/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.interestrate;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.interestrate.definition.VasicekDataBundle;
import com.opengamma.analytics.financial.model.volatility.curve.VolatilityCurve;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class VasicekInterestRateModelTest {
private static final int YEARS = 10;
private static final ZonedDateTime TODAY = DateUtils.getUTCDate(2010, 7, 1);
private static final ZonedDateTime START = DateUtils.getUTCDate(2011, 7, 1);
private static final ZonedDateTime MATURITY = DateUtils.getDateOffsetWithYearFraction(START, 10);
private static final VasicekInterestRateModel MODEL = new VasicekInterestRateModel();
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTime() {
MODEL.getDiscountBondFunction(null, MATURITY);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullMaturity() {
MODEL.getDiscountBondFunction(START, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getDiscountBondFunction(START, MATURITY).evaluate((VasicekDataBundle) null);
}
@Test
public void test() {
final YieldCurve shortRate = YieldCurve.from(ConstantDoublesCurve.from(0.05));
final double longRate = 0.06;
final double speed = 0.01;
final VolatilityCurve sigma = new VolatilityCurve(ConstantDoublesCurve.from(0.01));
VasicekDataBundle data = new VasicekDataBundle(shortRate, sigma, TODAY, longRate, speed);
assertEquals(MODEL.getDiscountBondFunction(START, START).evaluate(data), 1, 0);
data = new VasicekDataBundle(shortRate, new VolatilityCurve(ConstantDoublesCurve.from(0)), TODAY, longRate, speed);
final double factor = (1 - Math.exp(-speed * YEARS));
final double lnA = longRate * (factor / speed - YEARS);
assertEquals(MODEL.getDiscountBondFunction(START, MATURITY).evaluate(data), Math.exp(lnA - data.getShortRate(0) * factor / speed), 0);
}
}