protected internal virtual void checkInputs(System.Func <double, double> f, double xLower, double xUpper)
{
ArgChecker.notNull(f, "function");
if (DoubleMath.fuzzyEquals(xLower, xUpper, ZERO))
{
throw new System.ArgumentException("Lower and upper values were not distinct");
}
}
public override double?apply(double?x)
{
ArgChecker.notNull(x, "x");
ArgChecker.notNegative(x, "x");
if (DoubleMath.fuzzyEquals(x, 0.5, 1e-14))
{
return(0.5);
}
return(_dist.getInverseCDF(x.Value));
}
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));
}
public virtual void flatVolTest()
{
double tol = 2.0e-2;
double constantVol = 0.15;
ConstantSurface impliedVolSurface = ConstantSurface.of("impliedVol", constantVol);
System.Func <double, double> zeroRate = (double?x) =>
{
return(0.05d);
};
System.Func <double, double> zeroRate1 = (double?x) =>
{
return(0.02d);
};
ImpliedTrinomialTreeLocalVolatilityCalculator calc = new ImpliedTrinomialTreeLocalVolatilityCalculator(45, 1d, INTERP_TIMESQ_LINEAR);
InterpolatedNodalSurface localVolSurface = calc.localVolatilityFromImpliedVolatility(impliedVolSurface, 100d, zeroRate, zeroRate1);
assertEquals(localVolSurface.ZValues.Where(d => !DoubleMath.fuzzyEquals(d, constantVol, tol)).Count(), 0);
}
public virtual void test_cashFlowEquivalent()
{
ResolvedSwap swap = ResolvedSwap.of(IBOR_LEG, FIXED_LEG);
ResolvedSwapLeg computed = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, PROVIDER);
ResolvedSwapLeg computedIborLeg = CashFlowEquivalentCalculator.cashFlowEquivalentIborLeg(IBOR_LEG, PROVIDER);
ResolvedSwapLeg computedFixedLeg = CashFlowEquivalentCalculator.cashFlowEquivalentFixedLeg(FIXED_LEG, PROVIDER);
assertEquals(computedFixedLeg.PaymentEvents, computed.PaymentEvents.subList(0, 2));
assertEquals(computedIborLeg.PaymentEvents, computed.PaymentEvents.subList(2, 6));
// expected payments from fixed leg
NotionalExchange fixedPayment1 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC1), PAYMENT1);
NotionalExchange fixedPayment2 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC2), PAYMENT2);
// expected payments from ibor leg
LocalDate fixingSTART1 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING1, REF_DATA);
double fixedYearFraction1 = GBP_LIBOR_3M.DayCount.relativeYearFraction(fixingSTART1, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART1, REF_DATA));
double beta1 = (1d + fixedYearFraction1 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(GBP_LIBOR_3M_COMP1.Observation)) * PROVIDER.discountFactor(GBP, PAYMENT1) / PROVIDER.discountFactor(GBP, fixingSTART1);
NotionalExchange iborPayment11 = NotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL * beta1 * PAY_YC1 / fixedYearFraction1), fixingSTART1);
NotionalExchange iborPayment12 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * PAY_YC1 / fixedYearFraction1), PAYMENT1);
LocalDate fixingSTART2 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING2, REF_DATA);
double fixedYearFraction2 = GBP_LIBOR_3M.DayCount.relativeYearFraction(fixingSTART2, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART2, REF_DATA));
double beta2 = (1d + fixedYearFraction2 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(GBP_LIBOR_3M_COMP2.Observation)) * PROVIDER.discountFactor(GBP, PAYMENT2) / PROVIDER.discountFactor(GBP, fixingSTART2);
NotionalExchange iborPayment21 = NotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL * beta2 * PAY_YC2 / fixedYearFraction2), fixingSTART2);
NotionalExchange iborPayment22 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * PAY_YC2 / fixedYearFraction2), PAYMENT2);
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(OTHER).payReceive(RECEIVE).paymentEvents(fixedPayment1, fixedPayment2, iborPayment11, iborPayment12, iborPayment21, iborPayment22).build();
double eps = 1.0e-12;
assertEquals(computed.PaymentEvents.size(), expected.PaymentEvents.size());
for (int i = 0; i < 6; ++i)
{
NotionalExchange payCmp = (NotionalExchange)computed.PaymentEvents.get(i);
NotionalExchange payExp = (NotionalExchange)expected.PaymentEvents.get(i);
assertEquals(payCmp.Currency, payExp.Currency);
assertEquals(payCmp.PaymentDate, payExp.PaymentDate);
assertTrue(DoubleMath.fuzzyEquals(payCmp.PaymentAmount.Amount, payExp.PaymentAmount.Amount, NOTIONAL * eps));
}
}
public virtual void flatVolPriceTest()
{
double tol = 2.0e-2;
double constantVol = 0.15;
double spot = 100d;
double maxTime = 1d;
int nSteps = 9;
ConstantSurface impliedVolSurface = ConstantSurface.of("impliedVol", constantVol);
System.Func <double, double> zeroRate = (double?x) =>
{
return(0d);
};
System.Func <DoublesPair, ValueDerivatives> func = (DoublesPair x) =>
{
double price = BlackFormulaRepository.price(spot, x.Second, x.First, constantVol, true);
return(ValueDerivatives.of(price, DoubleArray.EMPTY));
};
DeformedSurface priceSurface = DeformedSurface.of(DefaultSurfaceMetadata.of("price"), impliedVolSurface, func);
ImpliedTrinomialTreeLocalVolatilityCalculator calc = new ImpliedTrinomialTreeLocalVolatilityCalculator(nSteps, maxTime, INTERP_TIMESQ_LINEAR);
InterpolatedNodalSurface localVolSurface = calc.localVolatilityFromPrice(priceSurface, spot, zeroRate, zeroRate);
assertEquals(localVolSurface.ZValues.Where(d => !DoubleMath.fuzzyEquals(d, constantVol, tol)).Count(), 0);
}
