static DiscountingKnownAmountPaymentPeriodPricerTest()
{
DoubleArray time_gbp = DoubleArray.of(0.0, 0.5, 1.0, 2.0, 3.0, 4.0, 5.0, 10.0);
DoubleArray rate_gbp = DoubleArray.of(0.0160, 0.0135, 0.0160, 0.0185, 0.0185, 0.0195, 0.0200, 0.0210);
DISCOUNT_CURVE_GBP = InterpolatedNodalCurve.of(Curves.zeroRates("GBP-Discount", ACT_ACT_ISDA), time_gbp, rate_gbp, INTERPOLATOR);
}
public virtual void negativeRates()
{
double shift = 0.05;
Curve surface = ConstantCurve.of("shfit", shift);
SabrParameters @params = SabrParameters.of(ALPHA_CURVE, BETA_CURVE, RHO_CURVE, NU_CURVE, surface, FORMULA);
double expiry = 2.0;
assertEquals(@params.alpha(expiry), ALPHA_CURVE.yValue(expiry));
assertEquals(@params.beta(expiry), BETA_CURVE.yValue(expiry));
assertEquals(@params.rho(expiry), RHO_CURVE.yValue(expiry));
assertEquals(@params.nu(expiry), NU_CURVE.yValue(expiry));
double strike = -0.02;
double forward = 0.015;
double alpha = ALPHA_CURVE.yValue(expiry);
double beta = BETA_CURVE.yValue(expiry);
double rho = RHO_CURVE.yValue(expiry);
double nu = NU_CURVE.yValue(expiry);
assertEquals(@params.volatility(expiry, strike, forward), FORMULA.volatility(forward + shift, strike + shift, expiry, alpha, beta, rho, nu));
double[] adjCmp = @params.volatilityAdjoint(expiry, strike, forward).Derivatives.toArray();
double[] adjExp = FORMULA.volatilityAdjoint(forward + shift, strike + shift, expiry, alpha, beta, rho, nu).Derivatives.toArray();
for (int i = 0; i < 4; ++i)
{
assertEquals(adjCmp[i], adjExp[i]);
}
}
// It's not possible to do an equality test on the curves because shifting them wraps them in a different type
private void checkCurveValues(Curve curve, double expectedValue)
{
for (int i = 0; i < 10; i++)
{
assertThat(curve.yValue((double)i)).isEqualTo(expectedValue);
}
}
//-------------------------------------------------------------------------
private static CurrencyParameterSensitivity buildSensitivities(Curve bumpedCurve, ImmutableRatesProvider ratesProvider)
{
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
RatesProvider bumpedRatesProvider = ratesProvider.toBuilder().discountCurves(ratesProvider.DiscountCurves.Keys.collect(toImmutableMap(System.Func.identity(), k => bumpedCurve))).indexCurves(ratesProvider.IndexCurves.Keys.collect(toImmutableMap(System.Func.identity(), k => bumpedCurve))).build();
PointSensitivities pointSensitivities = PRICER_SWAP.presentValueSensitivity(SWAP, bumpedRatesProvider).build();
CurrencyParameterSensitivities paramSensitivities = bumpedRatesProvider.parameterSensitivity(pointSensitivities);
return(Iterables.getOnlyElement(paramSensitivities.Sensitivities));
}
static DiscountingTermDepositTradePricerTest()
{
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_eur = DoubleArray.of(0.0, 0.5, 1.0, 2.0, 3.0, 4.0, 5.0, 10.0);
DoubleArray rate_eur = DoubleArray.of(0.0160, 0.0135, 0.0160, 0.0185, 0.0185, 0.0195, 0.0200, 0.0210);
CURVE = InterpolatedNodalCurve.of(Curves.zeroRates("EUR-Discount", ACT_360), time_eur, rate_eur, interp);
IMM_PROV = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(EUR, CURVE).build();
}
//-------------------------------------------------------------------------
// creates a simple provider
private SimpleRatesProvider createProvider(LocalDate valDate)
{
Curve curve = ConstantCurve.of(Curves.discountFactors("Test", DAY_COUNT), DISCOUNT_FACTOR);
DiscountFactors df = SimpleDiscountFactors.of(GBP, valDate, curve);
SimpleRatesProvider prov = new SimpleRatesProvider(valDate);
prov.DayCount = DAY_COUNT;
prov.DiscountFactors = df;
return(prov);
}
public virtual void test_builder()
{
Curve betaCurve = ConstantCurve.of(Curves.sabrParameterByExpiry(NAME.Name + "-Beta", ACT_ACT_ISDA, SABR_BETA), 0.65);
SabrIborCapletFloorletVolatilityBootstrapDefinition test = SabrIborCapletFloorletVolatilityBootstrapDefinition.builder().index(USD_LIBOR_3M).name(NAME).interpolator(LINEAR).extrapolatorLeft(FLAT).extrapolatorRight(CurveExtrapolators.LINEAR).dayCount(ACT_ACT_ISDA).sabrVolatilityFormula(SabrVolatilityFormula.hagan()).betaCurve(betaCurve).build();
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.Interpolator, LINEAR);
assertEquals(test.ExtrapolatorLeft, FLAT);
assertEquals(test.ExtrapolatorRight, CurveExtrapolators.LINEAR);
assertEquals(test.Name, NAME);
assertEquals(test.BetaCurve.get(), betaCurve);
assertFalse(test.RhoCurve.Present);
assertEquals(test.SabrVolatilityFormula, SabrVolatilityFormula.hagan());
assertEquals(test.ShiftCurve, ConstantCurve.of("Zero shift", 0d));
}
public virtual void test_multipleCurves()
{
Curve curve1 = ConstantCurve.of(CURVE_NAME1, (double)1);
Curve curve2 = ConstantCurve.of(CURVE_NAME2, (double)2);
CurveId curveId1 = CurveId.of(GROUP_NAME, CURVE_NAME1);
CurveId curveId2 = CurveId.of(GROUP_NAME, CURVE_NAME2);
RatesCurveGroupId groupId = RatesCurveGroupId.of(GROUP_NAME);
RatesCurveGroup curveGroup = RatesCurveGroup.of(GROUP_NAME, ImmutableMap.of(Currency.AUD, curve1, Currency.GBP, curve2), ImmutableMap.of());
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(groupId, curveGroup).build();
MarketDataConfig config = MarketDataConfig.builder().add(GROUP_NAME, RatesCurveGroupDefinition.builder().name(GROUP_NAME).build()).build();
CurveMarketDataFunction test = new CurveMarketDataFunction();
MarketDataBox <Curve> result1 = test.build(curveId1, config, marketData, REF_DATA);
assertEquals(result1, MarketDataBox.ofSingleValue(curve1));
MarketDataBox <Curve> result2 = test.build(curveId2, config, marketData, REF_DATA);
assertEquals(result2, MarketDataBox.ofSingleValue(curve2));
}
public virtual void absoluteScenarios()
{
CurveName curveName = CurveName.of("curveName");
CurveGroupName curveGroupName = CurveGroupName.of("curveGroupName");
Curve curve = ConstantCurve.of(curveName, 2);
PerturbationMapping <Curve> mapping = PerturbationMapping.of(MarketDataFilter.ofName(curveName), CurveParallelShifts.absolute(0.1, 0.2, 0.3));
CurveId curveId = CurveId.of(curveGroupName, curveName);
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(TestHelper.date(2011, 3, 8)).addValue(curveId, curve).build();
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping);
MarketDataFactory marketDataFactory = MarketDataFactory.of(mock(typeof(ObservableDataProvider)), mock(typeof(TimeSeriesProvider)));
MarketDataRequirements requirements = MarketDataRequirements.builder().addValues(curveId).build();
ScenarioMarketData scenarioData = marketDataFactory.createMultiScenario(requirements, MarketDataConfig.empty(), marketData, REF_DATA, scenarioDefinition);
MarketDataBox <Curve> curves = scenarioData.getValue(curveId);
assertThat(curves.ScenarioCount).isEqualTo(3);
checkCurveValues(curves.getValue(0), 2.1);
checkCurveValues(curves.getValue(1), 2.2);
checkCurveValues(curves.getValue(2), 2.3);
}
//-------------------------------------------------------------------------
public virtual void test_singleCurve()
{
Curve curve = ConstantCurve.of(CURVE_NAME1, (double)1);
CurveId curveId1 = CurveId.of(GROUP_NAME, CURVE_NAME1, OBS_SOURCE);
CurveId curveId2 = CurveId.of(GROUP_NAME, CURVE_NAME2, OBS_SOURCE);
CurveId curveId3 = CurveId.of(GROUP_NAME2, CURVE_NAME1, OBS_SOURCE);
RatesCurveGroupId groupId = RatesCurveGroupId.of(GROUP_NAME, OBS_SOURCE);
RatesCurveGroup curveGroup = RatesCurveGroup.of(GROUP_NAME, ImmutableMap.of(Currency.AUD, curve), ImmutableMap.of());
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(groupId, curveGroup).build();
MarketDataConfig config = MarketDataConfig.builder().add(GROUP_NAME, RatesCurveGroupDefinition.builder().name(GROUP_NAME).build()).build();
CurveMarketDataFunction test = new CurveMarketDataFunction();
MarketDataRequirements reqs = test.requirements(curveId1, config);
assertEquals(reqs.NonObservables, ImmutableSet.of(groupId));
MarketDataBox <Curve> result = test.build(curveId1, config, marketData, REF_DATA);
assertEquals(result, MarketDataBox.ofSingleValue(curve));
assertThrowsIllegalArg(() => test.build(curveId2, config, marketData, REF_DATA));
assertThrowsIllegalArg(() => test.build(curveId3, config, marketData, REF_DATA));
}
//-------------------------------------------------------------------------
public virtual void semiParallelGammaValue()
{
ImmutableRatesProvider provider = SINGLE;
Currency curveCurrency = SINGLE_CURRENCY;
DoubleArray y = USD_SINGLE_CURVE.YValues;
int nbNode = y.size();
DoubleArray gammaExpected = DoubleArray.of(nbNode, i =>
{
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][][] yBumped = new double[2][2][nbNode];
double[][][] yBumped = RectangularArrays.ReturnRectangularDoubleArray(2, 2, nbNode);
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] pv = new double[2][2];
double[][] pv = RectangularArrays.ReturnRectangularDoubleArray(2, 2);
for (int pmi = 0; pmi < 2; pmi++)
{
for (int pmP = 0; pmP < 2; pmP++)
{
yBumped[pmi][pmP] = y.toArray();
yBumped[pmi][pmP][i] += (pmi == 0 ? 1.0 : -1.0) * FD_SHIFT;
for (int j = 0; j < nbNode; j++)
{
yBumped[pmi][pmP][j] += (pmP == 0 ? 1.0 : -1.0) * FD_SHIFT;
}
Curve curveBumped = USD_SINGLE_CURVE.withYValues(DoubleArray.copyOf(yBumped[pmi][pmP]));
ImmutableRatesProvider providerBumped = provider.toBuilder().discountCurves(provider.DiscountCurves.Keys.collect(toImmutableMap(Function.identity(), k => curveBumped))).indexCurves(provider.IndexCurves.Keys.collect(toImmutableMap(Function.identity(), k => curveBumped))).build();
pv[pmi][pmP] = PRICER_SWAP.presentValue(SWAP, providerBumped).getAmount(USD).Amount;
}
}
return((pv[1][1] - pv[1][0] - pv[0][1] + pv[0][0]) / (4 * FD_SHIFT * FD_SHIFT));
});
CurrencyParameterSensitivity sensitivityComputed = GAMMA_CAL.calculateSemiParallelGamma(USD_SINGLE_CURVE, curveCurrency, c => buildSensitivities(c, provider));
assertEquals(sensitivityComputed.MarketDataName, USD_SINGLE_CURVE.Name);
DoubleArray gammaComputed = sensitivityComputed.Sensitivity;
assertTrue(gammaComputed.equalWithTolerance(gammaExpected, TOLERANCE_GAMMA));
}
// Checks that different finite difference types and shifts give similar results.
public virtual void semiParallelGammaCoherency()
{
ImmutableRatesProvider provider = SINGLE;
Curve curve = Iterables.getOnlyElement(provider.DiscountCurves.values());
Currency curveCurrency = SINGLE_CURRENCY;
double toleranceCoherency = 1.0E+5;
CurveGammaCalculator calculatorForward5 = CurveGammaCalculator.ofForwardDifference(FD_SHIFT);
CurveGammaCalculator calculatorBackward5 = CurveGammaCalculator.ofBackwardDifference(FD_SHIFT);
CurveGammaCalculator calculatorCentral4 = CurveGammaCalculator.ofCentralDifference(1.0E-4);
DoubleArray gammaCentral5 = GAMMA_CAL.calculateSemiParallelGamma(curve, curveCurrency, c => buildSensitivities(c, provider)).Sensitivity;
DoubleArray gammaForward5 = calculatorForward5.calculateSemiParallelGamma(curve, curveCurrency, c => buildSensitivities(c, provider)).Sensitivity;
assertTrue(gammaForward5.equalWithTolerance(gammaCentral5, toleranceCoherency));
DoubleArray gammaBackward5 = calculatorBackward5.calculateSemiParallelGamma(curve, curveCurrency, c => buildSensitivities(c, provider)).Sensitivity;
assertTrue(gammaForward5.equalWithTolerance(gammaBackward5, toleranceCoherency));
DoubleArray gammaCentral4 = calculatorCentral4.calculateSemiParallelGamma(curve, curveCurrency, c => buildSensitivities(c, provider)).Sensitivity;
assertTrue(gammaForward5.equalWithTolerance(gammaCentral4, toleranceCoherency));
}
public virtual void test_bondDiscountingProvider()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_B, GROUP_REPO_X);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves);
LocalDate valDate = date(2015, 6, 30);
Curve repoCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD1.CurveName, ACT_360), 1d);
Curve issuerCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD3.CurveName, ACT_360), 2d);
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.of(CURVE_ID_USD1, repoCurve, CURVE_ID_USD3, issuerCurve));
LegalEntityDiscountingProvider provider = test.discountingProvider(md);
assertEquals(provider.ValuationDate, valDate);
assertEquals(provider.findData(CURVE_ID_USD1.CurveName), repoCurve);
assertEquals(provider.findData(CURVE_ID_USD3.CurveName), issuerCurve);
assertEquals(provider.findData(CurveName.of("Rubbish")), null);
// check repo
RepoCurveDiscountFactors rcdf = provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, USD);
SimpleDiscountFactors rdf = (SimpleDiscountFactors)rcdf.DiscountFactors;
assertEquals(rdf.Curve.Name, repoCurve.Name);
assertEquals(rcdf, provider.repoCurveDiscountFactors(SEC_B1, ISSUER_B, USD));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_C1, ISSUER_C, USD));
// check issuer
IssuerCurveDiscountFactors icdf = provider.issuerCurveDiscountFactors(ISSUER_A, USD);
SimpleDiscountFactors idf = (SimpleDiscountFactors)icdf.DiscountFactors;
assertEquals(idf.Curve.Name, issuerCurve.Name);
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_C, USD));
}
