public virtual void test_rateSensitivity()
{
RatesProvider mockProv = mock(typeof(RatesProvider));
IborIndexRates mockRates3M = mock(typeof(IborIndexRates));
IborIndexRates mockRates6M = mock(typeof(IborIndexRates));
when(mockProv.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProv.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
when(mockRates3M.ratePointSensitivity(GBP_LIBOR_3M_OBS)).thenReturn(SENSITIVITY3);
when(mockRates6M.ratePointSensitivity(GBP_LIBOR_6M_OBS)).thenReturn(SENSITIVITY6);
IborInterpolatedRateComputation ro = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
ForwardIborInterpolatedRateComputationFn obsFn = ForwardIborInterpolatedRateComputationFn.DEFAULT;
LocalDate fixingEndDate3M = GBP_LIBOR_3M_OBS.MaturityDate;
LocalDate fixingEndDate6M = GBP_LIBOR_6M_OBS.MaturityDate;
double days3M = fixingEndDate3M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 3M fixing period
double days6M = fixingEndDate6M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 6M fixing period
double daysCpn = ACCRUAL_END_DATE.toEpochDay() - FIXING_DATE.toEpochDay();
double weight3M = (days6M - daysCpn) / (days6M - days3M);
double weight6M = (daysCpn - days3M) / (days6M - days3M);
IborRateSensitivity sens3 = IborRateSensitivity.of(GBP_LIBOR_3M_OBS, weight3M);
IborRateSensitivity sens6 = IborRateSensitivity.of(GBP_LIBOR_6M_OBS, weight6M);
PointSensitivities expected = PointSensitivities.of(ImmutableList.of(sens3, sens6));
PointSensitivityBuilder test = obsFn.rateSensitivity(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv);
assertEquals(test.build(), expected);
}
public TestingIborIndexRates(IborIndex index, LocalDate valuationDate, LocalDateDoubleTimeSeries rates, LocalDateDoubleTimeSeries fixings, IborRateSensitivity sens)
{
this.index = index;
this.valuationDate = valuationDate;
this.rates = rates;
this.fixings = fixings;
this.sens = sens;
}
/// <summary>
/// Calculates the price sensitivity of the Ibor future product.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="future"> the future </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the price curve sensitivity of the product </returns>
public virtual PointSensitivities priceSensitivity(ResolvedIborFuture future, RatesProvider ratesProvider)
{
IborRateSensitivity sensi = IborRateSensitivity.of(future.IborRate.Observation, -1d);
// The sensitivity should be to no currency or currency XXX. To avoid useless conversion, the dimension-less
// price sensitivity is reported in the future currency.
return(PointSensitivities.of(sensi));
}
//-------------------------------------------------------------------------
public virtual void test_marginIndexSensitivity()
{
double notional = FUTURE.Notional;
double accrualFactor = FUTURE.AccrualFactor;
PointSensitivities sensiExpected = PointSensitivities.of(IborRateSensitivity.of(FUTURE.IborRate.Observation, -notional * accrualFactor));
PointSensitivities priceSensitivity = PRICER.priceSensitivity(FUTURE, new MockRatesProvider());
PointSensitivities sensiComputed = PRICER.marginIndexSensitivity(FUTURE, priceSensitivity).normalized();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, 1e-5));
}
/// <summary>
/// Calculates the price sensitivity of the Ibor future product.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="future"> the future </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the price curve sensitivity of the product </returns>
public virtual PointSensitivities priceSensitivityRates(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
IborIndexObservation obs = future.IborRate.Observation;
LocalDate fixingStartDate = obs.EffectiveDate;
LocalDate fixingEndDate = obs.MaturityDate;
double convexity = hwProvider.futuresConvexityFactor(future.LastTradeDate, fixingStartDate, fixingEndDate);
IborRateSensitivity sensi = IborRateSensitivity.of(obs, -convexity);
// The sensitivity should be to no currency or currency XXX. To avoid useless conversion, the dimension-less
// price sensitivity is reported in the future currency.
return(PointSensitivities.of(sensi));
}
//-------------------------------------------------------------------------
public virtual void test_priceSensitivity()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
PointSensitivities sensiExpected = PointSensitivities.of(IborRateSensitivity.of(FUTURE.IborRate.Observation, -1d));
PointSensitivities sensiComputed = PRICER.priceSensitivity(FUTURE, prov);
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, TOLERANCE_PRICE_DELTA));
}
static DiscountingFraTradePricerTest()
{
DiscountFactors mockDf = mock(typeof(DiscountFactors));
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
RATES_PROVIDER = new SimpleRatesProvider(VAL_DATE, mockDf);
RATES_PROVIDER.IborRates = mockIbor;
IborIndexObservation obs = ((IborRateComputation)RFRA.FloatingRate).Observation;
IborRateSensitivity sens = IborRateSensitivity.of(obs, 1d);
when(mockIbor.ratePointSensitivity(obs)).thenReturn(sens);
when(mockIbor.rate(obs)).thenReturn(FORWARD_RATE);
when(mockDf.discountFactor(RFRA.PaymentDate)).thenReturn(DISCOUNT_FACTOR);
}
//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
ZeroRateSensitivity a1 = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity a2 = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity b = ZeroRateSensitivity.of(USD, YEARFRAC, 32d);
ZeroRateSensitivity c = ZeroRateSensitivity.of(GBP, YEARFRAC2, 32d);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) < 0, true);
assertEquals(b.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) > 0, true);
assertEquals(other.compareKey(a1) < 0, true);
}
//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
CreditCurveZeroRateSensitivity a1 = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, GBP, YEAR_FRACTION, 32d);
CreditCurveZeroRateSensitivity a2 = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, GBP, YEAR_FRACTION, 32d);
CreditCurveZeroRateSensitivity b = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, GBP, 10d, 32d);
CreditCurveZeroRateSensitivity c = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, USD, YEAR_FRACTION, 32d);
CreditCurveZeroRateSensitivity d = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, USD, YEAR_FRACTION, GBP, 32d);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) < 0, true);
assertEquals(b.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
public virtual void test_compareKey()
{
IssuerCurveZeroRateSensitivity a1 = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
IssuerCurveZeroRateSensitivity a2 = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
IssuerCurveZeroRateSensitivity b = IssuerCurveZeroRateSensitivity.of(GBP, YEARFRAC, GROUP, VALUE);
IssuerCurveZeroRateSensitivity c = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC2, GROUP, VALUE);
IssuerCurveZeroRateSensitivity d = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, LegalEntityGroup.of("ISSUER2"), VALUE);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2015, 8, 27), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) > 0, true);
assertEquals(b.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) > 0, true);
assertEquals(other.compareKey(a1) < 0, true);
}
public virtual void test_compareKey()
{
RepoCurveZeroRateSensitivity a1 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity a2 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity b = RepoCurveZeroRateSensitivity.of(GBP, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity c = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC2, GROUP, VALUE);
RepoCurveZeroRateSensitivity d = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, RepoGroup.of("ISSUER1 BND 3Y"), VALUE);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) > 0, true);
assertEquals(b.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) > 0, true);
assertEquals(other.compareKey(a1) < 0, true);
}
public virtual CurrencyParameterSensitivities parameterSensitivity(IborRateSensitivity pointSensitivity)
{
throw new System.NotSupportedException();
}
