/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.credit.isdastandardmodel;
import static com.opengamma.financial.convention.businessday.BusinessDayDateUtils.addWorkDays;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import com.opengamma.analytics.financial.model.BumpType;
import com.opengamma.util.test.TestGroup;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
public class AnalyticSpreadSensitivityTest extends ISDABaseTest {
private static final AnalyticSpreadSensitivityCalculator ANAL_CS01_CAL = new AnalyticSpreadSensitivityCalculator();
// common data
private static final LocalDate TODAY = LocalDate.of(2013, 4, 21);
private static final LocalDate EFFECTIVE_DATE = TODAY.plusDays(1); // AKA stepin date
private static final LocalDate CASH_SETTLE_DATE = addWorkDays(TODAY, 3, DEFAULT_CALENDAR); // AKA valuation date
// valuation CDS
private static final LocalDate PROTECTION_STATE_DATE = LocalDate.of(2013, 2, 3); // Seasoned CDS
private static final LocalDate PROTECTION_END_DATE = LocalDate.of(2018, 3, 20);
private static final double DEAL_SPREAD = 101;
private static final CDSAnalytic CDS;
// market CDSs
private static final LocalDate[] PAR_SPD_DATES = new LocalDate[] {LocalDate.of(2013, 6, 20), LocalDate.of(2013, 9, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2015, 3, 20),
LocalDate.of(2016, 3, 20), LocalDate.of(2018, 3, 20), LocalDate.of(2023, 3, 20) };
private static final double[] PAR_SPREADS = new double[] {50, 70, 80, 95, 100, 95, 80 };
private static final int NUM_MARKET_CDS = PAR_SPD_DATES.length;
private static final CDSAnalytic[] MARKET_CDS = new CDSAnalytic[NUM_MARKET_CDS];
// yield curve
private static ISDACompliantYieldCurve YIELD_CURVE;
static {
final double flatrate = 0.05;
final double t = 20.0;
YIELD_CURVE = new ISDACompliantYieldCurve(new double[] {t }, new double[] {flatrate });
final boolean payAccOndefault = true;
final Period tenor = Period.ofMonths(3);
final StubType stubType = StubType.FRONTSHORT;
final boolean protectionStart = true;
CDS = new CDSAnalytic(TODAY, EFFECTIVE_DATE, CASH_SETTLE_DATE, PROTECTION_STATE_DATE, PROTECTION_END_DATE, payAccOndefault, tenor, stubType, protectionStart, RECOVERY_RATE);
for (int i = 0; i < NUM_MARKET_CDS; i++) {
MARKET_CDS[i] = new CDSAnalytic(TODAY, EFFECTIVE_DATE, CASH_SETTLE_DATE, TODAY, PAR_SPD_DATES[i], payAccOndefault, tenor, stubType, protectionStart, RECOVERY_RATE);
}
}
@Test
public void Test() {
final double dealSpread = DEAL_SPREAD * ONE_BP;
final double[] mrkSpreads = new double[NUM_MARKET_CDS];
for (int i = 0; i < NUM_MARKET_CDS; i++) {
mrkSpreads[i] = PAR_SPREADS[i] * ONE_BP;
}
// compare with bump and reprice
final double[] an_CS01 = ANAL_CS01_CAL.bucketedCS01FromParSpreads(CDS, dealSpread, YIELD_CURVE, MARKET_CDS, mrkSpreads);
final double[] fd_CS01 = CS01_CAL.bucketedCS01FromParSpreads(CDS, dealSpread, YIELD_CURVE, MARKET_CDS, mrkSpreads, 1e-7, BumpType.ADDITIVE);
final int n = fd_CS01.length;
for (int i = 0; i < n; i++) {
assertEquals(fd_CS01[i], an_CS01[i], 1e-6); // the fd is only forward difference - so accuracy is not great
}
}
/**
*
*/
@Test
public void ParallelCS01FiniteDifferenceComparisonTest() {
final AccrualOnDefaultFormulae form = AccrualOnDefaultFormulae.Correct;
final AnalyticSpreadSensitivityCalculator aCal = new AnalyticSpreadSensitivityCalculator(form);
final FiniteDifferenceSpreadSensitivityCalculator fCal = new FiniteDifferenceSpreadSensitivityCalculator(form);
final double eps = 1.e-6;
final double coupon = 100. * 1.e-4;
final double quotedSpread = 104. * 1.e-4;
final CDSQuoteConvention qSp = new QuotedSpread(coupon, quotedSpread);
final double puf = 0.3;
final double pCS01 = aCal.parallelCS01(CDS, qSp, YIELD_CURVE);
final double pCS01Fin = fCal.parallelCS01(CDS, qSp, YIELD_CURVE, eps);
assertEquals(pCS01Fin, pCS01, Math.abs(pCS01Fin) * eps * 10.);
final double pCS01FromPuf = aCal.parallelCS01FromPUF(CDS, coupon, YIELD_CURVE, puf);
final double pCS01FromPufFin = fCal.parallelCS01FromPUF(CDS, coupon, YIELD_CURVE, puf, eps);
assertEquals(pCS01FromPufFin, pCS01FromPuf, Math.abs(pCS01FromPufFin) * eps * 10.);
final double pCS01FromSpread = aCal.parallelCS01FromSpread(CDS, coupon, YIELD_CURVE, quotedSpread);
final double pCS01FromSpreadFin = fCal.parallelCS01FromSpread(CDS, coupon, YIELD_CURVE, quotedSpread, eps, BumpType.ADDITIVE);
assertEquals(pCS01FromSpreadFin, pCS01FromSpread, Math.abs(pCS01FromSpreadFin) * eps * 10.);
final double pCS01FromEqSpread = aCal.parallelCS01FromSpread(CDS, coupon, YIELD_CURVE, coupon);
final double pCS01FromEqSpreadFin = fCal.parallelCS01FromSpread(CDS, coupon, YIELD_CURVE, coupon, eps, BumpType.ADDITIVE);
assertEquals(pCS01FromEqSpreadFin, pCS01FromEqSpread, Math.abs(pCS01FromEqSpreadFin) * eps * 10.);
}
/**
*
*/
@Test(enabled = false)
public void BucketedCS01FiniteDifferenceComparisonTest() {
//TODO Tests should be added (PLAT-5931) once PLAT-5971 is fixed
final AccrualOnDefaultFormulae form = AccrualOnDefaultFormulae.Correct;
final AnalyticSpreadSensitivityCalculator aCal = new AnalyticSpreadSensitivityCalculator(form);
final FiniteDifferenceSpreadSensitivityCalculator fCal = new FiniteDifferenceSpreadSensitivityCalculator(form);
final ISDACompliantCreditCurveBuilder builder = new FastCreditCurveBuilder(form);
final double eps = 1.e-6;
final double coupon = 100. * 1.e-4;
final double quotedSpread = 104. * 1.e-4;
final CDSQuoteConvention qSp = new QuotedSpread(coupon, quotedSpread);
final double puf = 0.3;
final double[] bCS01FromSpread = aCal.bucketedCS01FromSpread(CDS, coupon, YIELD_CURVE, quotedSpread, MARKET_CDS);
final ISDACompliantCreditCurve curve = builder.calibrateCreditCurve(CDS, quotedSpread, YIELD_CURVE);
final double[] bCS01FromSpreadFin = fCal.bucketedCS01FromCreditCurve(CDS, coupon, MARKET_CDS, YIELD_CURVE, curve, eps);
for (int i = 0; i < NUM_MARKET_CDS; ++i) {
assertEquals(bCS01FromSpreadFin[i], bCS01FromSpread[i], Math.abs(bCS01FromSpreadFin[i]) * eps * 10.);
}
}
}