public virtual void test_volatilities()
{
BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification @base = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(GBP_USD).dayCount(ACT_365F).nodes(NODES).timeInterpolator(PCHIP).strikeInterpolator(DOUBLE_QUADRATIC).build();
LocalDate date = LocalDate.of(2017, 9, 25);
ZonedDateTime dateTime = date.atStartOfDay().atZone(ZoneId.of("Europe/London"));
DoubleArray parameters = DoubleArray.of(0.19, 0.15, 0.13, 0.14, 0.14, 0.11, 0.09, 0.09, 0.11, 0.09, 0.07, 0.07);
BlackFxOptionSurfaceVolatilities computed = @base.volatilities(dateTime, parameters, REF_DATA);
DaysAdjustment expOffset = DaysAdjustment.ofBusinessDays(-2, NY_LO);
double[] expiries = new double[STRIKES.Count * TENORS.Count];
double[] strikes = new double[STRIKES.Count * TENORS.Count];
ImmutableList.Builder <ParameterMetadata> paramMetadata = ImmutableList.builder();
for (int i = 0; i < TENORS.Count; ++i)
{
double expiry = ACT_365F.relativeYearFraction(date, expOffset.adjust(BDA.adjust(SPOT_OFFSET.adjust(date, REF_DATA).plus(TENORS[i]), REF_DATA), REF_DATA));
for (int j = 0; j < STRIKES.Count; ++j)
{
paramMetadata.add(FxVolatilitySurfaceYearFractionParameterMetadata.of(expiry, SimpleStrike.of(STRIKES[j]), GBP_USD));
expiries[STRIKES.Count * i + j] = expiry;
strikes[STRIKES.Count * i + j] = STRIKES[j];
}
}
InterpolatedNodalSurface surface = InterpolatedNodalSurface.ofUnsorted(Surfaces.blackVolatilityByExpiryStrike(VOL_NAME.Name, ACT_365F).withParameterMetadata(paramMetadata.build()), DoubleArray.ofUnsafe(expiries), DoubleArray.ofUnsafe(strikes), parameters, GridSurfaceInterpolator.of(PCHIP, DOUBLE_QUADRATIC));
BlackFxOptionSurfaceVolatilities expected = BlackFxOptionSurfaceVolatilities.of(VOL_NAME, GBP_USD, dateTime, surface);
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
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()
{
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()
{
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_presentValueWithSpread_df_spread_continuous()
{
CurrencyAmount computed = PRICER.presentValueWithSpread(PAYMENT, DISCOUNT_FACTORS, Z_SPREAD, CONTINUOUS, 0);
double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
double expected = NOTIONAL_USD * DF * Math.Exp(-Z_SPREAD * relativeYearFraction);
assertEquals(computed.Amount, expected, NOTIONAL_USD * TOL);
}
//-------------------------------------------------------------------------
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_zeroRatePointSensitivityWithSpread_continous()
{
ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = Math.Exp(-relativeYearFraction * (CURVE.yValue(relativeYearFraction) + SPREAD));
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected);
}
//-------------------------------------------------------------------------
public virtual void test_zeroRatePointSensitivity()
{
ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = Math.Exp(-relativeYearFraction * CURVE.yValue(relativeYearFraction));
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivity(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()
{
LegalEntitySurvivalProbabilities test = LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY, DFS);
double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, DATE_AFTER);
double discountFactor = test.survivalProbability(DATE_AFTER);
double zeroRate = test.zeroRate(relativeYearFraction);
assertEquals(Math.Exp(-zeroRate * relativeYearFraction), discountFactor);
}
public virtual void test_zeroRate()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, DATE_AFTER);
double discountFactor = test.discountFactor(DATE_AFTER);
double zeroRate = test.zeroRate(DATE_AFTER);
assertEquals(Math.Exp(-zeroRate * relativeYearFraction), discountFactor);
}
//-------------------------------------------------------------------------
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_presentValueWithSpread_df_spread_periodic()
{
CurrencyAmount computed = PRICER.presentValueWithSpread(PAYMENT, DISCOUNT_FACTORS, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
double rate = (Math.Pow(DF, -1d / PERIOD_PER_YEAR / relativeYearFraction) - 1d) * PERIOD_PER_YEAR;
double expected = NOTIONAL_USD * discountFactorFromPeriodicallyCompoundedRate(rate + Z_SPREAD, PERIOD_PER_YEAR, relativeYearFraction);
assertEquals(computed.Amount, expected, NOTIONAL_USD * TOL);
}
public virtual void test_zeroRatePointSensitivity_sensitivityCurrency()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, DATE_AFTER);
double df = Math.Exp(-relativeYearFraction * CURVE.yValue(relativeYearFraction));
ZeroRateSensitivity expected = ZeroRateSensitivity.of(USD, relativeYearFraction, GBP, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, GBP), expected);
}
public virtual void test_discountFactorTimeDerivative()
{
DiscountFactors test = DiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double expectedP = test.discountFactor(relativeYearFraction + EPS);
double expectedM = test.discountFactor(relativeYearFraction - EPS);
assertEquals(test.discountFactorTimeDerivative(relativeYearFraction), (expectedP - expectedM) / (2 * EPS), TOL_FD);
}
//-------------------------------------------------------------------------
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 test_expiry()
{
FxOptionVolatilitiesNode test = FxOptionVolatilitiesNode.of(EUR_GBP, SPOT_DATE_OFFSET, BDA, ValueType.BLACK_VOLATILITY, QUOTE_ID, Tenor.TENOR_3M, STRIKE);
ZonedDateTime dateTime = LocalDate.of(2016, 1, 23).atStartOfDay(ZoneId.of("Europe/London"));
DaysAdjustment expAdj = DaysAdjustment.ofBusinessDays(-2, LO_TA);
double computed = test.timeToExpiry(dateTime, ACT_365F, REF_DATA);
double expected = ACT_365F.relativeYearFraction(dateTime.toLocalDate(), expAdj.adjust(BDA.adjust(SPOT_DATE_OFFSET.adjust(dateTime.toLocalDate(), REF_DATA).plus(Tenor.TENOR_3M), REF_DATA), REF_DATA));
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public virtual void test_unitParameterSensitivity()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER);
double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, DATE_AFTER);
CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of(CURVE.yValueParameterSensitivity(relativeYearFraction).multipliedBy(sens.Currency, sens.Sensitivity));
assertEquals(test.parameterSensitivity(sens), expected);
}
public virtual void test_loadAllDates()
{
LocalDate sampleDate = ALL_DATES[3]; // 2017-04-21
ImmutableList <LocalDate> expDates = ImmutableList.of(LocalDate.of(2017, 0x7, 21), LocalDate.of(2017, 10, 0x7), LocalDate.of(2018, 4, 13), LocalDate.of(2019, 4, 12), LocalDate.of(2020, 3, 20), LocalDate.of(2021, 3, 19), LocalDate.of(2022, 3, 19), LocalDate.of(2023, 3, 17), LocalDate.of(2024, 6, 17), LocalDate.of(2025, 3, 18), LocalDate.of(2026, 3, 20), LocalDate.of(2027, 3, 20), LocalDate.of(2031, 12, 19), LocalDate.of(2037, 3, 17), LocalDate.of(2047, 3, 17), LocalDate.of(2056, 3, 17));
ImmutableList <string> expTenors = ImmutableList.of("3M", "6M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "15Y", "20Y", "30Y", "40Y");
RepoGroup repoGroup = RepoGroup.of("JP-REPO");
DoubleArray expRepoXValues = DoubleArray.of(3, n => ACT_365F.relativeYearFraction(sampleDate, expDates.get(n)));
DoubleArray expRepoYValues = DoubleArray.of(-0.0019521, -0.0016021, -0.0022521);
ImmutableList <LabelDateParameterMetadata> expRepoMetadata = IntStream.range(0, 3).mapToObj(n => LabelDateParameterMetadata.of(expDates.get(n), expTenors.get(n))).collect(Guavate.toImmutableList());
LegalEntityGroup legalEntityGroup = LegalEntityGroup.of("JP-GOVT");
DoubleArray expIssuerXValues = DoubleArray.of(expDates.size(), n => ACT_365F.relativeYearFraction(sampleDate, expDates.get(n)));
DoubleArray expIssuerYValues = DoubleArray.of(-0.0019511690511744527, -0.001497422302092893, -0.0021798583657932176, -0.002215700360912938, -0.0021722324679574866, -0.001922059591219172, -0.0015461646763548528, -0.0014835851245462084, -0.001118669580570464, -5.476767138782941E-4, -2.2155596172855965E-4, 2.0333291172821893E-5, 0.00284500423293463, 0.005876533417933958, 0.007957581583531789, 0.009134630405512047);
ImmutableList <LabelDateParameterMetadata> expIssuerMetadata = IntStream.range(0, expDates.size()).mapToObj(n => LabelDateParameterMetadata.of(expDates.get(n), expTenors.get(n))).collect(Guavate.toImmutableList());
ImmutableListMultimap <LocalDate, LegalEntityCurveGroup> allCurves = LegalEntityRatesCurvesCsvLoader.loadAllDates(ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
//JAVA TO C# CONVERTER TODO TASK: There is no .NET equivalent to the java.util.Collection 'containsAll' method:
assertTrue(allCurves.Keys.containsAll(ALL_DATES));
ImmutableList <LegalEntityCurveGroup> groups = allCurves.get(sampleDate);
assertEquals(groups.size(), 2);
// group 0
LegalEntityCurveGroup group0 = groups.get(0);
assertEquals(group0.Name, CurveGroupName.of("Default1"));
// repo
assertEquals(group0.RepoCurves.size(), 1);
Curve repoCurve = group0.RepoCurves.get(Pair.of(repoGroup, JPY));
InterpolatedNodalCurve expectedRepoCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-REPO-1"), ACT_365F, expRepoMetadata), expRepoXValues, expRepoYValues, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(repoCurve, expectedRepoCurve);
// issuer
assertEquals(group0.IssuerCurves.size(), 2);
Curve issuerCurve = group0.IssuerCurves.get(Pair.of(legalEntityGroup, JPY));
InterpolatedNodalCurve expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-GOVT-1"), ACT_365F, expIssuerMetadata), expIssuerXValues, expIssuerYValues, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(issuerCurve, expectedIssuerCurve);
Curve usIssuerCurve = group0.IssuerCurves.get(Pair.of(LegalEntityGroup.of("US-GOVT"), USD));
expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("US-GOVT"), ACT_360, expIssuerMetadata), DoubleArray.of(expDates.size(), n => ACT_360.relativeYearFraction(sampleDate, expDates.get(n))), expIssuerYValues, CurveInterpolators.NATURAL_SPLINE, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(usIssuerCurve, expectedIssuerCurve);
// group 1
LegalEntityCurveGroup group1 = groups.get(1);
assertEquals(group1.Name, CurveGroupName.of("Default2"));
// repo
repoCurve = group1.RepoCurves.get(Pair.of(repoGroup, JPY));
expectedRepoCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-REPO-2"), ACT_365F, expRepoMetadata), expRepoXValues, expRepoYValues, CurveInterpolators.DOUBLE_QUADRATIC, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
assertEquals(repoCurve, expectedRepoCurve);
// issuer
assertEquals(group1.IssuerCurves.size(), 1);
issuerCurve = group1.IssuerCurves.get(Pair.of(legalEntityGroup, JPY));
expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-GOVT-2"), ACT_365F, expIssuerMetadata), expIssuerXValues, expIssuerYValues, CurveInterpolators.DOUBLE_QUADRATIC, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
assertEquals(issuerCurve, expectedIssuerCurve);
}
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_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_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_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_price()
{
double computed = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS);
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.UnderlyingFuture, RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.StrikePrice;
double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.ExpiryDate);
double logMoneyness = Math.Log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.price(futurePrice, strike, expiryTime, vol, true);
assertEquals(computed, expected, TOL);
}
public virtual void test_theta_from_future_price()
{
double futurePrice = 1.1d;
double computed = OPTION_PRICER.theta(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS, futurePrice);
double strike = FUTURE_OPTION_PRODUCT.StrikePrice;
double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.ExpiryDate);
double logMoneyness = Math.Log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.driftlessTheta(futurePrice, strike, expiryTime, vol);
assertEquals(computed, expected, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity_df()
{
PointSensitivities point = PRICER.presentValueSensitivity(PAYMENT, DISCOUNT_FACTORS).build();
double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
double expected = -DF * relativeYearFraction * NOTIONAL_USD;
ZeroRateSensitivity actual = (ZeroRateSensitivity)point.Sensitivities.get(0);
assertEquals(actual.Currency, USD);
assertEquals(actual.CurveCurrency, USD);
assertEquals(actual.YearFraction, relativeYearFraction);
assertEquals(actual.Sensitivity, expected, NOTIONAL_USD * TOL);
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityWithSpread_df_spread_continuous()
{
PointSensitivities point = PRICER.presentValueSensitivityWithSpread(PAYMENT, DISCOUNT_FACTORS, Z_SPREAD, CONTINUOUS, 0).build();
double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
double expected = -DF *relativeYearFraction *NOTIONAL_USD *Math.Exp(-Z_SPREAD *relativeYearFraction);
ZeroRateSensitivity actual = (ZeroRateSensitivity)point.Sensitivities.get(0);
assertEquals(actual.Currency, USD);
assertEquals(actual.CurveCurrency, USD);
assertEquals(actual.YearFraction, relativeYearFraction);
assertEquals(actual.Sensitivity, expected, NOTIONAL_USD * TOL);
}
public virtual void test_expiry_standard()
{
DaysAdjustment spotLag = DaysAdjustment.ofBusinessDays(2, LO_NY);
BusinessDayAdjustment bda = BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, LO_NY);
FxOptionVolatilitiesNode[] nodes = new FxOptionVolatilitiesNode[] { FxOptionVolatilitiesNode.of(GBP_USD, spotLag, bda, ValueType.BLACK_VOLATILITY, QUOTE_ID, Tenor.TENOR_2M, STRIKE), FxOptionVolatilitiesNode.of(GBP_USD, spotLag, bda, ValueType.BLACK_VOLATILITY, QUOTE_ID, Tenor.TENOR_10M, STRIKE), FxOptionVolatilitiesNode.of(GBP_USD, spotLag, bda, ValueType.BLACK_VOLATILITY, QUOTE_ID, Tenor.TENOR_4M, STRIKE) };
ZonedDateTime[] valDates = new ZonedDateTime[] { LocalDate.of(2017, 10, 25).atStartOfDay(ZoneId.of("Europe/London")), LocalDate.of(2017, 10, 25).atStartOfDay(ZoneId.of("Europe/London")), LocalDate.of(2017, 10, 27).atStartOfDay(ZoneId.of("Europe/London")) };
LocalDate[] expDates = new LocalDate[] { LocalDate.of(2017, 12, 21), LocalDate.of(2018, 8, 23), LocalDate.of(2018, 2, 26) };
for (int i = 0; i < expDates.Length; ++i)
{
double computed = nodes[i].timeToExpiry(valDates[i], ACT_365F, REF_DATA);
double expected = ACT_365F.relativeYearFraction(valDates[i].toLocalDate(), expDates[i]);
assertEquals(computed, expected);
}
}