/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.inflation.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.index.IndexPrice;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationYearOnYearMonthlyWithMarginDefinition;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearMonthlyWithMargin;
import com.opengamma.analytics.financial.provider.calculator.inflation.NetAmountInflationCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueCurveSensitivityDiscountingInflationCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationCalculator;
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.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.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
/**
* Tests the present value and its sensitivities for year on year with reference index on the first of the month.
*/
public class CouponInflationYearOnYearMonthlyWithMarginDiscountingMethodTest {
private static final InflationIssuerProviderDiscount MARKET = MulticurveProviderDiscountDataSets.createMarket1();
private static final IndexPrice[] PRICE_INDEXES = MARKET.getPriceIndexes().toArray(new IndexPrice[MARKET.getPriceIndexes().size()]);
private static final IndexPrice PRICE_INDEX_EUR = PRICE_INDEXES[0];
private static final Calendar CALENDAR_EUR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2008, 8, 18);
private static final Period COUPON_TENOR = Period.ofYears(10);
private static final ZonedDateTime PAYMENT_DATE = ScheduleCalculator.getAdjustedDate(START_DATE, COUPON_TENOR, BUSINESS_DAY, CALENDAR_EUR);
private static final ZonedDateTime PAYMENT_DATE_MINUS1 = ScheduleCalculator.getAdjustedDate(START_DATE, Period.ofYears(9), BUSINESS_DAY, CALENDAR_EUR);
private static final double NOTIONAL = 98765432;
private static final int MONTH_LAG = 3;
private static final ZonedDateTime PRICING_DATE = DateUtils.getUTCDate(2011, 8, 3);
private static final double MARGIN = .02;
private static final double SHIFT_FD = 1.0E-7;
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
private static final CouponInflationYearOnYearMonthlyWithMarginDefinition YEAR_ON_YEAR_NO_DEFINITION = CouponInflationYearOnYearMonthlyWithMarginDefinition.from(MARGIN, PAYMENT_DATE_MINUS1,
PAYMENT_DATE, NOTIONAL,
PRICE_INDEX_EUR,
MONTH_LAG, false);
private static final CouponInflationYearOnYearMonthlyWithMargin YEAR_ON_YEAR_NO = YEAR_ON_YEAR_NO_DEFINITION.toDerivative(PRICING_DATE);
private static final CouponInflationYearOnYearMonthlyWithMarginDefinition YEAR_ON_YEAR_WITH_DEFINITION = CouponInflationYearOnYearMonthlyWithMarginDefinition.from(MARGIN, PAYMENT_DATE_MINUS1,
PAYMENT_DATE, NOTIONAL,
PRICE_INDEX_EUR,
MONTH_LAG, true);
private static final CouponInflationYearOnYearMonthlyWithMargin YEAR_ON_YEAR_WITH = YEAR_ON_YEAR_WITH_DEFINITION.toDerivative(PRICING_DATE);
private static final CouponInflationYearOnYearMonthlyWithMarginDiscountingMethod METHOD = new CouponInflationYearOnYearMonthlyWithMarginDiscountingMethod();
private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance();
private static final NetAmountInflationCalculator NAIC = NetAmountInflationCalculator.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(PVIC, SHIFT_FD);
@Test
/**
* Tests the present value.
*/
public void presentValueNoNotional() {
final MultipleCurrencyAmount pv = METHOD.presentValue(YEAR_ON_YEAR_NO, MARKET.getInflationProvider());
final double df = MARKET.getCurve(YEAR_ON_YEAR_NO.getCurrency()).getDiscountFactor(YEAR_ON_YEAR_NO.getPaymentTime());
final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(YEAR_ON_YEAR_NO.getReferenceEndTime());
final double initialIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(YEAR_ON_YEAR_NO.getReferenceStartTime());
final double pvExpected = (finalIndex / initialIndex - 1 + MARGIN) * df * NOTIONAL;
assertEquals("Year on year coupon inflation DiscountingMethod: Present value", pvExpected, pv.getAmount(YEAR_ON_YEAR_NO.getCurrency()), TOLERANCE_PV);
}
@Test
/**
* Tests the net amount.
*/
public void netAmountNoNotional() {
final MultipleCurrencyAmount pv = METHOD.netAmount(YEAR_ON_YEAR_NO, MARKET.getInflationProvider());
final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(YEAR_ON_YEAR_NO.getReferenceEndTime());
final double initialIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(YEAR_ON_YEAR_NO.getReferenceStartTime());
final double pvExpected = (finalIndex / initialIndex - 1 + MARGIN) * NOTIONAL;
assertEquals("Year on year coupon inflation DiscountingMethod: net amount", pvExpected, pv.getAmount(YEAR_ON_YEAR_NO.getCurrency()), TOLERANCE_PV);
}
@Test
/**
* Tests the present value: Method vs Calculator.
*/
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD.presentValue(YEAR_ON_YEAR_NO, MARKET.getInflationProvider());
final MultipleCurrencyAmount pvCalculator = YEAR_ON_YEAR_NO.accept(PVIC, MARKET.getInflationProvider());
assertEquals("Year on year coupon inflation DiscountingMethod: Present value", pvMethod, pvCalculator);
}
@Test
/**
* Tests the present value.
*/
public void presentValueWithNotional() {
final MultipleCurrencyAmount pv = METHOD.presentValue(YEAR_ON_YEAR_WITH, MARKET.getInflationProvider());
final double df = MARKET.getCurve(YEAR_ON_YEAR_WITH.getCurrency()).getDiscountFactor(YEAR_ON_YEAR_WITH.getPaymentTime());
final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(YEAR_ON_YEAR_WITH.getReferenceEndTime());
final double initialIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(YEAR_ON_YEAR_WITH.getReferenceStartTime());
final double pvExpected = (finalIndex / initialIndex + MARGIN) * df * NOTIONAL;
assertEquals("Year on year coupon inflation DiscountingMethod: Present value", pvExpected, pv.getAmount(YEAR_ON_YEAR_WITH.getCurrency()), TOLERANCE_PV);
}
@Test
/**
* Tests the net amount.
*/
public void netAmountWithNotional() {
final MultipleCurrencyAmount pv = METHOD.netAmount(YEAR_ON_YEAR_WITH, MARKET.getInflationProvider());
final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(YEAR_ON_YEAR_WITH.getReferenceEndTime());
final double initialIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(YEAR_ON_YEAR_NO.getReferenceStartTime());
final double pvExpected = (finalIndex / initialIndex + MARGIN) * NOTIONAL;
assertEquals("Year on year coupon inflation DiscountingMethod: net amount", pvExpected, pv.getAmount(YEAR_ON_YEAR_WITH.getCurrency()), TOLERANCE_PV);
}
@Test
/**
* Tests the net amount: Method vs Calculator.
*/
public void netAmountMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD.netAmount(YEAR_ON_YEAR_NO, MARKET.getInflationProvider());
final MultipleCurrencyAmount pvCalculator = YEAR_ON_YEAR_NO.accept(NAIC, MARKET.getInflationProvider());
assertEquals("Year on year coupon inflation DiscountingMethod: Net amount", pvMethod, pvCalculator);
}
@Test
/**
* Test the present value curves sensitivity.
*/
public void presentValueCurveSensitivityWithNotional() {
final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(YEAR_ON_YEAR_WITH, MARKET.getInflationProvider());
final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(YEAR_ON_YEAR_WITH, MARKET.getInflationProvider(), MARKET.getAllNames());
AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);
}
@Test
/**
* Test the present value curves sensitivity.
*/
public void presentValueCurveSensitivityNoNotional() {
final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(YEAR_ON_YEAR_NO, MARKET.getInflationProvider());
final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(YEAR_ON_YEAR_NO, MARKET.getInflationProvider(), MARKET.getAllNames());
AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueMarketSensitivityMethodVsCalculatorNoNotional() {
final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(YEAR_ON_YEAR_NO, MARKET.getInflationProvider());
final MultipleCurrencyInflationSensitivity pvcisCalculator = YEAR_ON_YEAR_NO.accept(PVCSDC, MARKET.getInflationProvider());
AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueMarketSensitivityMethodVsCalculatorWithNotional() {
final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(YEAR_ON_YEAR_WITH, MARKET.getInflationProvider());
final MultipleCurrencyInflationSensitivity pvcisCalculator = YEAR_ON_YEAR_WITH.accept(PVCSDC, MARKET.getInflationProvider());
AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
}
}