/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.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.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.future.calculator.PresentValueFromFuturePriceCalculator;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters;
import com.opengamma.analytics.financial.provider.description.HullWhiteDataSets;
import com.opengamma.analytics.financial.provider.description.IssuerProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteIssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
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.util.money.Currency;
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 bond future figures computed with the Hull-White one factor model for the delivery option.
*/
@SuppressWarnings("deprecation")
public class BondFutureHullWhiteMethodTest {
private final static IssuerProviderDiscount ISSUER_MULTICURVES = IssuerProviderDiscountDataSets.createIssuerProvider();
private final static String[] ISSUER_NAMES = IssuerProviderDiscountDataSets.getIssuerNames();
// 5-Year U.S. Treasury Note Futures: FVU1
private static final Currency USD = Currency.USD;
private static final Period PAYMENT_TENOR = Period.ofMonths(6);
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final String US_GOVT = ISSUER_NAMES[0];
private static final Pair<String, Currency> ISSUER_CCY = new ObjectsPair<>(US_GOVT, USD);
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ICMA");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final boolean IS_EOM = false;
private static final int SETTLEMENT_DAYS = 1;
private static final YieldConvention YIELD_CONVENTION = YieldConventionFactory.INSTANCE.getYieldConvention("STREET CONVENTION");
private static final int NB_BOND = 7;
private static final Period[] BOND_TENOR = new Period[] {Period.ofYears(5), Period.ofYears(5), Period.ofYears(5), Period.ofYears(8), Period.ofYears(5), Period.ofYears(5), Period.ofYears(5) };
private static final ZonedDateTime[] START_ACCRUAL_DATE = new ZonedDateTime[] {DateUtils.getUTCDate(2010, 11, 30), DateUtils.getUTCDate(2010, 12, 31), DateUtils.getUTCDate(2011, 1, 31),
DateUtils.getUTCDate(2008, 2, 29), DateUtils.getUTCDate(2011, 3, 31), DateUtils.getUTCDate(2011, 4, 30), DateUtils.getUTCDate(2011, 5, 31) };
private static final double[] RATE = new double[] {0.01375, 0.02125, 0.0200, 0.02125, 0.0225, 0.0200, 0.0175 };
private static final double[] CONVERSION_FACTOR = new double[] {.8317, .8565, .8493, .8516, .8540, .8417, .8292 };
private static final ZonedDateTime[] MATURITY_DATE = new ZonedDateTime[NB_BOND];
private static final BondFixedSecurityDefinition[] BASKET_DEFINITION = new BondFixedSecurityDefinition[NB_BOND];
static {
for (int loopbasket = 0; loopbasket < NB_BOND; loopbasket++) {
MATURITY_DATE[loopbasket] = START_ACCRUAL_DATE[loopbasket].plus(BOND_TENOR[loopbasket]);
BASKET_DEFINITION[loopbasket] = BondFixedSecurityDefinition.from(USD, MATURITY_DATE[loopbasket], START_ACCRUAL_DATE[loopbasket], PAYMENT_TENOR, RATE[loopbasket], SETTLEMENT_DAYS, CALENDAR,
DAY_COUNT, BUSINESS_DAY, YIELD_CONVENTION, IS_EOM, US_GOVT);
}
}
private static final ZonedDateTime LAST_TRADING_DATE = DateUtils.getUTCDate(2011, 9, 30);
private static final ZonedDateTime FIRST_NOTICE_DATE = DateUtils.getUTCDate(2011, 8, 31);
private static final ZonedDateTime LAST_NOTICE_DATE = DateUtils.getUTCDate(2011, 10, 4);
private static final ZonedDateTime FIRST_DELIVERY_DATE = ScheduleCalculator.getAdjustedDate(FIRST_NOTICE_DATE, SETTLEMENT_DAYS, CALENDAR);
private static final ZonedDateTime LAST_DELIVERY_DATE = ScheduleCalculator.getAdjustedDate(LAST_NOTICE_DATE, SETTLEMENT_DAYS, CALENDAR);
private static final double NOTIONAL = 100000;
private static final double REF_PRICE = 0.0;
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 6, 20);
private static final DayCount ACT_ACT = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final double LAST_TRADING_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, LAST_TRADING_DATE);
private static final double FIRST_NOTICE_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, FIRST_NOTICE_DATE);
private static final double LAST_NOTICE_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, LAST_NOTICE_DATE);
private static final double FIRST_DELIVERY_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, FIRST_DELIVERY_DATE);
private static final double LAST_DELIVERY_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, LAST_DELIVERY_DATE);
private static final BondFixedSecurity[] BASKET = new BondFixedSecurity[NB_BOND];
private static final BondFixedSecurity[] STANDARD = new BondFixedSecurity[NB_BOND];
static {
for (int loopbasket = 0; loopbasket < NB_BOND; loopbasket++) {
BASKET[loopbasket] = BASKET_DEFINITION[loopbasket].toDerivative(REFERENCE_DATE, LAST_DELIVERY_DATE);
STANDARD[loopbasket] = BASKET_DEFINITION[loopbasket].toDerivative(REFERENCE_DATE);
}
}
private static final BondFuture BOND_FUTURE_DERIV = new BondFuture(LAST_TRADING_TIME, FIRST_NOTICE_TIME, LAST_NOTICE_TIME, FIRST_DELIVERY_TIME, LAST_DELIVERY_TIME, NOTIONAL, BASKET,
CONVERSION_FACTOR, REF_PRICE);
private static final HullWhiteOneFactorPiecewiseConstantParameters PARAMETERS_HW = HullWhiteDataSets.createHullWhiteParameters();
private static final HullWhiteIssuerProviderDiscount HW_ISSUER = new HullWhiteIssuerProviderDiscount(ISSUER_MULTICURVES, PARAMETERS_HW, ISSUER_CCY);
private static final BondFutureHullWhiteMethod METHOD_HW = BondFutureHullWhiteMethod.getInstance();
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E-0;
@Test
public void price() {
final HullWhiteIssuerProviderDiscount hwIssuer6 = new HullWhiteIssuerProviderDiscount(IssuerProviderDiscountDataSets.createIssuerProvider6(), PARAMETERS_HW, ISSUER_CCY);
final double priceComputed = METHOD_HW.price(BOND_FUTURE_DERIV, hwIssuer6);
final double priceExpected = 1.00; // Rates are at 6%
assertEquals("Bond future security Discounting Method: price from curves", priceExpected, priceComputed, 5.0E-3);
}
@Test(enabled = false)
/**
* Tests of performance. "enabled = false" for the standard testing.
*/
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
double priceFuture = 0.0;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
priceFuture = METHOD_HW.price(BOND_FUTURE_DERIV, HW_ISSUER);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " price Bond Future Hull-White (Default number of points): " + (endTime - startTime) + " ms");
// Performance note: HW price: 25-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 190 ms for 1000 futures.
final int[] nbPoint = new int[] {41, 61, 81, 101, 151, 201, 501 };
final int nbRange = nbPoint.length;
final double[] priceRange = new double[nbRange];
for (int looprange = 0; looprange < nbRange; looprange++) {
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
priceRange[looprange] = METHOD_HW.price(BOND_FUTURE_DERIV, HW_ISSUER, nbPoint[looprange]);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " price Bond Future Hull-White: with " + nbPoint[looprange] + " points: " + (endTime - startTime) + " ms - price: " + priceRange[looprange]);
}
System.out.println("Bond futures - price - Hull-White one factor - delivery option: " + priceFuture);
}
@Test(enabled = true)
/** Tests the present value method for bond futures transactions. */
public void presentValue() {
final MultipleCurrencyAmount pvComputed = METHOD_HW.presentValue(BOND_FUTURE_DERIV, HW_ISSUER);
final double priceFuture = METHOD_HW.price(BOND_FUTURE_DERIV, HW_ISSUER);
final double pvExpected = (priceFuture - REF_PRICE) * NOTIONAL;
assertEquals("Bond future HW Method: present value amount", pvExpected, pvComputed.getAmount(USD), TOLERANCE_PV);
}
@Test(enabled = true)
/** Tests the present value method for bond futures transactions. */
public void presentValueFromPrice() {
final double quotedPrice = 1.05;
final MultipleCurrencyAmount presentValueMethod = METHOD_HW.presentValueFromPrice(BOND_FUTURE_DERIV, quotedPrice);
assertEquals("Bond future transaction Method: present value from price", (quotedPrice - REF_PRICE) * NOTIONAL, presentValueMethod.getAmount(USD));
final PresentValueFromFuturePriceCalculator calculator = PresentValueFromFuturePriceCalculator.getInstance();
final double presentValueCalculator = BOND_FUTURE_DERIV.accept(calculator, quotedPrice);
assertEquals("Bond future transaction Method: present value from price", presentValueMethod.getAmount(USD), presentValueCalculator);
}
// @Test
// /**
// * Tests the curve sensitivity.
// */
// public void presentValueCurveSensitivity() {
// TODO
// }
@Test(enabled = true)
/**
* Tests the present value curve sensitivity method for bond futures.
*/
public void presentValueCurveSensitivityRelative() {
final MultipleCurrencyMulticurveSensitivity pvcsComputed = METHOD_HW.presentValueCurveSensitivity(BOND_FUTURE_DERIV, HW_ISSUER);
final MulticurveSensitivity pcsSecurity = METHOD_HW.priceCurveSensitivity(BOND_FUTURE_DERIV, HW_ISSUER);
final MultipleCurrencyMulticurveSensitivity pvcsExpected = MultipleCurrencyMulticurveSensitivity.of(USD, pcsSecurity.multipliedBy(NOTIONAL));
AssertSensivityObjects.assertEquals("Bond future transaction Discounting Method: present value curve sensitivity", pvcsExpected.cleaned(), pvcsComputed.cleaned(), TOLERANCE_PV_DELTA);
}
}