@Override public ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency) { double discountFactor = discountFactor(yearFraction); return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, -discountFactor * yearFraction); }
@Override public ZeroRateSensitivity zeroRatePointSensitivityWithSpread( double yearFraction, Currency sensitivityCurrency, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear) { if (Math.abs(yearFraction) < EFFECTIVE_ZERO) { return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, 0); } if (compoundedRateType.equals(CompoundedRateType.CONTINUOUS)) { double discountFactor = discountFactorWithSpread(yearFraction, zSpread, compoundedRateType, periodPerYear); return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, -discountFactor * yearFraction); } double df = discountFactor(yearFraction); double df2 = Math.pow(df, -1.0 / (yearFraction * periodPerYear)); double df3 = df2 + zSpread / periodPerYear; double ddfSdz = -yearFraction * Math.pow(df3, -yearFraction * periodPerYear - 1) * df2; return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, ddfSdz); }
public void test_discountFactorWithSpread_continuous() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactor(DATE_AFTER); double expected = df * Math.exp(-SPREAD * relativeYearFraction); assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected, TOLERANCE_DF); }
public void test_discountFactor() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double expected = Math.pow(1.0d + CURVE.yValue(relativeYearFraction) / CMP_PERIOD, -CMP_PERIOD * relativeYearFraction); assertEquals(test.discountFactor(DATE_AFTER), expected); }
public void test_discountFactorWithSpread_periodic() { int periodPerYear = 4; ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double discountFactorBase = test.discountFactor(DATE_AFTER); double onePlus = Math.pow(discountFactorBase, -1.0d / (periodPerYear * relativeYearFraction)); double expected = Math.pow(onePlus + SPREAD / periodPerYear, -periodPerYear * relativeYearFraction); assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear), expected, TOLERANCE_DF); }
public void test_zeroRate() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.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_zeroRatePointSensitivityWithSpread_periodic() { int periodPerYear = 4; ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactor(DATE_AFTER); double z = -1.0/relativeYearFraction*Math.log(df); double shift = 1.0E-6; double zP = z + shift; double zM = z - shift; double dfSP = Math.pow( Math.pow(Math.exp(-zP * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear); double dfSM = Math.pow( Math.pow(Math.exp(-zM * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear); double ddfSdz = (dfSP - dfSM) / (2 * shift); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, ddfSdz); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
public void test_zeroRatePointSensitivity() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactor(DATE_AFTER); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction); assertEquals(test.zeroRatePointSensitivity(DATE_AFTER), expected); }
public void test_zeroRatePointSensitivity_sensitivityCurrency() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactor(DATE_AFTER); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction); assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, USD), expected); }
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_periodic() { int periodPerYear = 4; ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactor(DATE_AFTER); double z = -1.0/relativeYearFraction*Math.log(df); double shift = 1.0E-6; double zP = z + shift; double zM = z - shift; double dfSP = Math.pow( Math.pow(Math.exp(-zP * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear); double dfSM = Math.pow( Math.pow(Math.exp(-zM * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear); double ddfSdz = (dfSP - dfSM) / (2 * shift); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, ddfSdz); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, PERIODIC, periodPerYear); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
public void test_parameterSensitivity_full() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double sensiValue = 25d; ZeroRateSensitivity point = test.zeroRatePointSensitivity(DATE_AFTER); point = point.multipliedBy(sensiValue); CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point); assertEquals(sensiObject.getSensitivities().size(), 1); DoubleArray sensi0 = sensiObject.getSensitivities().get(0).getSensitivity(); double shift = 1.0E-6; for (int i = 0; i < X.size(); i++) { DoubleArray yP = Y.with(i, Y.get(i) + shift); InterpolatedNodalCurve curveP = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yP, INTERPOLATOR); double dfP = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveP).discountFactor(DATE_AFTER); DoubleArray yM = Y.with(i, Y.get(i) - shift); InterpolatedNodalCurve curveM = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yM, INTERPOLATOR); double dfM = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveM).discountFactor(DATE_AFTER); assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD); } }