/**
* 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.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.financial.provider.calculator.sabrstrifutures.PresentValueCurveSensitivitySABRSTIRFuturesCalculator;
import com.opengamma.analytics.financial.provider.calculator.sabrstrifutures.PresentValueSABRSTIRFuturesCalculator;
import com.opengamma.analytics.financial.provider.calculator.sabrstrifutures.PresentValueSABRSensitivitySABRSTIRFuturesCalculator;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.SABRDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSTIRFuturesProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSTIRFuturesProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.sabrstirfutures.ParameterSensitivitySABRSTIRFuturesDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.financial.util.AssertSensivityObjects;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.DoublesPair;
/**
* Tests the method for interest rate future option with SABR volatility parameter surfaces.
*/
public class InterestRateFutureOptionMarginTransactionSABRMethodTest {
private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex[] IBOR_INDEXES = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd();
private static final IborIndex EURIBOR3M = IBOR_INDEXES[0];
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final Calendar TARGET = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final SABRInterestRateParameters SABR_PARAMETERS = SABRDataSets.createSABR1();
private static final SABRSTIRFuturesProviderDiscount SABR_MULTICURVES = new SABRSTIRFuturesProviderDiscount(MULTICURVES, SABR_PARAMETERS, EURIBOR3M);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
// Future
private static final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtils.getUTCDate(2012, 9, 19);
private static final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, -EURIBOR3M.getSpotLag(), TARGET);
private static final double NOTIONAL = 1000000.0; // 1m
private static final double FUTURE_FACTOR = 0.25;
private static final String NAME = "EDU2";
private static final double STRIKE = 0.9850;
private static final InterestRateFutureSecurityDefinition EDU2_DEFINITION = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, EURIBOR3M, NOTIONAL, FUTURE_FACTOR, NAME, TARGET);
private static final InterestRateFutureSecurity EDU2 = EDU2_DEFINITION.toDerivative(REFERENCE_DATE);
// Option
private static final ZonedDateTime EXPIRATION_DATE = DateUtils.getUTCDate(2011, 9, 16);
private static final double EXPIRATION_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, EXPIRATION_DATE);
private static final boolean IS_CALL = true;
private static final InterestRateFutureOptionMarginSecurity OPTION_EDU2 = new InterestRateFutureOptionMarginSecurity(EDU2, EXPIRATION_TIME, STRIKE, IS_CALL);
// Transaction
private static final int QUANTITY = -123;
private static final double TRADE_PRICE = 0.0050;
private static final InterestRateFutureOptionMarginTransaction TRANSACTION = new InterestRateFutureOptionMarginTransaction(OPTION_EDU2, QUANTITY, TRADE_PRICE);
private static final InterestRateFutureOptionMarginTransactionSABRMethod METHOD_SABR_TRA = InterestRateFutureOptionMarginTransactionSABRMethod.getInstance();
private static final InterestRateFutureOptionMarginSecuritySABRMethod METHOD_SABR_SEC = InterestRateFutureOptionMarginSecuritySABRMethod.getInstance();
private static final InterestRateFutureSecurityDiscountingMethod METHOD_FUT = InterestRateFutureSecurityDiscountingMethod.getInstance();
private static final PresentValueSABRSTIRFuturesCalculator PVSFC = PresentValueSABRSTIRFuturesCalculator.getInstance();
private static final PresentValueCurveSensitivitySABRSTIRFuturesCalculator PVCSSFC = PresentValueCurveSensitivitySABRSTIRFuturesCalculator.getInstance();
private static final PresentValueSABRSensitivitySABRSTIRFuturesCalculator PVSSSFC = PresentValueSABRSensitivitySABRSTIRFuturesCalculator.getInstance();
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<SABRSTIRFuturesProviderInterface> PSSFC = new ParameterSensitivityParameterCalculator<>(PVCSSFC);
private static final ParameterSensitivitySABRSTIRFuturesDiscountInterpolatedFDCalculator PSSFC_FD = new ParameterSensitivitySABRSTIRFuturesDiscountInterpolatedFDCalculator(PVSFC, SHIFT);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
@Test
/**
* Test the present value from the quoted option price.
*/
public void presentValueFromOptionPrice() {
final double priceQuoted = 0.01;
final InterestRateFutureOptionMarginTransaction transactionNoPremium = new InterestRateFutureOptionMarginTransaction(OPTION_EDU2, QUANTITY, TRADE_PRICE);
final MultipleCurrencyAmount pv = METHOD_SABR_TRA.presentValueFromPrice(transactionNoPremium, priceQuoted);
final double pvExpected = (priceQuoted - TRADE_PRICE) * QUANTITY * NOTIONAL * FUTURE_FACTOR;
assertEquals("Future option: present value from quoted price", pvExpected, pv.getAmount(EUR), TOLERANCE_PV);
}
@Test
/**
* Test the present value from the future price.
*/
public void presentValueFromFuturePrice() {
final double priceFuture = 0.9905;
final InterestRateFutureOptionMarginTransaction transactionNoPremium = new InterestRateFutureOptionMarginTransaction(OPTION_EDU2, QUANTITY, TRADE_PRICE);
final MultipleCurrencyAmount pv = METHOD_SABR_TRA.presentValueFromFuturePrice(transactionNoPremium, SABR_MULTICURVES, priceFuture);
final double priceSecurity = METHOD_SABR_SEC.priceFromFuturePrice(OPTION_EDU2, SABR_MULTICURVES, priceFuture);
final double pvExpected = (priceSecurity - TRADE_PRICE) * QUANTITY * NOTIONAL * FUTURE_FACTOR;
assertEquals("Future option: present value from future price", pvExpected, pv.getAmount(EUR), TOLERANCE_PV);
}
@Test
/**
* Test the present value from the future price.
*/
public void presentValue() {
final double priceFuture = METHOD_FUT.price(EDU2, MULTICURVES);
final InterestRateFutureOptionMarginTransaction transactionNoPremium = new InterestRateFutureOptionMarginTransaction(OPTION_EDU2, QUANTITY, TRADE_PRICE);
final double pvNoPremium = METHOD_SABR_TRA.presentValue(transactionNoPremium, SABR_MULTICURVES).getAmount(EUR);
final double pvNoPremiumExpected = METHOD_SABR_TRA.presentValueFromFuturePrice(transactionNoPremium, SABR_MULTICURVES, priceFuture).getAmount(EUR);
assertEquals("Future option: present value", pvNoPremiumExpected, pvNoPremium, TOLERANCE_PV);
}
@Test
/**
* Test the present value from the method and from the calculator.
*/
public void presentValueMethodVsCalculator() {
final InterestRateFutureOptionMarginTransaction transactionNoPremium = new InterestRateFutureOptionMarginTransaction(OPTION_EDU2, QUANTITY, 0.0);
final MultipleCurrencyAmount pvNoPremiumMethod = METHOD_SABR_TRA.presentValue(transactionNoPremium, SABR_MULTICURVES);
final MultipleCurrencyAmount pvNoPremiumCalculator = transactionNoPremium.accept(PVSFC, SABR_MULTICURVES);
assertEquals("Future option: present value: Method vs Calculator", pvNoPremiumMethod.getAmount(EUR), pvNoPremiumCalculator.getAmount(EUR), TOLERANCE_PV);
}
@Test
/**
* Test the present value curves sensitivity computed from the curves
*/
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsDepositExact = PSSFC.calculateSensitivity(TRANSACTION, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsDepositFD = PSSFC_FD.calculateSensitivity(TRANSACTION, SABR_MULTICURVES);
AssertSensivityObjects.assertEquals("InterestRateFutureOptionMarginTransactionSABRMethod: presentValueCurveSensitivity", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
}
@Test
/**
* Tests that the method return the same result as the calculator.
*/
public void presentValueCurveSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_SABR_TRA.presentValueCurveSensitivity(TRANSACTION, SABR_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator = TRANSACTION.accept(PVCSSFC, SABR_MULTICURVES);
AssertSensivityObjects.assertEquals("InterestRateFutureOptionMarginTransactionSABRMethod: presentValueCurveSensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueSABRSensitivity() {
final PresentValueSABRSensitivityDataBundle pvcs = METHOD_SABR_TRA.presentValueSABRSensitivity(TRANSACTION, SABR_MULTICURVES);
// SABR sensitivity vs finite difference
final double pv = METHOD_SABR_TRA.presentValue(TRANSACTION, SABR_MULTICURVES).getAmount(EUR);
final double shift = 0.000001;
final double delay = EDU2.getLastTradingTime() - OPTION_EDU2.getExpirationTime();
final DoublesPair expectedExpiryDelay = new DoublesPair(OPTION_EDU2.getExpirationTime(), delay);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shift);
final SABRSTIRFuturesProviderDiscount sabrBundleAlphaBumped = new SABRSTIRFuturesProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EURIBOR3M);
final double pvAlphaBumped = METHOD_SABR_TRA.presentValue(TRANSACTION, sabrBundleAlphaBumped).getAmount(EUR);
final double expectedAlphaSensi = (pvAlphaBumped - pv) / shift;
assertEquals("Number of alpha sensitivity", pvcs.getAlpha().getMap().keySet().size(), 1);
assertEquals("Alpha sensitivity expiry/tenor", pvcs.getAlpha().getMap().keySet().contains(expectedExpiryDelay), true);
assertEquals("Alpha sensitivity value", pvcs.getAlpha().getMap().get(expectedExpiryDelay), expectedAlphaSensi, 1.0E+1);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped(shift);
final SABRSTIRFuturesProviderDiscount sabrBundleRhoBumped = new SABRSTIRFuturesProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EURIBOR3M);
final double pvRhoBumped = METHOD_SABR_TRA.presentValue(TRANSACTION, sabrBundleRhoBumped).getAmount(EUR);
final double expectedRhoSensi = (pvRhoBumped - pv) / shift;
assertEquals("Number of rho sensitivity", pvcs.getRho().getMap().keySet().size(), 1);
assertEquals("Rho sensitivity expiry/tenor", pvcs.getRho().getMap().keySet().contains(expectedExpiryDelay), true);
assertEquals("Rho sensitivity value", pvcs.getRho().getMap().get(expectedExpiryDelay), expectedRhoSensi, 1.0E+0);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped(shift);
final SABRSTIRFuturesProviderDiscount sabrBundleNuBumped = new SABRSTIRFuturesProviderDiscount(MULTICURVES, sabrParameterNuBumped, EURIBOR3M);
final double pvNuBumped = METHOD_SABR_TRA.presentValue(TRANSACTION, sabrBundleNuBumped).getAmount(EUR);
final double expectedNuSensi = (pvNuBumped - pv) / shift;
assertEquals("Number of nu sensitivity", pvcs.getNu().getMap().keySet().size(), 1);
assertEquals("Nu sensitivity expiry/tenor", pvcs.getNu().getMap().keySet().contains(expectedExpiryDelay), true);
assertEquals("Nu sensitivity value", pvcs.getNu().getMap().get(expectedExpiryDelay), expectedNuSensi, 1.0E+0);
}
@Test
/**
* Tests that the method return the same result as the calculator.
*/
public void presentValueSABRSensitivityMethodVsCalculator() {
final PresentValueSABRSensitivityDataBundle sensiCalculator = TRANSACTION.accept(PVSSSFC, SABR_MULTICURVES);
final PresentValueSABRSensitivityDataBundle sensiMethod = METHOD_SABR_TRA.presentValueSABRSensitivity(TRANSACTION, SABR_MULTICURVES);
assertEquals("Future option curve sensitivity: method comparison with present value calculator", sensiCalculator, sensiMethod);
final InterestRateFutureOptionMarginSecuritySABRMethod methodSecurity = InterestRateFutureOptionMarginSecuritySABRMethod.getInstance();
PresentValueSABRSensitivityDataBundle sensiSecurity = methodSecurity.priceSABRSensitivity(OPTION_EDU2, SABR_MULTICURVES);
sensiSecurity = sensiSecurity.multiplyBy(QUANTITY * NOTIONAL * FUTURE_FACTOR);
assertEquals("Future discounting curve sensitivity: security price vs transaction sensitivity", sensiMethod.getAlpha(), sensiSecurity.getAlpha());
assertEquals("Future discounting curve sensitivity: security price vs transaction sensitivity", sensiMethod.getRho(), sensiSecurity.getRho());
assertEquals("Future discounting curve sensitivity: security price vs transaction sensitivity", sensiMethod.getNu(), sensiSecurity.getNu());
}
}