/** * Obtains issuer curve discount factors form valuation date. * * @param valuationDate the valuation date * @return the discount factors */ public static IssuerCurveDiscountFactors getIssuerCurveDiscountFactors(LocalDate valuationDate) { DiscountFactors dscIssuer = ZeroRateDiscountFactors.of(USD, valuationDate, ISSUER_CURVE); return IssuerCurveDiscountFactors.of(dscIssuer, GROUP_ISSUER); }
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_zeroRatePointSensitivityWithSpread_smallYearFraction() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, -0d); assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_VAL, SPREAD, CONTINUOUS, 0), expected); }
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.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_discountFactorWithSpread_continuous() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double expected = Math.exp(-relativeYearFraction * (CURVE.yValue(relativeYearFraction) + SPREAD)); assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected, TOL); }
public void test_zeroRate() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.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_zeroRatePointSensitivity() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = Math.exp(-relativeYearFraction * CURVE.yValue(relativeYearFraction)); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction); assertEquals(test.zeroRatePointSensitivity(DATE_AFTER), expected); }
public void test_zeroRatePointSensitivityWithSpread_continous() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = Math.exp(-relativeYearFraction * (CURVE.yValue(relativeYearFraction) + SPREAD)); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction); assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected); }
public void test_zeroRatePointSensitivity_sensitivityCurrency() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = Math.exp(-relativeYearFraction * CURVE.yValue(relativeYearFraction)); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction); assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, USD), expected); }
public void test_createParameterSensitivity() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.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)); }
public void test_presentValueFromCleanPrice_noExcoupon() { double cleanPrice = 0.985; CurrencyAmount computed = TRADE_PRICER.presentValueFromCleanPrice(TRADE_NO_EXCOUPON, PROVIDER, REF_DATA, cleanPrice); LocalDate standardSettlement = PRODUCT_NO_EXCOUPON.getSettlementDateOffset().adjust(VAL_DATE, REF_DATA); double df = ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO).discountFactor(standardSettlement); double accruedInterest = PRODUCT_PRICER.accruedInterest(PRODUCT_NO_EXCOUPON, standardSettlement); double pvPayment = PRICER_NOMINAL .presentValue(UPFRONT_PAYMENT, ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO)).getAmount(); double expected = QUANTITY * (cleanPrice * df * NOTIONAL + accruedInterest * df) + pvPayment; assertEquals(computed.getCurrency(), EUR); assertEquals(computed.getAmount(), expected, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPrice() { double cleanPrice = 0.985; CurrencyAmount computed = TRADE_PRICER.presentValueFromCleanPrice(TRADE, PROVIDER, REF_DATA, cleanPrice); LocalDate standardSettlement = PRODUCT.getSettlementDateOffset().adjust(VAL_DATE, REF_DATA); double df = ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO).discountFactor(standardSettlement); double accruedInterest = PRODUCT_PRICER.accruedInterest(PRODUCT, standardSettlement); double pvPayment = PRICER_NOMINAL .presentValue(UPFRONT_PAYMENT, ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO)).getAmount(); double expected = QUANTITY * (cleanPrice * df * NOTIONAL + accruedInterest * df) + pvPayment; assertEquals(computed.getCurrency(), EUR); assertEquals(computed.getAmount(), expected, NOTIONAL * QUANTITY * TOL); }
public void test_presentValue() { CurrencyAmount computedTrade = TRADE_PRICER.presentValue(TRADE, PROVIDER); CurrencyAmount computedProduct = PRODUCT_PRICER.presentValue(PRODUCT, PROVIDER, SETTLEMENT); CurrencyAmount pvPayment = PRICER_NOMINAL.presentValue(UPFRONT_PAYMENT, ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO)); assertEquals(computedTrade.getAmount(), computedProduct.multipliedBy(QUANTITY).plus(pvPayment).getAmount(), NOTIONAL * QUANTITY * TOL); }
public void coverage() { IssuerCurveDiscountFactors test1 = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP); coverImmutableBean(test1); IssuerCurveDiscountFactors test2 = IssuerCurveDiscountFactors.of(ZeroRateDiscountFactors.of(USD, DATE, CURVE), LegalEntityGroup.of("ISSUER2")); coverBeanEquals(test1, test2); }
public void coverage() { RepoCurveDiscountFactors test1 = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP); coverImmutableBean(test1); RepoCurveDiscountFactors test2 = RepoCurveDiscountFactors.of(ZeroRateDiscountFactors.of(USD, DATE, CURVE), RepoGroup.of("ISSUER2")); coverBeanEquals(test1, test2); }
public void test_presentValueWithZSpread_periodic() { CurrencyAmount computedTrade = TRADE_PRICER.presentValueWithZSpread(TRADE, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyAmount computedProduct = PRODUCT_PRICER.presentValueWithZSpread( PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR, SETTLEMENT); CurrencyAmount pvPayment = PRICER_NOMINAL.presentValue(UPFRONT_PAYMENT, ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO)); assertEquals(computedTrade.getAmount(), computedProduct.multipliedBy(QUANTITY).plus(pvPayment).getAmount(), NOTIONAL * QUANTITY * TOL); }
public void test_presentValueWithZSpread_continuous_noExcoupon() { CurrencyAmount computedTrade = TRADE_PRICER.presentValueWithZSpread(TRADE_NO_EXCOUPON, PROVIDER, Z_SPREAD, CONTINUOUS, 0); CurrencyAmount computedProduct = PRODUCT_PRICER.presentValueWithZSpread( PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, CONTINUOUS, 0, SETTLEMENT); CurrencyAmount pvPayment = PRICER_NOMINAL.presentValue(UPFRONT_PAYMENT, ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO)); assertEquals(computedTrade.getAmount(), computedProduct.multipliedBy(QUANTITY).plus(pvPayment).getAmount(), NOTIONAL * QUANTITY * TOL); }
public void test_presentValueWithZSpread_periodic_noExcoupon() { CurrencyAmount computedTrade = TRADE_PRICER.presentValueWithZSpread( TRADE_NO_EXCOUPON, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyAmount computedProduct = PRODUCT_PRICER.presentValueWithZSpread( PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR, SETTLEMENT); CurrencyAmount pvPayment = PRICER_NOMINAL.presentValue(UPFRONT_PAYMENT, ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO)); assertEquals(computedTrade.getAmount(), computedProduct.multipliedBy(QUANTITY).plus(pvPayment).getAmount(), NOTIONAL * QUANTITY * TOL); }
public void test_presentValueWithZSpread_continuous() { CurrencyAmount computedTrade = TRADE_PRICER.presentValueWithZSpread( TRADE, PROVIDER, Z_SPREAD, CONTINUOUS, 0); CurrencyAmount computedProduct = PRODUCT_PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0, SETTLEMENT); CurrencyAmount pvPayment = PRICER_NOMINAL.presentValue(UPFRONT_PAYMENT, ZeroRateDiscountFactors.of(EUR, VAL_DATE, CURVE_REPO)); assertEquals(computedTrade.getAmount(), computedProduct.multipliedBy(QUANTITY).plus(pvPayment).getAmount(), NOTIONAL * QUANTITY * TOL); }