/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.bond.provider;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.bond.BillSecurityDefinition;
import com.opengamma.analytics.financial.interestrate.bond.calculator.YieldFromPriceCalculator;
import com.opengamma.analytics.financial.interestrate.bond.definition.BillSecurity;
import com.opengamma.analytics.financial.provider.calculator.issuer.PresentValueCurveSensitivityIssuerCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.PresentValueIssuerCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.YieldFromCurvesCalculator;
import com.opengamma.analytics.financial.provider.description.IssuerProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.sensitivity.issuer.ParameterSensitivityIssuerCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.issuer.ParameterSensitivityIssuerDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.financial.util.AssertSensivityObjects;
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.financial.convention.yield.YieldConvention;
import com.opengamma.financial.convention.yield.YieldConventionFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.ObjectsPair;
import com.opengamma.util.tuple.Pair;
/**
* Tests related to the pricing of bills security by discounting.
*/
public class BillSecurityDiscountingMethodTest {
private final static IssuerProviderDiscount ISSUER_MULTICURVE = IssuerProviderDiscountDataSets.createIssuerProvider();
private final static String[] ISSUER_NAMES = IssuerProviderDiscountDataSets.getIssuerNames();
private final static Currency EUR = Currency.EUR;
private final static Currency USD = Currency.USD;
private static final Calendar CALENDAR = new MondayToFridayCalendar("TARGET");
private final static ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 17);
private static final DayCount ACT360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final int SETTLEMENT_DAYS = 2;
private static final YieldConvention YIELD_IAM = YieldConventionFactory.INSTANCE.getYieldConvention("INTEREST@MTY");
private static final YieldConvention YIELD_DSC = YieldConventionFactory.INSTANCE.getYieldConvention("DISCOUNT");
private final static ZonedDateTime END_DATE = DateUtils.getUTCDate(2012, 3, 15);
private final static double NOTIONAL = 1000;
private static final double YIELD = 0.00185; // External source
private static final double PRICE = 0.99971; // External source
private final static ZonedDateTime SETTLE_DATE = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, SETTLEMENT_DAYS, CALENDAR);
// ISIN: BE0312677462
private final static BillSecurityDefinition BILL_BEL_IAM_SEC_DEFINITION = new BillSecurityDefinition(EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS, CALENDAR, YIELD_IAM, ACT360, ISSUER_NAMES[1]);
private static final Pair<String, Currency> BEL_EUR = new ObjectsPair<>(ISSUER_NAMES[1], EUR);
private final static BillSecurityDefinition BILL_US_DSC_SEC_DEFINITION = new BillSecurityDefinition(USD, END_DATE, NOTIONAL, SETTLEMENT_DAYS, CALENDAR, YIELD_DSC, ACT360, ISSUER_NAMES[0]);
private final static BillSecurity BILL_BEL_IAM_SEC = BILL_BEL_IAM_SEC_DEFINITION.toDerivative(REFERENCE_DATE, SETTLE_DATE);
private final static BillSecurity BILL_US_DSC_SEC = BILL_US_DSC_SEC_DEFINITION.toDerivative(REFERENCE_DATE, SETTLE_DATE);
private final static BillSecurityDiscountingMethod METHOD_SECURITY = BillSecurityDiscountingMethod.getInstance();
private final static PresentValueIssuerCalculator PVIC = PresentValueIssuerCalculator.getInstance();
private final static PresentValueCurveSensitivityIssuerCalculator PVCSIC = PresentValueCurveSensitivityIssuerCalculator.getInstance();
private final static YieldFromCurvesCalculator YFCC = YieldFromCurvesCalculator.getInstance();
private final static YieldFromPriceCalculator YFPC = YieldFromPriceCalculator.getInstance();
private static final double SHIFT_FD = 1.0E-6;
private static final ParameterSensitivityIssuerCalculator PS_PVI_C = new ParameterSensitivityIssuerCalculator(PVCSIC);
private static final ParameterSensitivityIssuerDiscountInterpolatedFDCalculator PS_PVI_FDC = new ParameterSensitivityIssuerDiscountInterpolatedFDCalculator(PVIC, SHIFT_FD);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2; //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
private static final double TOLERANCE_PRICE = 1.0E-8;
private static final double TOLERANCE_PRICE_EXTERNAL = 1.0E-5;
private static final double TOLERANCE_YIELD = 1.0E-8;
private static final double TOLERANCE_YIELD_EXTERNAL = 1.0E-4;
private static final double TOLERANCE_YIELD_DERIVATIVE = 1.0E-6;
@Test
/**
* Tests the present value against explicit computation.
*/
public void presentValue() {
final MultipleCurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
final double pvExpected = NOTIONAL * ISSUER_MULTICURVE.getDiscountFactor(BEL_EUR, BILL_BEL_IAM_SEC.getEndTime());
assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
}
@Test
/**
* Tests the present value: Method vs Calculator
*/
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD_SECURITY.presentValue(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
final MultipleCurrencyAmount pvCalculator = BILL_BEL_IAM_SEC.accept(PVIC, ISSUER_MULTICURVE);
assertEquals("Bill Security: discounting method - present value", pvMethod.getAmount(EUR), pvCalculator.getAmount(EUR), TOLERANCE_PV);
}
@Test
public void priceFromYield() {
final double[] yields = new double[] {0.0010, 0.0, -0.0010 };
for (final double yield2 : yields) {
final double priceComputed = METHOD_SECURITY.priceFromYield(BILL_BEL_IAM_SEC, yield2);
final double priceExpected = 1.0 / (1 + BILL_BEL_IAM_SEC.getAccrualFactor() * yield2);
assertEquals("Bill Security: discounting method - price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
}
@Test
public void priceFromYieldExternal() {
final double priceComputed = METHOD_SECURITY.priceFromYield(BILL_BEL_IAM_SEC, YIELD);
assertEquals("Bill Security: discounting method - price", PRICE, priceComputed, TOLERANCE_PRICE_EXTERNAL);
}
@Test
public void yieldFromPrice() {
final double yieldComputedIAM = METHOD_SECURITY.yieldFromPrice(BILL_BEL_IAM_SEC, PRICE);
final double yieldExpectedIAM = (1.0 / PRICE - 1.0) / BILL_BEL_IAM_SEC.getAccrualFactor();
assertEquals("Bill Security: discounting method - yield", yieldExpectedIAM, yieldComputedIAM, TOLERANCE_YIELD);
final double yieldComputedDSC = METHOD_SECURITY.yieldFromPrice(BILL_US_DSC_SEC, PRICE);
final double yieldExpectedDSC = (1.0 - PRICE) / BILL_US_DSC_SEC.getAccrualFactor();
assertEquals("Bill Security: discounting method - yield", yieldExpectedDSC, yieldComputedDSC, TOLERANCE_YIELD);
}
@Test
public void yieldFromPriceDerivative() {
final double shift = 1.0E-8;
final double yieldIAM = METHOD_SECURITY.yieldFromPrice(BILL_BEL_IAM_SEC, PRICE);
final double yieldPIAM = METHOD_SECURITY.yieldFromPrice(BILL_BEL_IAM_SEC, PRICE + shift);
final double yieldDerivativeExpectedIAM = (yieldPIAM - yieldIAM) / shift;
final double yieldDerivativeComputedIAM = METHOD_SECURITY.yieldFromPriceDerivative(BILL_BEL_IAM_SEC, PRICE);
assertEquals("Bill Security: discounting method - yield", yieldDerivativeExpectedIAM, yieldDerivativeComputedIAM, TOLERANCE_YIELD_DERIVATIVE);
final double yieldDSC = METHOD_SECURITY.yieldFromPrice(BILL_US_DSC_SEC, PRICE);
final double yieldPDSC = METHOD_SECURITY.yieldFromPrice(BILL_US_DSC_SEC, PRICE + shift);
final double yieldDerivativeExpectedDSC = (yieldPDSC - yieldDSC) / shift;
final double yieldDerivativeComputedDSC = METHOD_SECURITY.yieldFromPriceDerivative(BILL_US_DSC_SEC, PRICE);
assertEquals("Bill Security: discounting method - yield", yieldDerivativeExpectedDSC, yieldDerivativeComputedDSC, TOLERANCE_YIELD_DERIVATIVE);
}
@Test
public void yieldFromPriceExternal() {
final double yieldComputed = METHOD_SECURITY.yieldFromPrice(BILL_BEL_IAM_SEC, PRICE);
assertEquals("Bill Security: discounting method - yield", YIELD, yieldComputed, TOLERANCE_YIELD_EXTERNAL);
}
@Test
public void yieldFromPriceCoherence() {
final double priceComputed = METHOD_SECURITY.priceFromYield(BILL_BEL_IAM_SEC, YIELD);
final double yieldComputed = METHOD_SECURITY.yieldFromPrice(BILL_BEL_IAM_SEC, priceComputed);
assertEquals("Bill Security: discounting method - yield", YIELD, yieldComputed, TOLERANCE_YIELD);
}
@Test
public void priceFromYieldCoherence() {
final double yieldComputed = METHOD_SECURITY.yieldFromPrice(BILL_BEL_IAM_SEC, PRICE);
final double priceComputed = METHOD_SECURITY.priceFromYield(BILL_BEL_IAM_SEC, yieldComputed);
assertEquals("Bill Security: discounting method - price", PRICE, priceComputed, TOLERANCE_PRICE);
}
@Test
public void presentValueFromPrice() {
final CurrencyAmount pvComputed = METHOD_SECURITY.presentValueFromPrice(BILL_BEL_IAM_SEC, PRICE, ISSUER_MULTICURVE);
final double pvExpected = NOTIONAL * PRICE * ISSUER_MULTICURVE.getMulticurveProvider().getDiscountFactor(EUR, BILL_BEL_IAM_SEC.getSettlementTime());
assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
}
@Test
public void presentValueFromYield() {
final CurrencyAmount pvComputed = METHOD_SECURITY.presentValueFromYield(BILL_BEL_IAM_SEC, YIELD, ISSUER_MULTICURVE);
final double price = METHOD_SECURITY.priceFromYield(BILL_BEL_IAM_SEC, YIELD);
final double pvExpected = NOTIONAL * price * ISSUER_MULTICURVE.getMulticurveProvider().getDiscountFactor(EUR, BILL_BEL_IAM_SEC.getSettlementTime());
assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
}
@Test
public void priceFromCurves() {
final double priceComputed = METHOD_SECURITY.priceFromCurves(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
final MultipleCurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
final double priceExpected = pvComputed.getAmount(EUR) / (NOTIONAL * ISSUER_MULTICURVE.getMulticurveProvider().getDiscountFactor(EUR, BILL_BEL_IAM_SEC.getSettlementTime()));
assertEquals("Bill Security: discounting method - price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
@Test
public void yieldFromCurves() {
final double yieldComputed = METHOD_SECURITY.yieldFromCurves(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
final double priceComputed = METHOD_SECURITY.priceFromCurves(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
final double yieldExpected = METHOD_SECURITY.yieldFromPrice(BILL_BEL_IAM_SEC, priceComputed);
assertEquals("Bill Security: discounting method - yield", yieldExpected, yieldComputed, TOLERANCE_YIELD);
}
@Test
public void yieldFromCurvesMethodVsCalculator() {
final double yieldMethod = METHOD_SECURITY.yieldFromCurves(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
final double yieldCalculator = BILL_BEL_IAM_SEC.accept(YFCC, ISSUER_MULTICURVE);
assertEquals("Bill Security: discounting method - yield", yieldMethod, yieldCalculator, TOLERANCE_YIELD);
}
@Test
/**
* Tests present value curve sensitivity when the valuation date is on trade date.
*/
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PVI_C.calculateSensitivity(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE, ISSUER_MULTICURVE.getAllNames());
final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PVI_FDC.calculateSensitivity(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueCurveSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_SECURITY.presentValueCurveSensitivity(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator = BILL_BEL_IAM_SEC.accept(PVCSIC, ISSUER_MULTICURVE);
AssertSensivityObjects.assertEquals("Bill Security: discounting method - curve sensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_PV);
}
@Test
public void methodVsCalculator() {
double yield1 = METHOD_SECURITY.yieldFromCurves(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
double yield2 = BILL_BEL_IAM_SEC.accept(YFCC, ISSUER_MULTICURVE);
assertEquals("Bill Security: discounting method - yield from curves", yield1, yield2, TOLERANCE_YIELD);
yield1 = METHOD_SECURITY.yieldFromPrice(BILL_BEL_IAM_SEC, PRICE);
yield2 = BILL_BEL_IAM_SEC.accept(YFPC, PRICE);
assertEquals("Bill Security: discounting method - yield from price", yield1, yield2, TOLERANCE_YIELD);
}
}