/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isda;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getLegacyFixedRecoveryDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getLegacyForwardStartingDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getLegacyMuniDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getLegacyQuantoDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getLegacyRecoveryLockDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getLegacySovereignDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getStandardFixedRecoveryDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getStandardForwardStartingDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getStandardMuniDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getStandardQuantoDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getStandardRecoveryLockDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getStandardSovereignpDefinition;
import static com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets.getStandardVanillaDefinition;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.credit.BuySellProtection;
import com.opengamma.analytics.financial.credit.ISDAYieldCurveAndHazardRateCurveProvider;
import com.opengamma.analytics.financial.credit.PriceType;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.legacy.PresentValueLegacyCreditDefaultSwap;
import com.opengamma.analytics.financial.credit.hazardratecurve.HazardRateCurve;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class ISDACreditDefaultSwapPVCalculatorTest {
private static final PresentValueLegacyCreditDefaultSwap DEPRECATED_CALCULATOR = new PresentValueLegacyCreditDefaultSwap();
private static final ISDACreditDefaultSwapPVCalculator CALCULATOR = new ISDACreditDefaultSwapPVCalculator();
private static final ZonedDateTime VALUATION_DATE = DateUtils.getUTCDate(2013, 1, 6);
private static final ZonedDateTime BASE_DATE = DateUtils.getUTCDate(2013, 3, 1);
private static final ZonedDateTime[] HR_DATES = new ZonedDateTime[] {DateUtils.getUTCDate(2013, 3, 1), DateUtils.getUTCDate(2013, 6, 1), DateUtils.getUTCDate(2013, 9, 1),
DateUtils.getUTCDate(2013, 12, 1), DateUtils.getUTCDate(2014, 3, 1), DateUtils.getUTCDate(2015, 3, 1), DateUtils.getUTCDate(2016, 3, 1), DateUtils.getUTCDate(2018, 3, 1),
DateUtils.getUTCDate(2023, 3, 1) };
private static final double[] HR_TIMES;
private static final double[] HR_RATES = new double[] {0.01, 0.02, 0.04, 0.03, 0.06, 0.03, 0.05, 0.03, 0.02 };
private static final ZonedDateTime[] YC_DATES = new ZonedDateTime[] {DateUtils.getUTCDate(2013, 3, 1), DateUtils.getUTCDate(2013, 6, 1), DateUtils.getUTCDate(2013, 9, 1),
DateUtils.getUTCDate(2013, 12, 1), DateUtils.getUTCDate(2014, 3, 1), DateUtils.getUTCDate(2015, 3, 1), DateUtils.getUTCDate(2016, 3, 1), DateUtils.getUTCDate(2018, 3, 1),
DateUtils.getUTCDate(2023, 3, 1) };
private static final HazardRateCurve HAZARD_RATE_CURVE;
private static final double[] YC_TIMES;
private static final double[] YC_RATES = new double[] {0.005, 0.006, 0.008, 0.009, 0.01, 0.012, 0.015, 0.02, 0.03 };
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("ACT/365");
private static final double OFFSET = 1. / 365;
private static final ISDADateCurve YIELD_CURVE;
private static final ISDAYieldCurveAndHazardRateCurveProvider CURVE_PROVIDER;
private static final double EPS = 1e-15;
static {
int n = HR_DATES.length;
HR_TIMES = new double[n];
for (int i = 0; i < n; i++) {
HR_TIMES[i] = DAY_COUNT.getDayCountFraction(BASE_DATE, HR_DATES[i]);
}
HAZARD_RATE_CURVE = new HazardRateCurve(HR_DATES, HR_TIMES, HR_RATES, OFFSET);
n = YC_DATES.length;
YC_TIMES = new double[n];
for (int i = 0; i < n; i++) {
YC_TIMES[i] = DAY_COUNT.getDayCountFraction(BASE_DATE, YC_DATES[i]);
}
YIELD_CURVE = new ISDADateCurve("ISDA", BASE_DATE, YC_DATES, YC_RATES, OFFSET);
CURVE_PROVIDER = new ISDAYieldCurveAndHazardRateCurveProvider(YIELD_CURVE, HAZARD_RATE_CURVE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCDS() {
CALCULATOR.getPresentValue(null, CURVE_PROVIDER, VALUATION_DATE, PriceType.CLEAN);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
final LegacyVanillaCreditDefaultSwapDefinition cds = getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
CALCULATOR.getPresentValue(cds, null, VALUATION_DATE, PriceType.CLEAN);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullValuationDate() {
final LegacyVanillaCreditDefaultSwapDefinition cds = getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
CALCULATOR.getPresentValue(cds, CURVE_PROVIDER, null, PriceType.CLEAN);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPriceType() {
final LegacyVanillaCreditDefaultSwapDefinition cds = getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
CALCULATOR.getPresentValue(cds, CURVE_PROVIDER, VALUATION_DATE, null);
}
@Test
public void testCDSTypes() {
final CreditDefaultSwapDefinition cds = getLegacyVanillaDefinition();
final PriceType priceType = PriceType.DIRTY;
final double pv = CALCULATOR.getPresentValue(cds, CURVE_PROVIDER, VALUATION_DATE, priceType);
assertEquals(pv, CALCULATOR.getPresentValue(getStandardVanillaDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getStandardFixedRecoveryDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getStandardForwardStartingDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getStandardMuniDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getStandardQuantoDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getStandardRecoveryLockDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getStandardSovereignpDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getLegacyFixedRecoveryDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getLegacyForwardStartingDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getLegacyMuniDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getLegacyQuantoDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getLegacyRecoveryLockDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
assertEquals(pv, CALCULATOR.getPresentValue(getLegacySovereignDefinition(), CURVE_PROVIDER, VALUATION_DATE, priceType));
}
@Test
public void testBuySell() {
CreditDefaultSwapDefinition buy = getStandardVanillaDefinition(BuySellProtection.BUY);
CreditDefaultSwapDefinition sell = getStandardVanillaDefinition(BuySellProtection.SELL);
assertEquals(-CALCULATOR.getPresentValue(sell, CURVE_PROVIDER, VALUATION_DATE, PriceType.CLEAN),
CALCULATOR.getPresentValue(buy, CURVE_PROVIDER, VALUATION_DATE, PriceType.CLEAN));
buy = getLegacyVanillaDefinition(BuySellProtection.BUY);
sell = getLegacyVanillaDefinition(BuySellProtection.SELL);
assertEquals(-CALCULATOR.getPresentValue(sell, CURVE_PROVIDER, VALUATION_DATE, PriceType.CLEAN),
CALCULATOR.getPresentValue(buy, CURVE_PROVIDER, VALUATION_DATE, PriceType.CLEAN));
}
@Test(enabled = true)
public void regressionTestCleanPrice() {
final LegacyVanillaCreditDefaultSwapDefinition cds = getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final double deprecatedResult = DEPRECATED_CALCULATOR.getPresentValueLegacyCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HAZARD_RATE_CURVE, PriceType.CLEAN);
final double result = CALCULATOR.getPresentValue(cds, CURVE_PROVIDER, VALUATION_DATE, PriceType.CLEAN);
assertEquals(deprecatedResult, result, EPS);
}
@Test(enabled = true)
public void regressionTestDirtyPrice() {
final LegacyVanillaCreditDefaultSwapDefinition cds = getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final double deprecatedResult = DEPRECATED_CALCULATOR.getPresentValueLegacyCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HAZARD_RATE_CURVE, PriceType.DIRTY);
final double result = CALCULATOR.getPresentValue(cds, CURVE_PROVIDER, VALUATION_DATE, PriceType.DIRTY);
assertEquals(deprecatedResult, result, EPS);
}
@Test(enabled = false)
public void timeABDeprecated() {
final LegacyVanillaCreditDefaultSwapDefinition cds = getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final double startTime = System.currentTimeMillis();
int j = 0;
for (int i = 0; i < 100000; i++) {
DEPRECATED_CALCULATOR.getPresentValueLegacyCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HAZARD_RATE_CURVE, PriceType.CLEAN);
j++;
}
final double endTime = System.currentTimeMillis();
System.out.println("Deprecated:\t" + (endTime - startTime) / j * 100);
}
@Test(enabled = false)
public void timeACRefactored() {
final LegacyVanillaCreditDefaultSwapDefinition cds = getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final double startTime = System.currentTimeMillis();
int j = 0;
for (int i = 0; i < 100000; i++) {
CALCULATOR.getPresentValue(cds, CURVE_PROVIDER, VALUATION_DATE, PriceType.CLEAN);
j++;
}
final double endTime = System.currentTimeMillis();
System.out.println("Refactored:\t" + (endTime - startTime) / j * 100);
}
}