public void test_discountFactorWithSpread_smallYearFraction() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); assertEquals(test.discountFactorWithSpread(DATE_VAL, SPREAD, PERIODIC, 1), 1d, TOLERANCE_DF); }
public void test_withCurve() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE).withCurve(CURVE2); assertEquals(test.getCurve(), CURVE2); }
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_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_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_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_createParameterSensitivity() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); DoubleArray sensitivities = DoubleArray.of(0.12, 0.15, 0.16); CurrencyParameterSensitivities sens = test.createParameterSensitivity(USD, sensitivities); assertEquals(sens.getSensitivities().get(0), CURVE.createParameterSensitivity(USD, sensitivities)); }
public void test_parameterSensitivity() { 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.size(), 1); CurrencyParameterSensitivity sensi1 = sensiObject.getSensitivities().get(0); assertEquals(sensi1.getCurrency(), GBP); }
public void test_zeroRatePointSensitivityWithSpread_smallYearFraction() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, 0.0d); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
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_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, 0.0d); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
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_zeroRatePointSensitivityWithSpread_continous() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA); }
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continous() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA); }
public void test_of() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.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_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); } }
public void test_parameterSensitivity_withSpread_full() { int periodPerYear = 2; double spread = 0.0011; // 11 bp ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double sensiValue = 25d; ZeroRateSensitivity point = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear); 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) .discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear); 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) .discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear); assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD, "With spread - " + i); } }