public virtual void test_builder_noRepoRate()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).build();
assertEquals(test.issuerCurveDiscountFactors(ID_ISSUER, GBP), IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
assertEquals(test.ValuationDate, DATE);
}
/// <summary>
/// Obtains legal entity discounting rates provider from valuation date.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the discounting rates provider </returns>
public static LegalEntityDiscountingProvider getLegalEntityDiscountingProviderJp(LocalDate valuationDate)
{
DiscountFactors dscIssuer = ZeroRateDiscountFactors.of(JPY, valuationDate, ISSUER_CURVE);
DiscountFactors dscRepo = ZeroRateDiscountFactors.of(JPY, valuationDate, REPO_CURVE);
return(ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, JPY), dscIssuer)).issuerCurveGroups(ImmutableMap.of(ISSUER_ID, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO, JPY), dscRepo)).repoCurveGroups(ImmutableMap.of(ISSUER_ID, GROUP_REPO)).build());
}
public virtual void test_findData()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).valuationDate(DATE).build();
assertEquals(test.findData(DSC_FACTORS_ISSUER.Curve.Name), DSC_FACTORS_ISSUER.Curve);
assertEquals(test.findData(DSC_FACTORS_REPO.Curve.Name), DSC_FACTORS_REPO.Curve);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
}
public virtual void test_curveParameterSensitivity_noSensi()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).valuationDate(DATE).build();
ZeroRateSensitivity sensi = ZeroRateSensitivity.of(USD, DSC_FACTORS_ISSUER.relativeYearFraction(date(2018, 11, 24)), 25d);
CurrencyParameterSensitivities computed = test.parameterSensitivity(sensi.build());
assertEquals(computed, CurrencyParameterSensitivities.empty());
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).valuationDate(DATE).build();
assertEquals(test.issuerCurveDiscountFactors(ID_ISSUER, GBP), IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
assertEquals(test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP), RepoCurveDiscountFactors.of(DSC_FACTORS_REPO, GROUP_REPO_SECURITY));
assertThrowsIllegalArg(() => test.repoCurveDiscountFactors(ID_ISSUER, GBP));
assertEquals(test.ValuationDate, DATE);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableLegalEntityDiscountingProvider test1 = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).build();
coverImmutableBean(test1);
LocalDate val = date(2015, 6, 14);
DiscountFactors dscFactorIssuer = ZeroRateDiscountFactors.of(GBP, val, CURVE_ISSUER);
DiscountFactors dscFactorRepo = ZeroRateDiscountFactors.of(GBP, val, CURVE_REPO);
ImmutableLegalEntityDiscountingProvider test2 = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), dscFactorIssuer)).issuerCurveGroups(ImmutableMap.of(LegalEntityId.of("OG-Ticker", "foo"), GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(RepoGroup.of("ISSUER2 BND 5Y"), GBP), dscFactorRepo)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, RepoGroup.of("ISSUER2 BND 5Y"))).build();
coverBeanEquals(test1, test2);
}
public virtual void test_curveParameterSensitivity()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).valuationDate(DATE).build();
LocalDate refDate = date(2018, 11, 24);
IssuerCurveZeroRateSensitivity sensi1 = test.issuerCurveDiscountFactors(ID_ISSUER, GBP).zeroRatePointSensitivity(refDate, GBP);
RepoCurveZeroRateSensitivity sensi2 = test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP).zeroRatePointSensitivity(refDate, GBP);
PointSensitivities sensi = PointSensitivities.of(sensi1, sensi2);
CurrencyParameterSensitivities computed = test.parameterSensitivity(sensi);
CurrencyParameterSensitivities expected = DSC_FACTORS_ISSUER.parameterSensitivity(sensi1.createZeroRateSensitivity()).combinedWith(DSC_FACTORS_REPO.parameterSensitivity(sensi2.createZeroRateSensitivity()));
assertTrue(computed.equalWithTolerance(expected, 1.0e-12));
}
//-------------------------------------------------------------------------
public virtual void test_discountFactor_notFound()
{
LegalEntityId issuerId = LegalEntityId.of("OG-Ticker", "Issuer-2");
LegalEntityGroup issuerGroup = LegalEntityGroup.of("ISSUER2");
RepoGroup repoGroup = RepoGroup.of("ISSUER2 BND 5Y");
SecurityId securityId = SecurityId.of("OG-Ticker", "Issuer-2-bond-5Y");
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER, issuerId, issuerGroup)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(issuerId, repoGroup)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).valuationDate(DATE).build();
assertThrowsIllegalArg(() => test.issuerCurveDiscountFactors(ID_ISSUER, USD));
assertThrowsIllegalArg(() => test.issuerCurveDiscountFactors(LegalEntityId.of("OG-Ticker", "foo"), GBP));
assertThrowsIllegalArg(() => test.issuerCurveDiscountFactors(issuerId, GBP));
assertThrowsIllegalArg(() => test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, USD));
assertThrowsIllegalArg(() => test.repoCurveDiscountFactors(SecurityId.of("OG-Ticker", "foo-bond"), LegalEntityId.of("OG-Ticker", "foo"), GBP));
assertThrowsIllegalArg(() => test.repoCurveDiscountFactors(securityId, issuerId, GBP));
}
public virtual void test_builder_fail()
{
// no relevant map for repo curve
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, RepoGroup.of("ISSUER2 BND 5Y"))).build());
// no relevant map for issuer curve
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, LegalEntityGroup.of("ISSUER2"))).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).build());
// issuer curve and valuation date are missing
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).build());
// issuer curve date is different from valuation date
DiscountFactors dscFactorIssuer = ZeroRateDiscountFactors.of(GBP, date(2015, 6, 14), CURVE_ISSUER);
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), dscFactorIssuer)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).valuationDate(DATE).build());
// repo curve rate is different from valuation date
DiscountFactors dscFactorRepo = ZeroRateDiscountFactors.of(GBP, date(2015, 6, 14), CURVE_REPO);
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), dscFactorRepo)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).valuationDate(DATE).build());
}