@Override public double zeroRate(double yearFraction) { double yearFractionMod = Math.max(EFFECTIVE_ZERO, yearFraction); double discountFactor = discountFactor(yearFractionMod); return -Math.log(discountFactor) / yearFractionMod; }
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 575402001: // currency return ((SimpleDiscountFactors) bean).getCurrency(); case 113107279: // valuationDate return ((SimpleDiscountFactors) bean).getValuationDate(); case 95027439: // curve return ((SimpleDiscountFactors) bean).getCurve(); } return super.propertyGet(bean, propertyName, quiet); }
public void test_discountFactor_withSpread_smallYearFraction() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); assertEquals(test.discountFactorWithSpread(DATE_VAL, SPREAD, PERIODIC, 2), 1d); }
public void test_of() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); assertEquals(test.getCurrency(), GBP); assertEquals(test.getValuationDate(), DATE_VAL); assertEquals(test.getCurve(), CURVE); assertEquals(test.getParameterCount(), CURVE.getParameterCount()); assertEquals(test.getParameter(0), CURVE.getParameter(0)); assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getCurve(), CURVE.withParameter(0, 1d)); assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getCurve(), CURVE.withPerturbation((i, v, m) -> v + 1d)); assertEquals(test.findData(CURVE.getName()), Optional.of(CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); }
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, -0d); assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, PERIODIC, 2), expected); }
public void test_zeroRate() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double discountFactor = test.discountFactor(DATE_AFTER); double zeroRate = test.zeroRate(DATE_AFTER); assertEquals(Math.exp(-zeroRate * relativeYearFraction), discountFactor); }
public void test_discountFactor_withSpread_periodic() { int periodPerYear = 4; SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double discountFactorBase = test.discountFactor(DATE_AFTER); double rate = (Math.pow(discountFactorBase, -1d / periodPerYear / relativeYearFraction) - 1d) * periodPerYear; double expected = discountFactorFromPeriodicallyCompoundedRate(rate + SPREAD, periodPerYear, relativeYearFraction); assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear), expected, TOL); }
public void test_currencyParameterSensitivity_val_date() { // Discount factor at valuation date is always 0, no sensitivity. SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_VAL); assertEquals(test.parameterSensitivity(sens), CurrencyParameterSensitivities.empty()); }
private DiscountFactors createDiscountFactors(DiscountFactors originalDsc, Curve bumpedCurve) { if (originalDsc instanceof ZeroRateDiscountFactors) { return ZeroRateDiscountFactors.of(originalDsc.getCurrency(), originalDsc.getValuationDate(), bumpedCurve); } else if (originalDsc instanceof SimpleDiscountFactors) { return SimpleDiscountFactors.of(originalDsc.getCurrency(), originalDsc.getValuationDate(), bumpedCurve); } throw new IllegalArgumentException("Not supported"); }
public void test_discountFactor() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double expected = CURVE.yValue(relativeYearFraction); assertEquals(test.discountFactor(DATE_AFTER), expected); }
public void test_zeroRatePointSensitivity_sensitivityCurrency() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = CURVE.yValue(relativeYearFraction); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction); assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, USD), expected); }
public void test_parameterSensitivity() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity point = ZeroRateSensitivity.of(GBP, 1d, 1d); assertEquals(test.parameterSensitivity(point).size(), 1); }
private Curve checkDiscountFactors(DiscountFactors discountFactors) { if (discountFactors instanceof ZeroRateDiscountFactors) { return ((ZeroRateDiscountFactors) discountFactors).getCurve(); } else if (discountFactors instanceof SimpleDiscountFactors) { return ((SimpleDiscountFactors) discountFactors).getCurve(); } throw new IllegalArgumentException("Not supported"); }
public void test_createParameterSensitivity() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); DoubleArray sensitivities = DoubleArray.of(0.12, 0.15); CurrencyParameterSensitivities sens = test.createParameterSensitivity(USD, sensitivities); assertEquals(sens.getSensitivities().get(0), CURVE.createParameterSensitivity(USD, sensitivities)); }
@Override public SimpleDiscountFactors withParameter(int parameterIndex, double newValue) { return withCurve(curve.withParameter(parameterIndex, newValue)); }
/** * Returns a new instance with a different curve. * * @param curve the new curve * @return the new instance */ public SimpleDiscountFactors withCurve(Curve curve) { return new SimpleDiscountFactors(currency, valuationDate, curve); }
public void test_zeroRatePointSensitivityWithSpread_smallYearFraction() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, -0d); assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_VAL, SPREAD, CONTINUOUS, 0), expected); }
public void test_currencyParameterSensitivity() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double discountFactor = CURVE.yValue(relativeYearFraction); CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of( CURVE.yValueParameterSensitivity(relativeYearFraction) .multipliedBy(-1d / discountFactor / relativeYearFraction) .multipliedBy(sens.getCurrency(), sens.getSensitivity())); assertEquals(test.parameterSensitivity(sens), expected); }