@Override public IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityId issuerId, Currency currency) { LegalEntityGroup legalEntityGroup = issuerCurveGroups.get(issuerId); if (legalEntityGroup == null) { throw new IllegalArgumentException("Unable to find map for ID: " + issuerId); } return issuerCurveDiscountFactors(legalEntityGroup, currency); }
public void test_builder_noRepoRate() { ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder() .issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)) .issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)) .build(); assertEquals( test.issuerCurveDiscountFactors(ID_ISSUER, GBP), IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER)); assertEquals(test.getValuationDate(), DATE); }
public void test_builder_noValuationDate() { ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder() .issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)) .issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)) .repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)) .repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)) .build(); assertEquals( test.issuerCurveDiscountFactors(ID_ISSUER, GBP), IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER)); assertEquals(test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP), RepoCurveDiscountFactors.of(DSC_FACTORS_REPO, GROUP_REPO_ISSUER)); assertEquals(test.repoCurveDiscountFactors(ID_ISSUER, GBP), RepoCurveDiscountFactors.of(DSC_FACTORS_REPO, GROUP_REPO_ISSUER)); assertEquals(test.getValuationDate(), DATE); }
public void test_builder() { ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder() .issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)) .issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)) .repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)) .repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)) .valuationDate(DATE) .build(); assertEquals( test.issuerCurveDiscountFactors(ID_ISSUER, GBP), IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER)); assertEquals(test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP), RepoCurveDiscountFactors.of(DSC_FACTORS_REPO, GROUP_REPO_SECURITY)); assertThrowsIllegalArg(() -> test.repoCurveDiscountFactors(ID_ISSUER, GBP)); assertEquals(test.getValuationDate(), DATE); }
@Override public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) { CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty(); for (PointSensitivity point : pointSensitivities.getSensitivities()) { if (point instanceof RepoCurveZeroRateSensitivity) { RepoCurveZeroRateSensitivity pt = (RepoCurveZeroRateSensitivity) point; RepoCurveDiscountFactors factors = repoCurveDiscountFactors(pt.getRepoGroup(), pt.getCurveCurrency()); sens = sens.combinedWith(factors.parameterSensitivity(pt)); } else if (point instanceof IssuerCurveZeroRateSensitivity) { IssuerCurveZeroRateSensitivity pt = (IssuerCurveZeroRateSensitivity) point; IssuerCurveDiscountFactors factors = issuerCurveDiscountFactors(pt.getLegalEntityGroup(), pt.getCurveCurrency()); sens = sens.combinedWith(factors.parameterSensitivity(pt)); } } return sens; }
public void test_discountFactor_notFound() { LegalEntityId issuerId = LegalEntityId.of("OG-Ticker", "Issuer-2"); LegalEntityGroup issuerGroup = LegalEntityGroup.of("ISSUER2"); RepoGroup repoGroup = RepoGroup.of("ISSUER2 BND 5Y"); SecurityId securityId = SecurityId.of("OG-Ticker", "Issuer-2-bond-5Y"); ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder() .issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)) .issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER, issuerId, issuerGroup)) .repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)) .repoCurveGroups(ImmutableMap.of(issuerId, repoGroup)) .repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)) .valuationDate(DATE) .build(); assertThrowsIllegalArg(() -> test.issuerCurveDiscountFactors(ID_ISSUER, USD)); assertThrowsIllegalArg(() -> test.issuerCurveDiscountFactors(LegalEntityId.of("OG-Ticker", "foo"), GBP)); assertThrowsIllegalArg(() -> test.issuerCurveDiscountFactors(issuerId, GBP)); assertThrowsIllegalArg(() -> test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, USD)); assertThrowsIllegalArg(() -> test.repoCurveDiscountFactors( SecurityId.of("OG-Ticker", "foo-bond"), LegalEntityId.of("OG-Ticker", "foo"), GBP)); assertThrowsIllegalArg(() -> test.repoCurveDiscountFactors(securityId, issuerId, GBP)); }
public void test_curveParameterSensitivity() { ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder() .issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)) .issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)) .repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)) .repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)) .valuationDate(DATE) .build(); LocalDate refDate = date(2018, 11, 24); IssuerCurveZeroRateSensitivity sensi1 = test.issuerCurveDiscountFactors(ID_ISSUER, GBP) .zeroRatePointSensitivity(refDate, GBP); RepoCurveZeroRateSensitivity sensi2 = test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP) .zeroRatePointSensitivity(refDate, GBP); PointSensitivities sensi = PointSensitivities.of(sensi1, sensi2); CurrencyParameterSensitivities computed = test.parameterSensitivity(sensi); CurrencyParameterSensitivities expected = DSC_FACTORS_ISSUER.parameterSensitivity(sensi1.createZeroRateSensitivity()).combinedWith( DSC_FACTORS_REPO.parameterSensitivity(sensi2.createZeroRateSensitivity())); assertTrue(computed.equalWithTolerance(expected, 1.0e-12)); }
private CurrencyParameterSensitivities fdSensitivity( CapitalIndexedBondPaymentPeriod period, ImmutableRatesProvider ratesProvider, LegalEntityDiscountingProvider issuerRatesProvider) { CurrencyParameterSensitivities sensi1 = FD_CAL.sensitivity( issuerRatesProvider, p -> CurrencyAmount.of( USD, PRICER.presentValue( period, ratesProvider, p.issuerCurveDiscountFactors(CapitalIndexedBondCurveDataSet.getIssuerId(), USD)))); CurrencyParameterSensitivities sensi2 = FD_CAL.sensitivity( ratesProvider, p -> CurrencyAmount.of( USD, PRICER.presentValue( period, p, issuerRatesProvider.issuerCurveDiscountFactors(CapitalIndexedBondCurveDataSet.getIssuerId(), USD)))); return sensi1.combinedWith(sensi2); }
private CurrencyParameterSensitivities fdSensitivityWithZSpread( CapitalIndexedBondPaymentPeriod period, ImmutableRatesProvider ratesProvider, LegalEntityDiscountingProvider issuerRatesProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) { CurrencyParameterSensitivities sensi1 = FD_CAL.sensitivity( issuerRatesProvider, p -> CurrencyAmount.of(USD, PRICER.presentValueWithZSpread( period, ratesProvider, p.issuerCurveDiscountFactors(CapitalIndexedBondCurveDataSet.getIssuerId(), USD), zSpread, compoundedRateType, periodsPerYear))); CurrencyParameterSensitivities sensi2 = FD_CAL.sensitivity( ratesProvider, p -> CurrencyAmount.of( USD, PRICER.presentValueWithZSpread( period, p, issuerRatesProvider.issuerCurveDiscountFactors(CapitalIndexedBondCurveDataSet.getIssuerId(), USD), zSpread, compoundedRateType, periodsPerYear))); return sensi1.combinedWith(sensi2); }