/**
* Copyright (C) 2013 - 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.GeneratorSwapFixedON;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.payment.CouponONCompoundedDefinition;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded;
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.schedule.ScheduleCalculator;
import com.opengamma.analytics.financial.util.AssertSensivityObjects;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the pricing methods for ON Compounded coupon in the discounting method.
*/
public class CouponONCompoundedDiscountingMethodTest {
private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final GeneratorSwapFixedON GENERATOR_SWAP_EONIA = GeneratorSwapFixedONMaster.getInstance().getGenerator("EUR1YEONIA", TARGET);
private static final IndexON INDEX_ON = MulticurveProviderDiscountDataSets.getIndexesON()[0];
private static final Currency EUR = INDEX_ON.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final ZonedDateTime EFFECTIVE_DATE = DateUtils.getUTCDate(2011, 5, 23);
private static final Period TENOR = Period.ofMonths(3);
private static final double NOTIONAL = 100000000; // 100m
private static final CouponONCompoundedDefinition CPN_ON_COMPOUNDED_DEFINITION = CouponONCompoundedDefinition.from(INDEX_ON, EFFECTIVE_DATE, TENOR, NOTIONAL, 2,
GENERATOR_SWAP_EONIA.getBusinessDayConvention(),
GENERATOR_SWAP_EONIA.isEndOfMonth(), CALENDAR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 12, 27);
private static final CouponONCompounded CPN_ON_COMPOUNDED = CPN_ON_COMPOUNDED_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CouponONCompoundedDiscountingMethod METHOD_CPN_OIS = CouponONCompoundedDiscountingMethod.getInstance();
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC = PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final ParameterSensitivityParameterCalculator<MulticurveProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC);
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityMulticurveDiscountInterpolatedFDCalculator PSC_DSC_FD = new ParameterSensitivityMulticurveDiscountInterpolatedFDCalculator(PVDC, SHIFT);
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.
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_DELTA = 1.0E+2;
@Test
public void presentValue() {
final MultipleCurrencyAmount pvComputed = METHOD_CPN_OIS.presentValue(CPN_ON_COMPOUNDED, MULTICURVES);
double ratio = 1.0;
for (int i = 0; i < CPN_ON_COMPOUNDED.getFixingPeriodAccrualFactors().length; i++) {
ratio *= Math.pow(
1 + MULTICURVES.getForwardRate(CPN_ON_COMPOUNDED.getIndex(), CPN_ON_COMPOUNDED.getFixingPeriodStartTimes()[i], CPN_ON_COMPOUNDED.getFixingPeriodEndTimes()[i],
CPN_ON_COMPOUNDED.getFixingPeriodAccrualFactorsActAct()[i]),
CPN_ON_COMPOUNDED.getFixingPeriodAccrualFactors()[i]);
}
final double df = MULTICURVES.getDiscountFactor(CPN_ON_COMPOUNDED.getCurrency(), CPN_ON_COMPOUNDED.getPaymentTime());
final double pvExpected = df * CPN_ON_COMPOUNDED.getNotionalAccrued() * ratio;
assertEquals("CouponONCompoundedDiscountingMethod: present value", pvExpected, pvComputed.getAmount(INDEX_ON.getCurrency()), TOLERANCE_PV);
}
@Test
public void presentValueStarted() {
final double fixing = 0.0015;
final ZonedDateTimeDoubleTimeSeries TS_ON = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 5, 20), DateUtils.getUTCDate(2011, 5, 23) }, new double[] {
0.0010, fixing });
final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(EFFECTIVE_DATE, 1, TARGET);
final CouponONCompounded cpnONCompoundedStarted = (CouponONCompounded) CPN_ON_COMPOUNDED_DEFINITION.toDerivative(referenceDate, TS_ON);
final double notionalAccrued = NOTIONAL * Math.pow(1 + fixing, CPN_ON_COMPOUNDED_DEFINITION.getFixingPeriodAccrualFactors()[0]);
assertEquals("CouponONCompoundedDiscountingMethod: present value", notionalAccrued, cpnONCompoundedStarted.getNotionalAccrued(), TOLERANCE_PV);
final MultipleCurrencyAmount pvComputed = METHOD_CPN_OIS.presentValue(cpnONCompoundedStarted, MULTICURVES);
double ratio = 1.0;
for (int i = 0; i < cpnONCompoundedStarted.getFixingPeriodAccrualFactors().length; i++) {
ratio *= Math.pow(
1 + MULTICURVES.getForwardRate(cpnONCompoundedStarted.getIndex(), cpnONCompoundedStarted.getFixingPeriodStartTimes()[i], cpnONCompoundedStarted.getFixingPeriodEndTimes()[i],
cpnONCompoundedStarted.getFixingPeriodAccrualFactorsActAct()[i]), cpnONCompoundedStarted.getFixingPeriodAccrualFactors()[i]);
}
final double df = MULTICURVES.getDiscountFactor(cpnONCompoundedStarted.getCurrency(), cpnONCompoundedStarted.getPaymentTime());
final double pvExpected = cpnONCompoundedStarted.getNotionalAccrued() * ratio * df;
assertEquals("CouponONCompoundedDiscountingMethod: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
}
@Test
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD_CPN_OIS.presentValue(CPN_ON_COMPOUNDED, MULTICURVES);
final MultipleCurrencyAmount pvCalculator = CPN_ON_COMPOUNDED.accept(PVDC, MULTICURVES);
assertEquals("CouponONCompoundedDiscountingMethod: present value", pvMethod.getAmount(EUR), pvCalculator.getAmount(EUR), TOLERANCE_PV);
}
@Test
/**
* Tests present value curve sensitivity when the valuation date is on trade date.
*/
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsDepositExact = PSC.calculateSensitivity(CPN_ON_COMPOUNDED, MULTICURVES, MULTICURVES.getAllNames());
final MultipleCurrencyParameterSensitivity pvpsDepositFD = PSC_DSC_FD.calculateSensitivity(CPN_ON_COMPOUNDED, MULTICURVES);
AssertSensivityObjects.assertEquals("CouponONCompoundedDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueMarketSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_CPN_OIS.presentValueCurveSensitivity(CPN_ON_COMPOUNDED, MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator = CPN_ON_COMPOUNDED.accept(PVCSDC, MULTICURVES);
AssertSensivityObjects.assertEquals("CouponFixedDiscountingMarketMethod: presentValueMarketSensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_DELTA);
}
}