public virtual void test_before()
{
LocalDate startDate = date(2018, 2, 1);
LocalDate endDate = date(2018, 2, 28);
OvernightAveragedDailyRateComputation cmp = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, startDate, endDate, REF_DATA);
ImmutableRatesProvider rates = getRatesProvider(date(2018, 1, 24));
double computedRate = FUNCTION.rate(cmp, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, rates);
PointSensitivityBuilder sensiComputed = FUNCTION.rateSensitivity(cmp, startDate, endDate, rates);
ExplainMapBuilder builder = ExplainMap.builder();
double explainRate = FUNCTION.explainRate(cmp, startDate, endDate, rates, builder);
double expectedRate = 0d;
PointSensitivityBuilder sensiExpected = PointSensitivityBuilder.none();
LocalDate date = startDate;
while (!date.isAfter(endDate))
{
OvernightIndexObservation obs = OvernightIndexObservation.of(USD_FED_FUND, date, REF_DATA);
double rate = rates.overnightIndexRates(USD_FED_FUND).rate(obs);
PointSensitivityBuilder rateSensi = rates.overnightIndexRates(USD_FED_FUND).ratePointSensitivity(obs);
LocalDate nextDate = cmp.FixingCalendar.next(date);
long days = DAYS.between(date, nextDate);
expectedRate += rate * days;
sensiExpected = sensiComputed.combinedWith(rateSensi.multipliedBy(days));
date = nextDate;
}
double nDays = 28d;
expectedRate /= nDays;
sensiExpected = sensiExpected.multipliedBy(1d / nDays);
assertEquals(computedRate, expectedRate, TOL);
assertTrue(sensiComputed.build().equalWithTolerance(sensiExpected.build(), TOL));
assertEquals(explainRate, computedRate, TOL);
assertEquals(builder.build().get(ExplainKey.COMBINED_RATE).Value, expectedRate, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_combinedWith()
{
OvernightRateSensitivity base1 = OvernightRateSensitivity.of(GBP_SONIA_OBSERVATION, 32d);
OvernightRateSensitivity base2 = OvernightRateSensitivity.of(OvernightIndexObservation.of(GBP_SONIA, date(2015, 10, 27), REF_DATA), 22d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(base1).add(base2);
PointSensitivityBuilder test = base1.combinedWith(base2);
assertEquals(test, expected);
}
public virtual void test_periodRatePointSensitivity_onholidaybeforepublication()
{
LocalDate lastFixingDate = LocalDate.of(2017, 6, 30);
LocalDate gbdBeforeValDate = LocalDate.of(2017, 7, 3);
LocalDate gbdAfterValDate = LocalDate.of(2017, 7, 5);
double fixingValue = 0.0010;
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(-1.0d, 10.0d), DoubleArray.of(0.01, 0.02), INTERPOLATOR);
ZeroRateDiscountFactors df = ZeroRateDiscountFactors.of(USD, LocalDate.of(2017, 7, 4), curve);
LocalDateDoubleTimeSeries series = LocalDateDoubleTimeSeries.builder().put(lastFixingDate, fixingValue).build();
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(USD_FED_FUND, df, series);
OvernightIndexObservation obs = OvernightIndexObservation.of(USD_FED_FUND, gbdBeforeValDate, REF_DATA);
OvernightRateSensitivity expected = OvernightRateSensitivity.ofPeriod(obs, gbdAfterValDate, USD, 1d);
assertEquals(test.periodRatePointSensitivity(obs, gbdAfterValDate), expected);
}
//-------------------------------------------------------------------------
public virtual void test_convertedTo()
{
LocalDate fixingDate = DATE;
LocalDate endDate = date(2015, 10, 27);
double sensi = 32d;
OvernightRateSensitivity @base = OvernightRateSensitivity.ofPeriod(OvernightIndexObservation.of(GBP_SONIA, fixingDate, REF_DATA), endDate, GBP, sensi);
double rate = 1.5d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
OvernightRateSensitivity test1 = (OvernightRateSensitivity)@base.convertedTo(USD, matrix);
OvernightRateSensitivity expected = OvernightRateSensitivity.ofPeriod(OvernightIndexObservation.of(GBP_SONIA, fixingDate, REF_DATA), endDate, USD, rate * sensi);
assertEquals(test1, expected);
OvernightRateSensitivity test2 = (OvernightRateSensitivity)@base.convertedTo(GBP, matrix);
assertEquals(test2, @base);
}
public virtual PointSensitivityBuilder rateSensitivity(OvernightAveragedDailyRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
OvernightIndex index = computation.Index;
OvernightIndexRates rates = provider.overnightIndexRates(index);
LocalDate lastFixingDate = computation.EndDate;
PointSensitivityBuilder pointSensitivityBuilder = PointSensitivityBuilder.none();
int numberOfDays = 0;
LocalDate currentFixingDate = computation.StartDate;
while (!currentFixingDate.isAfter(lastFixingDate))
{
LocalDate referenceFixingDate = computation.FixingCalendar.previousOrSame(currentFixingDate);
OvernightIndexObservation indexObs = computation.observeOn(referenceFixingDate);
PointSensitivityBuilder forwardRateSensitivity = rates.ratePointSensitivity(indexObs);
pointSensitivityBuilder = pointSensitivityBuilder.combinedWith(forwardRateSensitivity);
numberOfDays++;
currentFixingDate = currentFixingDate.plusDays(1);
}
return(pointSensitivityBuilder.multipliedBy(1d / numberOfDays));
}
//-------------------------------------------------------------------------
public virtual double rate(OvernightAveragedDailyRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
OvernightIndex index = computation.Index;
OvernightIndexRates rates = provider.overnightIndexRates(index);
LocalDate lastFixingDate = computation.EndDate;
double interestSum = 0d;
int numberOfDays = 0;
LocalDate currentFixingDate = computation.StartDate;
while (!currentFixingDate.isAfter(lastFixingDate))
{
LocalDate referenceFixingDate = computation.FixingCalendar.previousOrSame(currentFixingDate);
OvernightIndexObservation indexObs = computation.observeOn(referenceFixingDate);
double forwardRate = rates.rate(indexObs);
interestSum += forwardRate;
numberOfDays++;
currentFixingDate = currentFixingDate.plusDays(1);
}
return(interestSum / numberOfDays);
}
//-------------------------------------------------------------------------
public virtual double rate(OvernightAveragedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
OvernightIndex index = computation.Index;
OvernightIndexRates rates = provider.overnightIndexRates(index);
LocalDate lastNonCutoffFixing = computation.EndDate;
int cutoffOffset = computation.RateCutOffDays > 1 ? computation.RateCutOffDays : 1;
double accumulatedInterest = 0.0d;
double accrualFactorTotal = 0.0d;
// Cut-off period. Starting from the end as the cutoff period is defined as a lag from the end.
// When the fixing period end-date is not a good business day in the index calendar,
// the last fixing end date will be after the fixing end-date.
double cutoffAccrualFactor = 0.0;
OvernightIndexObservation lastIndexObs = null;
// cutoffOffset >= 1, so loop always runs at least once
for (int i = 0; i < cutoffOffset; i++)
{
lastNonCutoffFixing = computation.FixingCalendar.previous(lastNonCutoffFixing);
lastIndexObs = computation.observeOn(lastNonCutoffFixing);
accrualFactorTotal += lastIndexObs.YearFraction;
cutoffAccrualFactor += lastIndexObs.YearFraction;
}
double forwardRateCutOff = rates.rate(lastIndexObs);
accumulatedInterest += cutoffAccrualFactor * forwardRateCutOff;
LocalDate currentFixingNonCutoff = computation.StartDate;
while (currentFixingNonCutoff.isBefore(lastNonCutoffFixing))
{
// All dates involved in the period are computed. Potentially slow.
// The fixing periods are added as long as their start date is (strictly) before the no cutoff period end-date.
OvernightIndexObservation indexObs = computation.observeOn(currentFixingNonCutoff);
double forwardRate = rates.rate(indexObs);
accrualFactorTotal += indexObs.YearFraction;
accumulatedInterest += indexObs.YearFraction * forwardRate;
currentFixingNonCutoff = computation.FixingCalendar.next(currentFixingNonCutoff);
}
// final rate
return(accumulatedInterest / accrualFactorTotal);
}
public virtual void test_observeOn()
{
OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA);
assertEquals(test.observeOn(date(2016, 2, 24)), OvernightIndexObservation.of(USD_FED_FUND, date(2016, 2, 24), REF_DATA));
}
