/**
* 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.isdanew;
import static com.opengamma.financial.convention.businessday.BusinessDayDateUtils.addWorkDays;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Month;
import org.threeten.bp.Period;
import com.opengamma.analytics.financial.credit.PriceType;
import com.opengamma.analytics.financial.credit.StubType;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDAInstrumentTypes;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class UpfrontFlatTest {
private static final Calendar DEFAULT_CALENDAR = new MondayToFridayCalendar("Weekend_Only");
private static final DayCount ACT365 = DayCountFactory.INSTANCE.getDayCount("ACT/365");
private static final DayCount ACT360 = DayCountFactory.INSTANCE.getDayCount("ACT/360");
private static final double NOTIONAL = 1e7;
private static final BusinessDayConvention FOLLOWING = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final LocalDate TODAY = LocalDate.of(2008, Month.SEPTEMBER, 19);
private static final LocalDate STEPIN_DATE = TODAY.plusDays(1);
private static final LocalDate CASH_SETTLE_DATE = addWorkDays(TODAY, 3, DEFAULT_CALENDAR); // AKA valuation date
private static final LocalDate START_DATE = LocalDate.of(2007, Month.MARCH, 20);
private static final LocalDate END_DATE = LocalDate.of(2013, Month.JUNE, 20);
// yield curve
private static final LocalDate SPOT_DATE = addWorkDays(TODAY, 2, DEFAULT_CALENDAR);
private static final ISDACompliantYieldCurve YIELD_CURVE;
static {
final int nMoneyMarket = 6;
final int nSwaps = 15;
final int nInstruments = nMoneyMarket + nSwaps;
final ISDAInstrumentTypes[] types = new ISDAInstrumentTypes[nInstruments];
final Period[] tenors = new Period[nInstruments];
final int[] mmMonths = new int[] {1, 2, 3, 6, 9, 12 };
final int[] swapYears = new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 15, 20, 25, 30 };
// check
ArgumentChecker.isTrue(mmMonths.length == nMoneyMarket, "mmMonths");
ArgumentChecker.isTrue(swapYears.length == nSwaps, "swapYears");
for (int i = 0; i < nMoneyMarket; i++) {
types[i] = ISDAInstrumentTypes.MoneyMarket;
tenors[i] = Period.ofMonths(mmMonths[i]);
}
for (int i = nMoneyMarket; i < nInstruments; i++) {
types[i] = ISDAInstrumentTypes.Swap;
tenors[i] = Period.ofYears(swapYears[i - nMoneyMarket]);
}
final double[] rates = new double[] {0.00445, 0.009488, 0.012337, 0.017762, 0.01935, 0.020838, 0.01652, 0.02018, 0.023033, 0.02525, 0.02696, 0.02825, 0.02931, 0.03017, 0.03092, 0.0316, 0.03231,
0.03367, 0.03419, 0.03411, 0.03412 };
final DayCount moneyMarketDCC = ACT360;
final DayCount swapDCC = ACT360;
final DayCount curveDCC = ACT365;
final Period swapInterval = Period.ofMonths(6);
YIELD_CURVE = ISDACompliantYieldCurveBuild.build(TODAY, SPOT_DATE, types, tenors, rates, moneyMarketDCC, swapDCC, swapInterval, curveDCC, FOLLOWING);
}
@Test
public void Test() {
final Period tenor = Period.ofMonths(3);
final boolean payAccOnDefault = true;
final StubType stubType = StubType.FRONTSHORT;
final boolean protectionStart = true;
final double quotedSpread = 550. / 10000;
final double coupon = 500. / 10000;
final double recovery = 0.4;
final ISDACompliantCreditCurveBuilder builder = new FastCreditCurveBuilder();
final AnalyticCDSPricer pricer = new AnalyticCDSPricer();
final ISDACompliantCreditCurve creditCurve = builder.calibrateCreditCurve(TODAY, STEPIN_DATE, CASH_SETTLE_DATE, START_DATE, END_DATE, quotedSpread, payAccOnDefault, tenor, stubType,
protectionStart, YIELD_CURVE, recovery);
// System.out.println(creditCurve.getNumberOfKnots() + "\t" + creditCurve.getTimeAtIndex(0) + "\t" + creditCurve.getZeroRateAtIndex(0));
final CDSAnalytic cds = new CDSAnalytic(TODAY, STEPIN_DATE, CASH_SETTLE_DATE, START_DATE, END_DATE, payAccOnDefault, tenor, stubType, protectionStart, recovery);
final double clean = pricer.pv(cds, YIELD_CURVE, creditCurve, coupon, PriceType.CLEAN);
final double dirty = pricer.pv(cds, YIELD_CURVE, creditCurve, coupon, PriceType.DIRTY);
// System.out.println(clean + "\t" + dirty + "\t" + (clean - dirty));
// System.out.println(cds.getAccrued() * coupon + "\t" + cds.getAccuredDays());
//Numers from Excel
assertEquals("upfrount", 0.018566047, clean, 1e-9);
assertEquals("cashSettled", 57882.69024, dirty * NOTIONAL, 1e-9 * NOTIONAL);
}
}