public virtual void test_parameterSensitivity_withSpread_full()
{
int periodPerYear = 2;
double spread = 0.0011; // 11 bp
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double sensiValue = 25d;
ZeroRateSensitivity point = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear);
point = point.multipliedBy(sensiValue);
CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point);
assertEquals(sensiObject.Sensitivities.size(), 1);
DoubleArray sensi0 = sensiObject.Sensitivities.get(0).Sensitivity;
double shift = 1.0E-6;
for (int i = 0; i < X.size(); i++)
{
DoubleArray yP = Y.with(i, Y.get(i) + shift);
InterpolatedNodalCurve curveP = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yP, INTERPOLATOR);
double dfP = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveP).discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear);
DoubleArray yM = Y.with(i, Y.get(i) - shift);
InterpolatedNodalCurve curveM = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yM, INTERPOLATOR);
double dfM = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveM).discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear);
assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD, "With spread - " + i);
}
}
//-------------------------------------------------------------------------
public virtual void test_createParameterSensitivity()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
DoubleArray sensitivities = DoubleArray.of(0.12, 0.15, 0.16);
CurrencyParameterSensitivities sens = test.createParameterSensitivity(USD, sensitivities);
assertEquals(sens.Sensitivities.get(0), CURVE.createParameterSensitivity(USD, sensitivities));
}
//-------------------------------------------------------------------------
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 coverage()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
coverImmutableBean(test);
ZeroRatePeriodicDiscountFactors test2 = ZeroRatePeriodicDiscountFactors.of(USD, DATE_VAL.plusDays(1), CURVE2);
coverBeanEquals(test, test2);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, 0.0d);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, CONTINUOUS, 0);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.Sensitivity, expected.Sensitivity, TOLERANCE_DELTA_FD);
}
public virtual void test_zeroRatePointSensitivity_sensitivityCurrency()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactor(DATE_AFTER);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, USD), expected);
}
//-------------------------------------------------------------------------
public virtual void test_discountFactorWithSpread_continuous()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactor(DATE_AFTER);
double expected = df * Math.Exp(-SPREAD * relativeYearFraction);
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected, TOLERANCE_DF);
}
//-------------------------------------------------------------------------
public virtual void test_zeroRate()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.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 test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continous()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 0);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.Sensitivity, expected.Sensitivity, TOLERANCE_DELTA);
}
public virtual void test_discountFactorWithSpread_periodic()
{
int periodPerYear = 4;
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double discountFactorBase = test.discountFactor(DATE_AFTER);
double onePlus = Math.Pow(discountFactorBase, -1.0d / (periodPerYear * relativeYearFraction));
double expected = Math.Pow(onePlus + SPREAD / periodPerYear, -periodPerYear * relativeYearFraction);
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear), expected, TOLERANCE_DF);
}
//-------------------------------------------------------------------------
//-------------------------------------------------------------------------
public virtual void test_parameterSensitivity()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double sensiValue = 25d;
ZeroRateSensitivity point = test.zeroRatePointSensitivity(DATE_AFTER);
point = point.multipliedBy(sensiValue);
CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point);
assertEquals(sensiObject.size(), 1);
CurrencyParameterSensitivity sensi1 = sensiObject.Sensitivities.get(0);
assertEquals(sensi1.Currency, GBP);
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.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_of_badCurve()
{
InterpolatedNodalCurve notYearFraction = InterpolatedNodalCurve.of(Curves.prices(NAME), DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
InterpolatedNodalCurve notZeroRate = InterpolatedNodalCurve.of(Curves.discountFactors(NAME, ACT_365F), DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
CurveMetadata noDayCountMetadata = DefaultCurveMetadata.builder().curveName(NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).addInfo(CurveInfoType.COMPOUNDING_PER_YEAR, 4).build();
InterpolatedNodalCurve notDayCount = InterpolatedNodalCurve.of(noDayCountMetadata, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
CurveMetadata metaNoCompoundPerYear = DefaultCurveMetadata.builder().curveName(NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).build();
InterpolatedNodalCurve notCompoundPerYear = InterpolatedNodalCurve.of(metaNoCompoundPerYear, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
CurveMetadata metaNegativeNb = DefaultCurveMetadata.builder().curveName(NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).addInfo(CurveInfoType.COMPOUNDING_PER_YEAR, -1).build();
InterpolatedNodalCurve curveNegativeNb = InterpolatedNodalCurve.of(metaNegativeNb, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, notYearFraction));
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, notZeroRate));
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, notDayCount));
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, notCompoundPerYear));
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveNegativeNb));
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_periodic()
{
int periodPerYear = 4;
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactor(DATE_AFTER);
double z = -1.0 / relativeYearFraction * Math.Log(df);
double shift = 1.0E-6;
double zP = z + shift;
double zM = z - shift;
double dfSP = Math.Pow(Math.Pow(Math.Exp(-zP * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear);
double dfSM = Math.Pow(Math.Pow(Math.Exp(-zM * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear);
double ddfSdz = (dfSP - dfSM) / (2 * shift);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, ddfSdz);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, PERIODIC, periodPerYear);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.Sensitivity, expected.Sensitivity, TOLERANCE_DELTA_FD);
}
//-------------------------------------------------------------------------
public virtual void test_withCurve()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE).withCurve(CURVE2);
assertEquals(test.Curve, CURVE2);
}
public virtual void test_discountFactorWithSpread_smallYearFraction()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
assertEquals(test.discountFactorWithSpread(DATE_VAL, SPREAD, PERIODIC, 1), 1d, TOLERANCE_DF);
}