package com.opengamma.analytics.financial.interestrate.swap.method;
import static org.testng.AssertJUnit.assertEquals;
import java.util.List;
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.index.IndexSwap;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.ParRateCalculator;
import com.opengamma.analytics.financial.interestrate.TestsDataSetsSABR;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
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.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;
import com.opengamma.util.tuple.DoublesPair;
/**
* @deprecated This class tests deprecated functionality.
*/
@Deprecated
public class SwapFixedCouponMethodTest {
// Swap 2Y description
private static final Currency CUR = Currency.EUR;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Period ANNUITY_TENOR = Period.ofYears(2);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 3, 30);
private static final double NOTIONAL = 100000000; //100m
// Fixed leg: Semi-annual bond
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
private static final double RATE = 0.0325;
private static final boolean FIXED_IS_PAYER = true;
// Ibor leg: quarterly money
private static final Period INDEX_TENOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final IborIndex IBOR_INDEX = new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
// Swaption construction:
private static final IndexSwap CMS_INDEX = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
private static final SwapFixedIborDefinition SWAP_DEFINITION_PAYER = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
private static final SwapFixedIborDefinition SWAP_DEFINITION_RECEIVER = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, !FIXED_IS_PAYER, CALENDAR);
// to derivatives
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurves1();
private static final String[] CURVES_NAME = TestsDataSetsSABR.curves1Names();
private static final SwapFixedCoupon<Coupon> SWAP_PAYER = SWAP_DEFINITION_PAYER.toDerivative(REFERENCE_DATE, CURVES_NAME);
private static final SwapFixedCoupon<Coupon> SWAP_RECEIVER = SWAP_DEFINITION_RECEIVER.toDerivative(REFERENCE_DATE, CURVES_NAME);
// Yield curves
private static final SwapFixedCouponDiscountingMethod METHOD_SWAP = SwapFixedCouponDiscountingMethod.getInstance();
private static final ParRateCalculator PRC = ParRateCalculator.getInstance();
private static final double TOLERANCE_RATE = 1.0E-10;
@Test
public void testAnnuityCash() {
final double forward = 0.04;
final double cashAnnuity = METHOD_SWAP.getAnnuityCash(SWAP_PAYER, forward);
final double expectedAnnuity = 1.903864349337 * NOTIONAL;
assertEquals(expectedAnnuity, cashAnnuity, 1E-2); // one cent out of 100m
}
@Test
public void testPVBP() {
final YieldAndDiscountCurve curveFunding = CURVES.getCurve(CURVES_NAME[0]);
double expectedPVBP = 0;
for (int loopcpn = 0; loopcpn < SWAP_DEFINITION_PAYER.getFixedLeg().getPayments().length; loopcpn++) {
expectedPVBP += Math.abs(SWAP_DEFINITION_PAYER.getFixedLeg().getNthPayment(loopcpn).getPaymentYearFraction())
* curveFunding.getDiscountFactor(SWAP_PAYER.getFixedLeg().getNthPayment(loopcpn).getPaymentTime()) * NOTIONAL;
}
double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_PAYER, CURVES);
assertEquals(expectedPVBP, pvbp, 1E-2); // one cent out of 100m
pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_PAYER, curveFunding);
assertEquals(expectedPVBP, pvbp, 1E-2); // one cent out of 100m
}
@Test
public void testPVBPSensitivity() {
final double eps = 1e-8;
final int nbPayDate = SWAP_PAYER.getFixedLeg().getPayments().length;
final YieldAndDiscountCurve curveFunding = CURVES.getCurve(CURVES_NAME[0]);
// 2. Funding curve sensitivity
final String bumpedCurveName = "Bumped Curve";
final String[] bumpedCurvesName = {bumpedCurveName, CURVES_NAME[1] };
final SwapFixedCoupon<Coupon> swapBumpedFunding = SWAP_DEFINITION_PAYER.toDerivative(REFERENCE_DATE, bumpedCurvesName);
final double[] yieldsFunding = new double[nbPayDate + 1];
final double[] nodeTimes = new double[nbPayDate + 1];
yieldsFunding[0] = curveFunding.getInterestRate(0.0);
for (int i = 0; i < nbPayDate; i++) {
nodeTimes[i + 1] = SWAP_PAYER.getFixedLeg().getNthPayment(i).getPaymentTime();
yieldsFunding[i + 1] = curveFunding.getInterestRate(nodeTimes[i + 1]);
}
final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yieldsFunding, new LinearInterpolator1D()));
final YieldCurveBundle curvesNotBumped = new YieldCurveBundle();
curvesNotBumped.addAll(CURVES);
curvesNotBumped.setCurve("Bumped Curve", tempCurveFunding);
final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_PAYER, curvesNotBumped);
final InterestRateCurveSensitivity pvbpDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(SWAP_PAYER, curvesNotBumped);
final List<DoublesPair> tempFunding = pvbpDr.getSensitivities().get(CURVES_NAME[0]);
for (int i = 0; i < nbPayDate; i++) {
final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimes[i + 1], eps);
final YieldCurveBundle curvesBumped = new YieldCurveBundle();
curvesBumped.addAll(CURVES);
curvesBumped.setCurve("Bumped Curve", bumpedCurve);
final double bumpedpvbp = METHOD_SWAP.presentValueBasisPoint(swapBumpedFunding, curvesBumped);
final double res = (bumpedpvbp - pvbp) / eps;
final DoublesPair pair = tempFunding.get(i);
assertEquals("Node " + i, nodeTimes[i + 1], pair.getFirst(), 1E-8);
assertEquals("Node " + i, res, pair.getSecond(), 5.0);
}
}
@Test
public void testCouponEquivalent() {
final YieldAndDiscountCurve curveFunding = CURVES.getCurve(CURVES_NAME[0]);
// Constant rate
final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_PAYER, CURVES);
double couponEquiv = METHOD_SWAP.couponEquivalent(SWAP_PAYER, pvbp, CURVES);
assertEquals(RATE, couponEquiv, 1E-10);
couponEquiv = METHOD_SWAP.couponEquivalent(SWAP_PAYER, CURVES);
assertEquals(RATE, couponEquiv, 1E-10);
// Non-constant rate
final AnnuityCouponFixed annuity = SWAP_PAYER.getFixedLeg();
final CouponFixed[] coupon = new CouponFixed[annuity.getNumberOfPayments()];
for (int loopcpn = 0; loopcpn < annuity.getNumberOfPayments(); loopcpn++) {
// Step-up by 10bps
coupon[loopcpn] = new CouponFixed(CUR, annuity.getNthPayment(loopcpn).getPaymentTime(), CURVES_NAME[0], annuity.getNthPayment(loopcpn).getPaymentYearFraction(), NOTIONAL
* (FIXED_IS_PAYER ? -1 : 1), RATE + loopcpn * 0.001);
}
final AnnuityCouponFixed annuityStepUp = new AnnuityCouponFixed(coupon);
final SwapFixedCoupon<Coupon> swapStepup = new SwapFixedCoupon<>(annuityStepUp, SWAP_PAYER.getSecondLeg());
couponEquiv = METHOD_SWAP.couponEquivalent(swapStepup, CURVES);
double expectedCouponEquivalent = 0;
for (int loopcpn = 0; loopcpn < annuity.getNumberOfPayments(); loopcpn++) {
expectedCouponEquivalent += Math.abs(annuityStepUp.getNthPayment(loopcpn).getAmount()) * curveFunding.getDiscountFactor(SWAP_PAYER.getFixedLeg().getNthPayment(loopcpn).getPaymentTime());
}
expectedCouponEquivalent /= pvbp;
assertEquals(expectedCouponEquivalent, couponEquiv, 1E-10);
}
@Test
/**
* Tests the par rate calculator for the swaps.
*/
public void parRate() {
final double ratePayer = SWAP_PAYER.accept(PRC, CURVES);
final double rateReceiver = SWAP_RECEIVER.accept(PRC, CURVES);
assertEquals("Par Rate swap", ratePayer, rateReceiver, TOLERANCE_RATE);
final double ratePayer2 = PRC.visitFixedCouponSwap(SWAP_PAYER, FIXED_DAY_COUNT, CURVES);
final double rateReceiver2 = PRC.visitFixedCouponSwap(SWAP_RECEIVER, FIXED_DAY_COUNT, CURVES);
assertEquals("Par Rate swap", ratePayer2, rateReceiver2, TOLERANCE_RATE);
assertEquals("Par Rate swap", ratePayer2, rateReceiver, TOLERANCE_RATE);
}
}