/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.cash.derivative.Cash;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.financial.convention.businessday.BusinessDayConventions;
import com.opengamma.financial.convention.daycount.DayCounts;
import com.opengamma.financial.convention.yield.SimpleYieldConvention;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
/**
* @deprecated This class tests deprecated functionality.
*/
@Deprecated
@Test(groups = TestGroup.UNIT)
public class PresentValueCouponSensitivityCalculatorTest {
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
private static final PresentValueCouponSensitivityCalculator PVCSC = PresentValueCouponSensitivityCalculator.getInstance();
private static final String FIVE_PC_CURVE_NAME = "5%";
private static final String ZERO_PC_CURVE_NAME = "0%";
private static final YieldCurveBundle CURVES;
private static final double DELTA = 1e-5;
private static final Currency CUR = Currency.EUR;
static {
YieldAndDiscountCurve curve = YieldCurve.from(ConstantDoublesCurve.from(0.05));
CURVES = new YieldCurveBundle();
CURVES.setCurve(FIVE_PC_CURVE_NAME, curve);
curve = YieldCurve.from(ConstantDoublesCurve.from(0.0));
CURVES.setCurve(ZERO_PC_CURVE_NAME, curve);
}
@Test
public void testCash() {
final double t = 7 / 365.0;
final double r = 0.0456;
final double tradeTime = 2.0 / 365.0;
final double yearFrac = 5.0 / 360.0;
final Cash cash = new Cash(CUR, tradeTime, t, 1, r, yearFrac, FIVE_PC_CURVE_NAME);
final Cash cashUp = new Cash(CUR, tradeTime, t, 1, r + DELTA, yearFrac, FIVE_PC_CURVE_NAME);
final Cash cashDown = new Cash(CUR, tradeTime, t, 1, r - DELTA, yearFrac, FIVE_PC_CURVE_NAME);
final double pvUp = cashUp.accept(PVC, CURVES);
final double pvDown = cashDown.accept(PVC, CURVES);
final double temp = (pvUp - pvDown) / 2 / DELTA;
cash.accept(PVCSC, CURVES);
assertEquals(temp, cash.accept(PVCSC, CURVES), 1e-10);
}
@Test
public void testFRA() {
final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCounts.ACT_365,
BusinessDayConventions.FOLLOWING, true);
final double paymentTime = 0.5;
final double fixingPeriodStartTime = paymentTime - 2. / 365;
final double fixingPeriodEndTime = 7. / 12;
final double fixingTime = fixingPeriodStartTime;
final double fixingYearFraction = 31. / 365;
final double paymentYearFraction = 30. / 360;
final double rate = 0.06534;
final ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, FIVE_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
fixingYearFraction, rate, FIVE_PC_CURVE_NAME);
final ForwardRateAgreement fraUp = new ForwardRateAgreement(CUR, paymentTime, FIVE_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
fixingYearFraction, rate + DELTA, FIVE_PC_CURVE_NAME);
final ForwardRateAgreement fraDown = new ForwardRateAgreement(CUR, paymentTime, FIVE_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
fixingYearFraction, rate - DELTA, FIVE_PC_CURVE_NAME);
final double pvUp = fraUp.accept(PVC, CURVES);
final double pvDown = fraDown.accept(PVC, CURVES);
final double temp = (pvUp - pvDown) / 2 / DELTA;
//TODO accuracy is off compared to old FRA definition
assertEquals(temp, fra.accept(PVCSC, CURVES), 1e-5);
}
// @Test
// public void testFutures() {
// final IborIndex iborIndex = new IborIndex(CUR, Period.ofMonths(1), 2, new MondayToFridayCalendar("A"), DayCounts.ACT_365,
// BusinessDayConventions.FOLLOWING, true);
// final double lastTradingTime = 1.468;
// final double fixingPeriodStartTime = 1.467;
// final double fixingPeriodEndTime = 1.75;
// final double fixingPeriodAccrualFactor = 0.267;
// final double paymentAccrualFactor = 0.25;
// final double referencePrice = 0.0; // TODO CASE - Future refactor - referencePrice = 0.0
// // final double rate = 0.0356;
// final int quantity = 123;
// final InterestRateFutureTransaction ir = new InterestRateFutureTransaction(lastTradingTime, iborIndex, fixingPeriodStartTime, fixingPeriodEndTime, fixingPeriodAccrualFactor, referencePrice, 1, paymentAccrualFactor,
// quantity, "A", FIVE_PC_CURVE_NAME, FIVE_PC_CURVE_NAME);
// final InterestRateFutureTransaction irUp = new InterestRateFutureTransaction(lastTradingTime, iborIndex, fixingPeriodStartTime, fixingPeriodEndTime, fixingPeriodAccrualFactor, referencePrice - DELTA, 1,
// paymentAccrualFactor, quantity, "A", FIVE_PC_CURVE_NAME, FIVE_PC_CURVE_NAME);
// final InterestRateFutureTransaction irDown = new InterestRateFutureTransaction(lastTradingTime, iborIndex, fixingPeriodStartTime, fixingPeriodEndTime, fixingPeriodAccrualFactor, referencePrice + DELTA, 1,
// paymentAccrualFactor, quantity, "A", FIVE_PC_CURVE_NAME, FIVE_PC_CURVE_NAME);
// final double pvUp = irUp.accept(PVC, CURVES);
// final double pvDown = irDown.accept(PVC, CURVES);
// final double temp = (pvUp - pvDown) / 2 / DELTA;
// assertEquals(temp, ir.accept(PVCSC, CURVES), 1e-10);
// }
@Test
public void testBond() {
final int n = 20;
final double tau = 0.52;
final double yearFrac = 0.5;
final double coupon = 0.07;
final CouponFixed[] coupons = new CouponFixed[n];
final CouponFixed[] couponsUp = new CouponFixed[n];
final CouponFixed[] couponsDown = new CouponFixed[n];
for (int i = 0; i < n; i++) {
coupons[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon);
couponsUp[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon + DELTA);
couponsDown[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon - DELTA);
}
final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, tau * n, 1, FIVE_PC_CURVE_NAME)});
final BondFixedSecurity bond = new BondFixedSecurity(nominal, new AnnuityCouponFixed(coupons), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
final BondFixedSecurity bondUp = new BondFixedSecurity(nominal, new AnnuityCouponFixed(couponsUp), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
final BondFixedSecurity bondDown = new BondFixedSecurity(nominal, new AnnuityCouponFixed(couponsDown), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
final double pvUp = bondUp.accept(PVC, CURVES);
final double pvDown = bondDown.accept(PVC, CURVES);
final double temp = (pvUp - pvDown) / 2 / DELTA;
assertEquals(temp, bond.accept(PVCSC, CURVES), 1e-10);
}
}