG", i.ToString()));
}
LEGAL_ENTITIES = builder.build();
double flatRate = 0.05;
double t = 20.0;
IsdaCreditDiscountFactors yieldCurve = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
DISCOUNT_CURVE = yieldCurve.Curve;
RecoveryRates recoveryRate = ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION_DATE, RECOVERY_RATE);
// create the curve nodes and input market quotes
ImmutableMarketDataBuilder marketQuoteBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
marketQuoteBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketQuotes = marketQuoteBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, recoveryRate)).discountCurves(ImmutableMap.of(USD, yieldCurve)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
// calibrate
LegalEntitySurvivalProbabilities calibrated = BUILDER.calibrate(definition, marketQuotes, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)calibrated.SurvivalProbabilities).Curve;
CDS_CREDIT_CURVE = underlyingCurve;
INDEX_CREDIT_CURVE = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CDS_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("CDS recovery rate", ACT_365F), RECOVERY_RATE);
INDEX_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("Index recovery rate", ACT_365F), RECOVERY_RATE);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
BlackFxOptionSmileVolatilitiesSpecification test1 = BlackFxOptionSmileVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(EUR_GBP).dayCount(ACT_360).nodes(NODES).timeInterpolator(PCHIP).timeExtrapolatorLeft(LINEAR).timeExtrapolatorRight(LINEAR).strikeInterpolator(PCHIP).strikeExtrapolatorLeft(LINEAR).strikeExtrapolatorRight(LINEAR).build();
coverImmutableBean(test1);
CurrencyPair eurUsd = CurrencyPair.of(EUR, USD);
ImmutableList.Builder <FxOptionVolatilitiesNode> builder = ImmutableList.builder();
for (int i = 0; i < TENORS.size(); ++i)
{
QuoteId id = QuoteId.of(StandardId.of("OG", TENORS.get(i).ToString() + "_" + DELTAS.get(i).ToString() + "_" + QUOTE_TYPE.get(i).ToString()));
builder.add(FxOptionVolatilitiesNode.of(eurUsd, DaysAdjustment.NONE, BusinessDayAdjustment.NONE, QUOTE_TYPE.get(i), id, TENORS.get(i), DeltaStrike.of(DELTAS.get(i))));
}
BlackFxOptionSmileVolatilitiesSpecification test2 = BlackFxOptionSmileVolatilitiesSpecification.builder().name(FxOptionVolatilitiesName.of("other")).currencyPair(eurUsd).dayCount(ACT_365F).nodes(builder.build()).timeInterpolator(DOUBLE_QUADRATIC).strikeInterpolator(DOUBLE_QUADRATIC).build();
coverBeanEquals(test1, test2);
}
static SpreadSensitivityCalculatorTest()
{
double flatRate = 0.05;
double t = 20.0;
YIELD_CURVE = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
ImmutableMarketDataBuilder dataBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
dataBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketData = dataBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
CREDIT_CURVE = BUILDER.calibrate(definition, marketData, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)CREDIT_CURVE.SurvivalProbabilities).Curve;
NodalCurve curveWithFactor = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CREDIT_CURVE_INDEX = LegalEntitySurvivalProbabilities.of(INDEX_ID, IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, curveWithFactor));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
DepositIsdaCreditCurveNode test1 = DepositIsdaCreditCurveNode.of(OBS_ID, ADJ_3D, BUS_ADJ, TENOR, ACT_360);
coverImmutableBean(test1);
DepositIsdaCreditCurveNode test2 = DepositIsdaCreditCurveNode.builder().observableId(QuoteId.of(StandardId.of("OG", "foo"))).spotDateOffset(DaysAdjustment.NONE).businessDayAdjustment(BusinessDayAdjustment.NONE).tenor(Tenor.TENOR_6M).dayCount(DayCounts.ACT_365F).label("test2").build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
SwapIsdaCreditCurveNode test1 = SwapIsdaCreditCurveNode.of(OBS_ID, ADJ_3D, BUS_ADJ, TENOR, THIRTY_U_360, FREQUENCY);
coverImmutableBean(test1);
SwapIsdaCreditCurveNode test2 = SwapIsdaCreditCurveNode.builder().observableId(QuoteId.of(StandardId.of("OG", "foo"))).spotDateOffset(DaysAdjustment.NONE).businessDayAdjustment(BusinessDayAdjustment.NONE).tenor(Tenor.TENOR_15Y).dayCount(DayCounts.ACT_365F).paymentFrequency(Frequency.P3M).label("test2").build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FxOptionVolatilitiesNode test1 = FxOptionVolatilitiesNode.of(EUR_GBP, SPOT_DATE_OFFSET, BDA, ValueType.BLACK_VOLATILITY, QUOTE_ID, Tenor.TENOR_3M, STRIKE);
coverImmutableBean(test1);
FxOptionVolatilitiesNode test2 = FxOptionVolatilitiesNode.of(CurrencyPair.of(GBP, USD), DaysAdjustment.NONE, BusinessDayAdjustment.NONE, ValueType.RISK_REVERSAL, QuoteId.of(StandardId.of("OG", "foo")), Tenor.TENOR_6M, DeltaStrike.of(0.1));
coverBeanEquals(test1, test2);
}
