/**
* Copyright (C) 2011 - 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.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.bond.BondCapitalIndexedSecurityDefinition;
import com.opengamma.analytics.financial.instrument.bond.BondCapitalIndexedTransactionDefinition;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationGearingDefinition;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondCapitalIndexedSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondCapitalIndexedTransaction;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueCurveSensitivityDiscountingInflationCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationIssuerCalculator;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.inflation.InflationIssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterInflationSensitivityParameterCalculator;
import com.opengamma.analytics.financial.util.AssertSensivityObjects;
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.financial.convention.yield.YieldConvention;
import com.opengamma.financial.convention.yield.YieldConventionFactory;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.ObjectsPair;
/**
* Tests the present value of Capital inflation indexed bonds.
*/
public class BondCapitalIndexedTransactionDiscountingMethodTest {
private static final InflationIssuerProviderDiscount MARKET = MulticurveProviderDiscountDataSets.createMarket1();
private static final IndexPrice[] PRICE_INDEXES = MulticurveProviderDiscountDataSets.getPriceIndexes();
private static final IndexPrice PRICE_INDEX_USCPI = PRICE_INDEXES[2];
private static final String[] ISSUER_NAMES = MulticurveProviderDiscountDataSets.getIssuerNames();
private static final String ISSUER_US_GOVT = ISSUER_NAMES[0];
private static final ZonedDateTime PRICING_DATE = DateUtils.getUTCDate(2011, 8, 8);
private static final double SHIFT_FD = 1.0E-7;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
private static final BondCapitalIndexedSecurityDiscountingMethod METHOD_BOND_SECURITY = new BondCapitalIndexedSecurityDiscountingMethod();
private static final BondCapitalIndexedTransactionDiscountingMethod METHOD_BOND_TRANSACTION = new BondCapitalIndexedTransactionDiscountingMethod();
private static final PresentValueDiscountingInflationCalculator PVDIC = PresentValueDiscountingInflationCalculator.getInstance();
private static final PresentValueDiscountingInflationIssuerCalculator PVDIIC = PresentValueDiscountingInflationIssuerCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDC = PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
private static final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC = new ParameterInflationSensitivityParameterCalculator<>(PVCSDC);
private static final ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator PS_PV_FDC = new ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator(PVDIC, SHIFT_FD);
// 2% 10-YEAR TREASURY INFLATION-PROTECTED SECURITIES (TIPS) Due January 15, 2016 - US912828ET33
private static final Calendar CALENDAR_USD = new MondayToFridayCalendar("USD");
private static final BusinessDayConvention BUSINESS_DAY_USD = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final DayCount DAY_COUNT_TIPS_1 = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final boolean IS_EOM_TIPS_1 = false;
private static final ZonedDateTime START_DATE_TIPS_1 = DateUtils.getUTCDate(2006, 1, 15);
private static final ZonedDateTime MATURITY_DATE_TIPS_1 = DateUtils.getUTCDate(2016, 1, 15);
private static final YieldConvention YIELD_CONVENTION_TIPS_1 = YieldConventionFactory.INSTANCE.getYieldConvention("UK:BUMP/DMO METHOD"); // To check
private static final int MONTH_LAG_TIPS_1 = 3;
private static final double INDEX_START_TIPS_1 = 198.47742; // Date:
private static final double NOTIONAL_TIPS_1 = 100.00;
private static final double REAL_RATE_TIPS_1 = 0.02;
private static final Period COUPON_PERIOD_TIPS_1 = Period.ofMonths(6);
private static final int SETTLEMENT_DAYS_TIPS_1 = 2;
private static final BondCapitalIndexedSecurityDefinition<CouponInflationZeroCouponInterpolationGearingDefinition> BOND_SECURITY_TIPS_1_DEFINITION = BondCapitalIndexedSecurityDefinition
.fromInterpolation(PRICE_INDEX_USCPI, MONTH_LAG_TIPS_1, START_DATE_TIPS_1, INDEX_START_TIPS_1, MATURITY_DATE_TIPS_1, COUPON_PERIOD_TIPS_1, NOTIONAL_TIPS_1, REAL_RATE_TIPS_1, BUSINESS_DAY_USD,
SETTLEMENT_DAYS_TIPS_1, CALENDAR_USD, DAY_COUNT_TIPS_1, YIELD_CONVENTION_TIPS_1, IS_EOM_TIPS_1, ISSUER_US_GOVT);
private static final DoubleTimeSeries<ZonedDateTime> US_CPI = MulticurveProviderDiscountDataSets.usCpiFrom2009();
private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_TIPS_1 = BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(PRICING_DATE, US_CPI);
private static final double QUANTITY_TIPS_1 = 654321;
private static final ZonedDateTime SETTLE_DATE_TIPS_1 = DateUtils.getUTCDate(2011, 8, 10);
private static final double PRICE_TIPS_1 = 1.05;
private static final BondCapitalIndexedTransactionDefinition<CouponInflationZeroCouponInterpolationGearingDefinition> BOND_TIPS_1_TRANSACTION_DEFINITION = new BondCapitalIndexedTransactionDefinition<>(
BOND_SECURITY_TIPS_1_DEFINITION, QUANTITY_TIPS_1, SETTLE_DATE_TIPS_1, PRICE_TIPS_1);
private static final BondCapitalIndexedTransaction<Coupon> BOND_TIPS_1_TRANSACTION = BOND_TIPS_1_TRANSACTION_DEFINITION.toDerivative(PRICING_DATE, US_CPI);
@Test
public void presentValueTips1() {
final MultipleCurrencyAmount pv = METHOD_BOND_TRANSACTION.presentValue(BOND_TIPS_1_TRANSACTION, MARKET);
final MultipleCurrencyAmount pvSecurity = METHOD_BOND_SECURITY.presentValue(BOND_SECURITY_TIPS_1, MARKET);
final MultipleCurrencyAmount pvSettlement = BOND_TIPS_1_TRANSACTION.getBondTransaction().getSettlement().accept(PVDIC, MARKET.getInflationProvider()).multipliedBy(
BOND_TIPS_1_TRANSACTION.getQuantity() * BOND_TIPS_1_TRANSACTION.getBondTransaction().getCoupon().getNthPayment(0).getNotional());
assertEquals("Inflation Capital Indexed bond transaction: present value", pvSecurity.multipliedBy(QUANTITY_TIPS_1).plus(pvSettlement).getAmount(BOND_SECURITY_TIPS_1.getCurrency()),
pv.getAmount(BOND_SECURITY_TIPS_1.getCurrency()), 1.0E-2);
}
@Test
/**
* Tests the present value Method vs Calculator.
*/
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD_BOND_TRANSACTION.presentValue(BOND_TIPS_1_TRANSACTION, MARKET);
final MultipleCurrencyAmount pvCalculator = BOND_TIPS_1_TRANSACTION.accept(PVDIIC, MARKET);
assertEquals("Inflation Capital Indexed bond transaction: Method vs Calculator", pvMethod, pvCalculator);
}
@Test
/**
* Test the present value parameter curves sensitivity.
*/
public void presentValueParameterCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(BOND_TIPS_1_TRANSACTION.getBondTransaction().getCoupon(), MARKET.getInflationProvider());
final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(BOND_TIPS_1_TRANSACTION.getBondTransaction().getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames());
AssertSensivityObjects.assertEquals("Bond capital indexed security: presentValueParameterCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);
}
@Test
/**
* Test the present value curves sensitivity.
*/
public void presentValueCurveSensitivity() {
final InflationProviderInterface creditDiscounting = MARKET.withDiscountFactor(BOND_TIPS_1_TRANSACTION.getBondTransaction().getCurrency(),
new ObjectsPair<>(BOND_TIPS_1_TRANSACTION.getBondTransaction().getIssuer(), BOND_TIPS_1_TRANSACTION.getBondTransaction().getCurrency()));
final MultipleCurrencyInflationSensitivity sensitivityNominal = BOND_TIPS_1_TRANSACTION.getBondTransaction().getNominal().accept(PVCSDC, creditDiscounting);
final MultipleCurrencyInflationSensitivity sensitivityCoupon = BOND_TIPS_1_TRANSACTION.getBondTransaction().getCoupon().accept(PVCSDC, creditDiscounting);
final MultipleCurrencyInflationSensitivity pvcisCalculated = sensitivityNominal.plus(sensitivityCoupon);
final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD_BOND_SECURITY.presentValueCurveSensitivity(BOND_TIPS_1_TRANSACTION.getBondTransaction(), MARKET);
AssertSensivityObjects.assertEquals("Bond capital indexed security: presentValueCurveSensitivity ", pvcisCalculated, pvcisMethod, TOLERANCE_PV_DELTA);
}
}