public virtual void test_zeroRatePointSensitivityWithSpread_smallYearFraction()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, -0d);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_VAL, SPREAD, CONTINUOUS, 0), expected);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, -0d);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, PERIODIC, 2), expected);
}
//-------------------------------------------------------------------------
// proper end-to-end FD tests are elsewhere
public virtual void test_parameterSensitivity()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity point = ZeroRateSensitivity.of(GBP, 1d, 1d);
assertEquals(test.parameterSensitivity(point).size(), 1);
}
//-------------------------------------------------------------------------
public virtual void test_currencyParameterSensitivity_val_date()
{
// Discount factor at valuation date is always 0, no sensitivity.
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_VAL);
assertEquals(test.parameterSensitivity(sens), CurrencyParameterSensitivities.empty());
}
//-------------------------------------------------------------------------
public virtual void test_createParameterSensitivity()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
DoubleArray sensitivities = DoubleArray.of(0.12, 0.15);
CurrencyParameterSensitivities sens = test.createParameterSensitivity(USD, sensitivities);
assertEquals(sens.Sensitivities.get(0), CURVE.createParameterSensitivity(USD, sensitivities));
}
//-------------------------------------------------------------------------
public virtual void test_discountFactor_withSpread_continuous()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double expected = CURVE.yValue(relativeYearFraction) * Math.Exp(-SPREAD * relativeYearFraction);
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected, TOL);
}
//-------------------------------------------------------------------------
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_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continuous()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = CURVE.yValue(relativeYearFraction) * Math.Exp(-SPREAD * relativeYearFraction);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 1), expected);
}
public virtual void test_zeroRatePointSensitivity_sensitivityCurrency()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = CURVE.yValue(relativeYearFraction);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, USD), expected);
}
//-------------------------------------------------------------------------
public virtual void test_zeroRate()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double discountFactor = test.discountFactor(DATE_AFTER);
double zeroRate = test.zeroRate(DATE_AFTER);
assertEquals(Math.Exp(-zeroRate * relativeYearFraction), discountFactor);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
coverImmutableBean(test);
SimpleDiscountFactors test2 = SimpleDiscountFactors.of(USD, DATE_VAL.plusDays(1), CURVE2);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_currencyParameterSensitivity()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double discountFactor = CURVE.yValue(relativeYearFraction);
CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of(CURVE.yValueParameterSensitivity(relativeYearFraction).multipliedBy(-1d / discountFactor / relativeYearFraction).multipliedBy(sens.Currency, sens.Sensitivity));
assertEquals(test.parameterSensitivity(sens), expected);
}
public virtual void test_of_badCurve()
{
InterpolatedNodalCurve notYearFraction = InterpolatedNodalCurve.of(Curves.prices(NAME), DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
InterpolatedNodalCurve notDiscountFactor = InterpolatedNodalCurve.of(Curves.zeroRates(NAME, ACT_365F), DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
CurveMetadata noDayCountMetadata = DefaultCurveMetadata.builder().curveName(NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).build();
InterpolatedNodalCurve notDayCount = InterpolatedNodalCurve.of(noDayCountMetadata, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
assertThrowsIllegalArg(() => SimpleDiscountFactors.of(GBP, DATE_VAL, notYearFraction));
assertThrowsIllegalArg(() => SimpleDiscountFactors.of(GBP, DATE_VAL, notDiscountFactor));
assertThrowsIllegalArg(() => SimpleDiscountFactors.of(GBP, DATE_VAL, notDayCount));
}
public virtual void test_discountFactor_withSpread_periodic()
{
int periodPerYear = 4;
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double discountFactorBase = test.discountFactor(DATE_AFTER);
double rate = (Math.Pow(discountFactorBase, -1d / periodPerYear / relativeYearFraction) - 1d) * periodPerYear;
double expected = discountFactorFromPeriodicallyCompoundedRate(rate + SPREAD, periodPerYear, relativeYearFraction);
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear), expected, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
assertEquals(test.Currency, GBP);
assertEquals(test.ValuationDate, DATE_VAL);
assertEquals(test.Curve, CURVE);
assertEquals(test.ParameterCount, CURVE.ParameterCount);
assertEquals(test.getParameter(0), CURVE.getParameter(0));
assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0));
assertEquals(test.withParameter(0, 1d).Curve, CURVE.withParameter(0, 1d));
assertEquals(test.withPerturbation((i, v, m) => v + 1d).Curve, CURVE.withPerturbation((i, v, m) => v + 1d));
assertEquals(test.findData(CURVE.Name), CURVE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_periodic()
{
int periodPerYear = 4;
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = CURVE.yValue(relativeYearFraction);
double discountFactorUp = df * Math.Exp(-EPS * relativeYearFraction);
double discountFactorDw = df * Math.Exp(EPS * relativeYearFraction);
double rateUp = (Math.Pow(discountFactorUp, -1d / periodPerYear / relativeYearFraction) - 1d) * periodPerYear;
double rateDw = (Math.Pow(discountFactorDw, -1d / periodPerYear / relativeYearFraction) - 1d) * periodPerYear;
double expectedValue = 0.5 / EPS * (discountFactorFromPeriodicallyCompoundedRate(rateUp + SPREAD, periodPerYear, relativeYearFraction) - discountFactorFromPeriodicallyCompoundedRate(rateDw + SPREAD, periodPerYear, relativeYearFraction));
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, PERIODIC, periodPerYear);
assertEquals(computed.Sensitivity, expectedValue, EPS);
assertEquals(computed.Currency, USD);
assertEquals(computed.CurveCurrency, GBP);
assertEquals(computed.YearFraction, relativeYearFraction);
}
//-------------------------------------------------------------------------
public virtual void test_withCurve()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE).withCurve(CURVE2);
assertEquals(test.Curve, CURVE2);
}
public virtual void test_discountFactor_withSpread_smallYearFraction()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
assertEquals(test.discountFactorWithSpread(DATE_VAL, SPREAD, PERIODIC, 2), 1d);
}
