/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.method;
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.fra.ForwardRateAgreementDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.TestsDataSetsSABR;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.fra.method.ForwardRateAgreementDiscountingMethod;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.differentiation.FiniteDifferenceType;
import com.opengamma.analytics.math.interpolation.LinearInterpolator1D;
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.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Tests finite difference computation of curve sensitivity.
* @deprecated This class tests deprecated functionality
*/
@Deprecated
public class SensitivityFiniteDifferenceTest {
// Index
private static final Period TENOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT_INDEX = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Currency CUR = Currency.EUR;
private static final IborIndex INDEX = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor");
// Dates : The above dates are not standard but selected for insure correct testing.
private static final ZonedDateTime FIXING_DATE = DateUtils.getUTCDate(2011, 1, 3);
private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 1, 6);
private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 4, 4);
private static final ZonedDateTime PAYMENT_DATE = DateUtils.getUTCDate(2011, 1, 7);
private static final DayCount DAY_COUNT_PAYMENT = DayCountFactory.INSTANCE.getDayCount("Actual/365");
private static final double ACCRUAL_FACTOR_PAYMENT = DAY_COUNT_PAYMENT.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double FRA_RATE = 0.05;
private static final double NOTIONAL = 1000000; //1m
// Coupon with specific payment and accrual dates.
private static final ForwardRateAgreementDefinition FRA_DEFINITION = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL,
FIXING_DATE, INDEX, FRA_RATE, CALENDAR);
// To derivatives
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2009, 8, 18);
private static final String FUNDING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES = {FUNDING_CURVE_NAME, FORWARD_CURVE_NAME};
private static final ForwardRateAgreement FRA = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, CURVES);
private static final ForwardRateAgreementDiscountingMethod FRA_METHOD = ForwardRateAgreementDiscountingMethod.getInstance();
@Test
public void curveSensitivityFRA() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final double deltaShift = 1.0E-8;
final double pv = FRA_METHOD.presentValue(FRA, curves).getAmount();
// 1. Forward curve sensitivity
final String bumpedCurveName = "Bumped Curve";
final String[] bumpedCurvesForwardName = {FUNDING_CURVE_NAME, bumpedCurveName};
final ForwardRateAgreement fraBumpedForward = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesForwardName);
final YieldAndDiscountCurve curveForward = curves.getCurve(FORWARD_CURVE_NAME);
final double[] timeForward = new double[2];
timeForward[0] = FRA.getFixingPeriodStartTime();
timeForward[1] = FRA.getFixingPeriodEndTime();
final int nbForwardDate = timeForward.length;
final double[] yieldsForward = new double[nbForwardDate + 1];
final double[] nodeTimesForward = new double[nbForwardDate + 1];
yieldsForward[0] = curveForward.getInterestRate(0.0);
for (int i = 0; i < nbForwardDate; i++) {
nodeTimesForward[i + 1] = timeForward[i];
yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
}
final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
final double[] sensiPvForwardFD = new double[nbForwardDate];
for (int i = 0; i < nbForwardDate; i++) {
final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
curvesBumpedForward.addAll(curves);
curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
final double bumpedPv = FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
}
final double[] nodeTimesForwardMethod = new double[] {FRA.getFixingPeriodStartTime(), FRA.getFixingPeriodEndTime()};
final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(fraBumpedForward, curves, pv, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForwardMethod, deltaShift, FRA_METHOD);
assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
assertEquals("Sensitivity finite difference method: node sensitivity", sensiPvForwardFD[loopnode], sensiForwardMethod[loopnode]);
}
// 2. Funding curve sensitivity
final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME};
final ForwardRateAgreement fraBumped = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
final double[] yieldsFunding = new double[2];
final double[] nodeTimesFunding = new double[2];
yieldsFunding[0] = curveFunding.getInterestRate(0.0);
nodeTimesFunding[1] = FRA.getPaymentTime();
yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
final YieldCurveBundle curvesBumped = new YieldCurveBundle();
curvesBumped.addAll(curves);
curvesBumped.replaceCurve("Bumped Curve", bumpedCurve);
final double bumpedPvDsc = FRA_METHOD.presentValue(fraBumped, curvesBumped).getAmount();
final double[] resDsc = new double[1];
resDsc[0] = (bumpedPvDsc - pv) / deltaShift;
final double[] nodeTimesFundingMethod = new double[] {FRA.getPaymentTime()};
final double[] sensiFundingMethod = SensitivityFiniteDifference.curveSensitivity(fraBumped, curves, pv, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesFundingMethod, deltaShift, FRA_METHOD);
assertEquals("Sensitivity finite difference method: number of node", 1, sensiFundingMethod.length);
for (int loopnode = 0; loopnode < sensiFundingMethod.length; loopnode++) {
assertEquals("Sensitivity finite difference method: node sensitivity", resDsc[loopnode], sensiFundingMethod[loopnode]);
}
}
@Test
public void curveSensitivityCentered() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final double deltaShift = 1.0E-8;
final double pv = FRA_METHOD.presentValue(FRA, curves).getAmount();
// 1. Forward curve sensitivity
final String bumpedCurveName = "Bumped Curve";
final String[] bumpedCurvesForwardName = {FUNDING_CURVE_NAME, bumpedCurveName};
final ForwardRateAgreement fraBumpedForward = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesForwardName);
final double[] nodeTimesForwardMethod = new double[] {FRA.getFixingPeriodStartTime(), FRA.getFixingPeriodEndTime()};
final double[] sensiForward = SensitivityFiniteDifference.curveSensitivity(fraBumpedForward, curves, pv, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForwardMethod, deltaShift, FRA_METHOD);
final double[] sensiForwardCentered = SensitivityFiniteDifference.curveSensitivity(fraBumpedForward, curves, pv, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForwardMethod, deltaShift,
FRA_METHOD, FiniteDifferenceType.CENTRAL);
final double[] sensiForwardCentered2 = SensitivityFiniteDifference.curveSensitivity(fraBumpedForward, curves, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForwardMethod, deltaShift, FRA_METHOD);
final double[] sensiForwardForward = SensitivityFiniteDifference.curveSensitivity(fraBumpedForward, curves, pv, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForwardMethod, deltaShift,
FRA_METHOD, FiniteDifferenceType.FORWARD);
final double[] sensiForwardBackward = SensitivityFiniteDifference.curveSensitivity(fraBumpedForward, curves, pv, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForwardMethod, deltaShift,
FRA_METHOD, FiniteDifferenceType.BACKWARD);
assertEquals("Sensitivity finite difference method: number of node", 2, sensiForward.length);
assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardCentered.length);
assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardCentered2.length);
assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardForward.length);
assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardBackward.length);
for (int loopnode = 0; loopnode < sensiForward.length; loopnode++) {
assertEquals("Sensitivity finite difference method: centered vs non-centered", sensiForward[loopnode], sensiForwardForward[loopnode], 1.0E-10);
assertEquals("Sensitivity finite difference method: centered vs non-centered", sensiForwardForward[loopnode], sensiForwardCentered[loopnode], 1.0E-1);
assertEquals("Sensitivity finite difference method: centered vs non-centered", sensiForwardBackward[loopnode], sensiForwardCentered[loopnode], 1.0E-1);
assertEquals("Sensitivity finite difference method: centered vs non-centered", sensiForwardCentered[loopnode], sensiForwardCentered2[loopnode], 1.0E-10);
}
}
}