/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.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.IborIndex;
import com.opengamma.analytics.financial.instrument.payment.CouponIborCompoundingFlatSpreadDefinition;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborCompoundingFlatSpread;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
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.multicurve.ParameterSensitivityMulticurveDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.analytics.financial.util.AssertSensivityObjects;
import com.opengamma.financial.convention.StubType;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the pricing and sensitivities of Ibor compounded coupon in the discounting method.
*/
public class CouponIborCompoundingFlatSpreadDiscountingMethodTest {
private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveCad();
private static final IborIndex[] IBOR_INDEXES = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveCad();
private static final IborIndex CADCDOR3M = IBOR_INDEXES[0];
private static final Currency CAD = CADCDOR3M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getCADCalendar();
private static final Period M6 = Period.ofMonths(6);
private static final double NOTIONAL = 123000000;
private static final double SPREAD = 0.0010;
private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2012, 8, 24);
private static final ZonedDateTime END_DATE = START_DATE.plus(M6);
private static final CouponIborCompoundingFlatSpreadDefinition CPN_DEFINITION = CouponIborCompoundingFlatSpreadDefinition.from(NOTIONAL, START_DATE, END_DATE, CADCDOR3M, SPREAD,
StubType.SHORT_START, CADCDOR3M.getBusinessDayConvention(), CADCDOR3M.isEndOfMonth(), CALENDAR);
private static final CouponIborCompoundingFlatSpreadDiscountingMethod METHOD_COMPOUNDED = CouponIborCompoundingFlatSpreadDiscountingMethod.getInstance();
private static final ZonedDateTime REFERENCE_DATE_BEFORE = DateUtils.getUTCDate(2012, 8, 7);
private static final CouponIborCompoundingFlatSpread CPN_BEFORE = CPN_DEFINITION.toDerivative(REFERENCE_DATE_BEFORE);
private static final double[] FIXING_RATES = new double[] {0.0010, 0.0011, 0.0012 };
private static final DoubleTimeSeries<ZonedDateTime> FIXING_TS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2012, 8, 23), DateUtils.getUTCDate(2012, 8, 24),
DateUtils.getUTCDate(2012, 9, 20) }, FIXING_RATES);
private static final ZonedDateTime REFERENCE_DATE_1 = DateUtils.getUTCDate(2012, 8, 28);
private static final CouponIborCompoundingFlatSpread CPN_1 = (CouponIborCompoundingFlatSpread) CPN_DEFINITION.toDerivative(REFERENCE_DATE_1, FIXING_TS);
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC = PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<MulticurveProviderInterface> PS_PV_C = new ParameterSensitivityParameterCalculator<>(PVCSDC);
private static final ParameterSensitivityMulticurveDiscountInterpolatedFDCalculator PS_PV_FDC = new ParameterSensitivityMulticurveDiscountInterpolatedFDCalculator(PVDC, SHIFT);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2; //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
@Test
public void presentValueBeforeFirstFixing() {
final MultipleCurrencyAmount pvComputed = METHOD_COMPOUNDED.presentValue(CPN_BEFORE, MULTICURVES);
final int nbSub = CPN_BEFORE.getFixingTimes().length;
double[] forward = new double[nbSub];
for (int loopsub = 0; loopsub < nbSub; loopsub++) {
forward[loopsub] = MULTICURVES.getForwardRate(CADCDOR3M, CPN_BEFORE.getFixingSubperiodsStartTimes()[loopsub],
CPN_BEFORE.getFixingSubperiodsEndTimes()[loopsub], CPN_BEFORE.getFixingSubperiodsAccrualFactors()[loopsub]);
}
final double cpa = cpa(CPN_BEFORE.getCompoundingPeriodAmountAccumulated(), forward, CPN_BEFORE.getSubperiodsAccrualFactors(), SPREAD);
final double dfPayment = MULTICURVES.getDiscountFactor(CAD, CPN_BEFORE.getPaymentTime());
final double pvExpected = NOTIONAL * cpa * dfPayment;
assertEquals("CouponIborCompoundingFlatSpreadDiscountingMethod: Present value", pvExpected, pvComputed.getAmount(CAD), TOLERANCE_PV);
}
public double cpa(double startValue, double[] rates, double[] accrualFactors, double spread) {
double cpa = startValue;
for (int loopsub = 0; loopsub < rates.length; loopsub++) {
cpa += cpa * rates[loopsub] * accrualFactors[loopsub]; // Additional Compounding Period Amount
cpa += (rates[loopsub] + spread) * accrualFactors[loopsub]; // Basic Compounding Period Amount
}
return cpa;
}
@Test
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD_COMPOUNDED.presentValue(CPN_BEFORE, MULTICURVES);
final MultipleCurrencyAmount pvCalculator = CPN_BEFORE.accept(PVDC, MULTICURVES);
assertEquals("CouponIborCompoundingFlatSpreadDiscountingMethod: Present value", pvMethod.getAmount(CAD), pvCalculator.getAmount(CADCDOR3M.getCurrency()), TOLERANCE_PV);
}
@Test
public void presentValueAfter1Fixing() {
final MultipleCurrencyAmount pvComputed = METHOD_COMPOUNDED.presentValue(CPN_1, MULTICURVES);
final int nbSub = CPN_1.getFixingTimes().length;
double[] forward = new double[nbSub];
for (int loopsub = 0; loopsub < nbSub; loopsub++) {
forward[loopsub] = MULTICURVES.getForwardRate(CADCDOR3M, CPN_1.getFixingSubperiodsStartTimes()[loopsub],
CPN_1.getFixingSubperiodsEndTimes()[loopsub], CPN_1.getFixingSubperiodsAccrualFactors()[loopsub]);
}
final double cpa = cpa(CPN_1.getCompoundingPeriodAmountAccumulated() / NOTIONAL, forward, CPN_1.getSubperiodsAccrualFactors(), SPREAD);
final double dfPayment = MULTICURVES.getDiscountFactor(CAD, CPN_1.getPaymentTime());
final double pvExpected = NOTIONAL * cpa * dfPayment;
assertEquals("CouponIborCompoundingFlatSpreadDiscountingMethod: Present value", pvExpected, pvComputed.getAmount(CAD), TOLERANCE_PV);
}
@Test
/**
* Tests present value curve sensitivity when the valuation date is on trade date.
*/
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PV_C.calculateSensitivity(CPN_BEFORE, MULTICURVES, MULTICURVES.getAllNames());
final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PV_FDC.calculateSensitivity(CPN_BEFORE, MULTICURVES);
AssertSensivityObjects.assertEquals("CouponIborCompoundingFlatSpreadDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueCurveSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_COMPOUNDED.presentValueCurveSensitivity(CPN_BEFORE, MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator = CPN_BEFORE.accept(PVCSDC, MULTICURVES);
AssertSensivityObjects.assertEquals("CouponIborCompoundingFlatSpreadDiscountingMethod: Present value curve sensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA);
}
}