public virtual void test_rate()
{
SimpleRatesProvider prov = new SimpleRatesProvider();
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE);
IborIndexRates mockIbor = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
prov.IborRates = mockIbor;
ForwardIborRateComputationFn obsFn = ForwardIborRateComputationFn.DEFAULT;
assertEquals(obsFn.rate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov), RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov, builder), RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 1);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_START_DATE), FORWARD_START_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_END_DATE), FORWARD_END_DATE);
assertEquals(built.get(ExplainKey.COMBINED_RATE), RATE);
}
public virtual void test_rate()
{
LocalDate fixingDate = OBSERVATIONS[0].FixingDate;
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(fixingDate, FIXING_VALUES[0]);
LocalDateDoubleTimeSeries rates = LocalDateDoubleTimeSeries.builder().put(OBSERVATIONS[1].FixingDate, FIXING_VALUES[1]).put(OBSERVATIONS[2].FixingDate, FIXING_VALUES[2]).put(OBSERVATIONS[3].FixingDate, FIXING_VALUES[3]).build();
IborIndexRates mockIbor = new TestingIborIndexRates(GBP_LIBOR_3M, fixingDate, rates, timeSeries);
SimpleRatesProvider prov = new SimpleRatesProvider(fixingDate);
prov.IborRates = mockIbor;
IList <IborAveragedFixing> fixings = new List <IborAveragedFixing>();
double totalWeightedRate = 0.0d;
double totalWeight = 0.0d;
for (int i = 0; i < OBSERVATIONS.Length; i++)
{
IborIndexObservation obs = OBSERVATIONS[i];
IborAveragedFixing fixing = IborAveragedFixing.builder().observation(obs).weight(WEIGHTS[i]).build();
fixings.Add(fixing);
totalWeightedRate += FIXING_VALUES[i] * WEIGHTS[i];
totalWeight += WEIGHTS[i];
}
double rateExpected = totalWeightedRate / totalWeight;
IborAveragedRateComputation ro = IborAveragedRateComputation.of(fixings);
ForwardIborAveragedRateComputationFn obsFn = ForwardIborAveragedRateComputationFn.DEFAULT;
double rateComputed = obsFn.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov);
assertEquals(rateComputed, rateExpected, TOLERANCE_RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov, builder), rateExpected, TOLERANCE_RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), OBSERVATIONS.Length);
for (int i = 0; i < 4; i++)
{
ExplainMap childMap = built.get(ExplainKey.OBSERVATIONS).get().get(i);
assertEquals(childMap.get(ExplainKey.FIXING_DATE), (OBSERVATIONS[i].FixingDate));
assertEquals(childMap.get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(childMap.get(ExplainKey.INDEX_VALUE), FIXING_VALUES[i]);
assertEquals(childMap.get(ExplainKey.WEIGHT), WEIGHTS[i]);
assertEquals(childMap.get(ExplainKey.FROM_FIXING_SERIES), i == 0 ? true : null);
}
assertEquals(built.get(ExplainKey.COMBINED_RATE), rateExpected);
}
public virtual void test_rate()
{
RatesProvider mockProv = mock(typeof(RatesProvider));
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE3TS);
IborIndexRates mockRates3M = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
IborIndexRates mockRates6M = new TestingIborIndexRates(GBP_LIBOR_6M, FIXING_DATE, LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE6), LocalDateDoubleTimeSeries.empty());
when(mockProv.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProv.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
IborInterpolatedRateComputation ro = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
ForwardIborInterpolatedRateComputationFn obs = ForwardIborInterpolatedRateComputationFn.DEFAULT;
LocalDate fixingEndDate3M = GBP_LIBOR_3M_OBS.MaturityDate;
LocalDate fixingEndDate6M = GBP_LIBOR_6M_OBS.MaturityDate;
double days3M = fixingEndDate3M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 3M fixing period
double days6M = fixingEndDate6M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 6M fixing period
double daysCpn = ACCRUAL_END_DATE.toEpochDay() - FIXING_DATE.toEpochDay();
double weight3M = (days6M - daysCpn) / (days6M - days3M);
double weight6M = (daysCpn - days3M) / (days6M - days3M);
double rateExpected = (weight3M * RATE3TS + weight6M * RATE6);
double rateComputed = obs.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv);
assertEquals(rateComputed, rateExpected, TOLERANCE_RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obs.explainRate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv, builder), rateExpected, TOLERANCE_RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 2);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE3TS);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.WEIGHT), weight3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX), GBP_LIBOR_6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX_VALUE), RATE6);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.WEIGHT), weight6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FROM_FIXING_SERIES), null);
assertEquals(built.get(ExplainKey.COMBINED_RATE), rateExpected);
}
