//-------------------------------------------------------------------------
public virtual void test_discountFactor()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, DATE_AFTER);
double expected = Math.Exp(-relativeYearFraction * CURVE.yValue(relativeYearFraction));
assertEquals(test.discountFactor(DATE_AFTER), expected);
}
//-------------------------------------------------------------------------
public virtual void test_discountFactor()
{
ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double expected = Math.Exp(-relativeYearFraction * CURVE.yValue(relativeYearFraction));
assertEquals(test.discountFactor(DATE_AFTER), expected);
}
//-------------------------------------------------------------------------
public virtual void test_discountFactor()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double expected = CURVE.yValue(relativeYearFraction);
assertEquals(test.discountFactor(DATE_AFTER), expected);
}
//-------------------------------------------------------------------------
public virtual void test_volatility()
{
for (int i = 0; i < NB_EXPIRY; i++)
{
double expiryTime = VOLS.relativeTime(TEST_EXPIRY[i]);
for (int j = 0; j < NB_STRIKE; ++j)
{
double volExpected = CURVE.yValue(expiryTime);
double volComputed = VOLS.volatility(CURRENCY_PAIR, TEST_EXPIRY[i], TEST_STRIKE[j], FORWARD[i]);
assertEquals(volComputed, volExpected, TOLERANCE);
}
}
}
//-------------------------------------------------------------------------
// print for debugging
protected internal virtual void print(IborCapletFloorletVolatilityCalibrationResult res, DoubleArray strikes, double maxTime)
{
Console.WriteLine("Print in CapletStrippingSetup \n");
Console.WriteLine("Chi-square: " + res.ChiSquare);
IborCapletFloorletVolatilities vols = res.Volatilities;
const int nSamples = 51;
const int nStrikeSamples = 51;
Console.Write("\n");
for (int i = 0; i < nStrikeSamples; i++)
{
Console.Write("\t" + (strikes.get(0) + (strikes.get(strikes.size() - 1) - strikes.get(0)) * i) / (nStrikeSamples - 1));
}
Console.Write("\n");
for (int index = 0; index < nSamples; index++)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double t = 0.25 + index * maxTime / (nSamples - 1);
double t = 0.25 + index * maxTime / (nSamples - 1);
double forward = FWD_CURVE.yValue(t);
Console.Write(t);
for (int i = 0; i < nStrikeSamples; i++)
{
double strike = (strikes.get(0) + (strikes.get(strikes.size() - 1) - strikes.get(0)) * i) / (nStrikeSamples - 1);
Console.Write("\t" + vols.volatility(t, strike, forward));
}
Console.Write("\n");
}
}
//-------------------------------------------------------------------------
public virtual void test_discountFactor()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double expected = Math.Pow(1.0d + CURVE.yValue(relativeYearFraction) / CMP_PERIOD, -CMP_PERIOD * relativeYearFraction);
assertEquals(test.discountFactor(DATE_AFTER), expected);
}
//-------------------------------------------------------------------------
public virtual void test_price()
{
double computed = PRICER.price(FUTURE, PROVIDER);
double pvSwap = PRICER.SwapPricer.presentValue(RSWAP, PROVIDER).getAmount(USD).Amount;
double yc = ACT_ACT_ISDA.relativeYearFraction(VAL_DATE, DELIVERY);
double df = Math.Exp(-USD_DSC.yValue(yc) * yc);
double expected = 1d + pvSwap / df;
assertEquals(computed, expected, TOL);
}
public virtual void test_presentValue()
{
CurrencyAmount computedRec = PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount computedPay = PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = SWAP_PRICER.LegPricer.annuityCash(RFIXED_LEG_REC, forward);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
double tenor = VOLS.tenor(SETTLE, END);
double volatility = SURFACE.zValue(expiry, tenor);
double settle = ACT_ACT_ISDA.relativeYearFraction(VAL_DATE, SETTLE);
double df = Math.Exp(-DSC_CURVE.yValue(settle) * settle);
double expectedRec = df * annuityCash * BlackFormulaRepository.price(forward, RATE, expiry, volatility, false);
double expectedPay = -df *annuityCash *BlackFormulaRepository.price(forward, RATE, expiry, volatility, true);
assertEquals(computedRec.Currency, EUR);
assertEquals(computedRec.Amount, expectedRec, NOTIONAL * TOL);
assertEquals(computedPay.Currency, EUR);
assertEquals(computedPay.Amount, expectedPay, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
private InterpolatedNodalCurve fitSwap(int curveIndex, BasicFixedLeg swap, InterpolatedNodalCurve curve, double swapRate)
{
int nPayments = swap.NumPayments;
int nNodes = curve.ParameterCount;
double t1 = curveIndex == 0 ? 0.0 : curve.XValues.get(curveIndex - 1);
double t2 = curveIndex == nNodes - 1 ? double.PositiveInfinity : curve.XValues.get(curveIndex + 1);
double temp = 0;
double temp2 = 0;
int i1 = 0;
int i2 = nPayments;
double[] paymentAmounts = new double[nPayments];
for (int i = 0; i < nPayments; i++)
{
double t = swap.getPaymentTime(i);
paymentAmounts[i] = swap.getPaymentAmounts(i, swapRate);
if (t <= t1)
{
double df = Math.Exp(-curve.yValue(t) * t);
temp += paymentAmounts[i] * df;
temp2 += paymentAmounts[i] * t *df *curve.yValueParameterSensitivity(t).Sensitivity.get(curveIndex);
i1++;
}
else if (t >= t2)
{
double df = Math.Exp(-curve.yValue(t) * t);
temp += paymentAmounts[i] * df;
temp2 -= paymentAmounts[i] * t *df *curve.yValueParameterSensitivity(t).Sensitivity.get(curveIndex);
i2--;
}
}
double cachedValues = temp;
double cachedSense = temp2;
int index1 = i1;
int index2 = i2;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: java.util.function.Function<double, double> func = new java.util.function.Function<double, double>()
System.Func <double, double> func = (double?x) =>
{
InterpolatedNodalCurve tempCurve = curve.withParameter(curveIndex, x);
double sum = 1.0 - cachedValues; // Floating leg at par
for (int i = index1; i < index2; i++)
{
double t = swap.getPaymentTime(i);
sum -= paymentAmounts[i] * Math.Exp(-tempCurve.yValue(t) * t);
}
return(sum);
};
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: java.util.function.Function<double, double> grad = new java.util.function.Function<double, double>()
System.Func <double, double> grad = (double?x) =>
{
InterpolatedNodalCurve tempCurve = curve.withParameter(curveIndex, x);
double sum = cachedSense;
for (int i = index1; i < index2; i++)
{
double t = swap.getPaymentTime(i);
sum += swap.getPaymentAmounts(i, swapRate) * t * Math.Exp(-tempCurve.yValue(t) * t) * tempCurve.yValueParameterSensitivity(t).Sensitivity.get(curveIndex);
}
return(sum);
};
double guess = curve.getParameter(curveIndex);
if (guess == 0.0 && func(guess) == 0.0)
{
return(curve);
}
double[] bracket = guess > 0d ? BRACKETER.getBracketedPoints(func, 0.8 * guess, 1.25 * guess, double.NegativeInfinity, double.PositiveInfinity) : BRACKETER.getBracketedPoints(func, 1.25 * guess, 0.8 * guess, double.NegativeInfinity, double.PositiveInfinity);
double r = rootFinder.getRoot(func, grad, bracket[0], bracket[1]).Value;
return(curve.withParameter(curveIndex, r));
}
