/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.credit.schedulegeneration.isda;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.internal.junit.ArrayAsserts.assertArrayEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.credit.ISDAYieldCurveAndHazardRateCurveProvider;
import com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.hazardratecurve.HazardRateCurve;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve;
import com.opengamma.analytics.financial.credit.schedulegeneration.GenerateCreditDefaultSwapIntegrationSchedule;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class ISDACompliantContingentLegIntegrationScheduleGenerationTest {
private static final GenerateCreditDefaultSwapIntegrationSchedule DEPRECATED_CALCULATOR = new GenerateCreditDefaultSwapIntegrationSchedule();
private static final ISDAContingentLegIntegrationScheduleGenerator CALCULATOR = new ISDAContingentLegIntegrationScheduleGenerator();
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 CURVES;
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);
CURVES = new ISDAYieldCurveAndHazardRateCurveProvider(YIELD_CURVE, HAZARD_RATE_CURVE);
}
@Test
public void testNonOverlappingHazardRateAndYieldCurveDates() {
final ZonedDateTime[] hrDates = new ZonedDateTime[HR_DATES.length];
final double[] hrTimes = new double[HR_TIMES.length];
for (int i = 0; i < HR_DATES.length; i++) {
hrDates[i] = HR_DATES[i].plusDays(12);
hrTimes[i] = DAY_COUNT.getDayCountFraction(BASE_DATE, hrDates[i]);
}
final HazardRateCurve hazardRateCurve = new HazardRateCurve(hrDates, hrTimes, HR_RATES, OFFSET);
CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(true).withMaturityDate(VALUATION_DATE.plusYears(50));
final ISDAYieldCurveAndHazardRateCurveProvider curves = new ISDAYieldCurveAndHazardRateCurveProvider(YIELD_CURVE, hazardRateCurve);
ZonedDateTime startDate = getStartDate(cds);
ZonedDateTime endDate = cds.getMaturityDate();
double[] actual = CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, curves);
double[] dep = DEPRECATED_CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, YIELD_CURVE, hazardRateCurve);
int nActual = actual.length;
int nDep = dep.length;
assertEquals(nDep, nActual);
for (int i = 0; i < nDep; ++i) {
assertEquals(actual[i], dep[i]);
}
cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(false).withMaturityDate(VALUATION_DATE.plusYears(50));
startDate = getStartDate(cds);
endDate = cds.getMaturityDate();
actual = CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, curves);
dep = DEPRECATED_CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, YIELD_CURVE, hazardRateCurve);
nActual = actual.length;
nDep = dep.length;
assertEquals(nDep, nActual);
for (int i = 0; i < nDep; ++i) {
assertEquals(actual[i], dep[i]);
}
}
@Test
public void testCDSWithinCurves() {
CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(true)
.withMaturityDate(YC_DATES[YC_DATES.length - 1].minusMonths(1))
.withEffectiveDate(VALUATION_DATE.minusMonths(1).plusDays(1))
.withStartDate(VALUATION_DATE.minusMonths(1));
final ISDAYieldCurveAndHazardRateCurveProvider curves = new ISDAYieldCurveAndHazardRateCurveProvider(YIELD_CURVE, HAZARD_RATE_CURVE);
ZonedDateTime startDate = getStartDate(cds);
ZonedDateTime endDate = cds.getMaturityDate();
double[] actual = CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, CURVES);
double[] dep = DEPRECATED_CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, YIELD_CURVE, HAZARD_RATE_CURVE);
int nActual = actual.length;
int nDep = dep.length;
assertEquals(nDep, nActual);
for (int i = 0; i < nDep; ++i) {
assertEquals(actual[i], dep[i]);
}
cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(false)
.withMaturityDate(YC_DATES[YC_DATES.length - 1].minusMonths(1))
.withEffectiveDate(VALUATION_DATE.minusMonths(1).plusDays(1))
.withStartDate(VALUATION_DATE.minusMonths(1));
startDate = getStartDate(cds);
endDate = cds.getMaturityDate();
actual = CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, CURVES);
dep = DEPRECATED_CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, YIELD_CURVE, HAZARD_RATE_CURVE);
nActual = actual.length;
nDep = dep.length;
assertEquals(nDep, nActual);
for (int i = 0; i < nDep; ++i) {
assertEquals(actual[i], dep[i]);
}
}
@Test
public void regressionTest() {
final CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final ZonedDateTime startDate = getStartDate(cds);
final ZonedDateTime endDate = cds.getMaturityDate();
final double[] deprecatedResult = DEPRECATED_CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, YIELD_CURVE, HAZARD_RATE_CURVE);
final double[] result = CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, CURVES);
assertArrayEquals(deprecatedResult, result, EPS);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCdSTest() {
final CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final ZonedDateTime startDate = getStartDate(cds);
final ZonedDateTime endDate = cds.getMaturityDate();
final CreditDefaultSwapDefinition nCdS = null;
CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, nCdS, CURVES);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurveTest() {
final CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final ZonedDateTime startDate = getStartDate(cds);
final ZonedDateTime endDate = cds.getMaturityDate();
final ISDAYieldCurveAndHazardRateCurveProvider cv = null;
CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, cv);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void endBeforeStartTest() {
final CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final ZonedDateTime startDate = getStartDate(cds);
final ZonedDateTime endDate = cds.getMaturityDate();
CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, endDate, startDate, cds, CURVES);
}
// @Test(expectedExceptions = IllegalArgumentException.class)
// public void endBeforeValuateTest() {
// final CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
// final ZonedDateTime startDate = getStartDate(cds);
// final ZonedDateTime endDate = cds.getMaturityDate();
// CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(endDate, startDate, VALUATION_DATE, cds, CURVES);
// }
@Test(enabled = false)
public void timeBDeprecated() {
final CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final ZonedDateTime startDate = getStartDate(cds);
final ZonedDateTime endDate = cds.getMaturityDate();
final double startTime = System.currentTimeMillis();
int j = 0;
for (int i = 0; i < 1000000; i++) {
DEPRECATED_CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, YIELD_CURVE, HAZARD_RATE_CURVE);
j++;
}
final double endTime = System.currentTimeMillis();
System.out.println("Deprecated:\t" + (endTime - startTime) / j * 100);
}
@Test(enabled = false)
public void timeARefactored() {
final CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
final ZonedDateTime startDate = getStartDate(cds);
final ZonedDateTime endDate = cds.getMaturityDate();
final double startTime = System.currentTimeMillis();
int j = 0;
for (int i = 0; i < 5000000; i++) {
CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, CURVES);
j++;
}
final double endTime = System.currentTimeMillis();
System.out.println("Refactored:\t" + (endTime - startTime) / j * 100);
}
private ZonedDateTime getStartDate(final CreditDefaultSwapDefinition cds) {
ZonedDateTime startDate;
int offset = 0;
if (cds.getProtectionStart()) {
offset = 1;
}
ZonedDateTime clStartDate = VALUATION_DATE;
if (cds.getProtectionStart()) {
clStartDate = VALUATION_DATE.minusDays(1);
}
final ZonedDateTime stepinDate = cds.getEffectiveDate();
if (clStartDate.isAfter(stepinDate.minusDays(offset))) {
startDate = clStartDate;
} else {
startDate = stepinDate.minusDays(offset);
}
if (startDate.isAfter(VALUATION_DATE.minusDays(1))) {
//startDate = startDate;
} else {
startDate = VALUATION_DATE.minusDays(1);
}
return startDate;
}
private void assertDateArrayEquals(final ZonedDateTime[] expected, final ZonedDateTime[] actual) {
assertEquals(expected.length, actual.length);
for (int i = 0; i < expected.length; i++) {
assertEquals(expected[i], actual[i]);
}
}
}