/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.future.provider; import static org.testng.AssertJUnit.assertEquals; import org.testng.annotations.Test; import org.threeten.bp.Period; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition; import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity; import com.opengamma.analytics.financial.interestrate.future.calculator.FuturesPriceHullWhiteIssuerCalculator; import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesSecurity; import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters; import com.opengamma.analytics.financial.provider.calculator.issuer.MarketQuoteCurveSensitivityHullWhiteIssuerCalculator; import com.opengamma.analytics.financial.provider.calculator.issuer.MarketQuoteHullWhiteIssuerCalculator; import com.opengamma.analytics.financial.provider.description.HullWhiteDataSets; import com.opengamma.analytics.financial.provider.description.IssuerProviderDiscountDataSets; import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteIssuerProviderDiscount; import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteIssuerProviderInterface; import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount; import com.opengamma.analytics.financial.provider.sensitivity.issuer.SimpleParameterSensitivityHullWhiteIssuerDiscountInterpolatedFDCalculator; import com.opengamma.analytics.financial.provider.sensitivity.issuer.SimpleParameterSensitivityIssuerCalculator; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity; import com.opengamma.analytics.financial.schedule.ScheduleCalculator; import com.opengamma.analytics.financial.util.AssertSensitivityObjects; import com.opengamma.financial.convention.businessday.BusinessDayConvention; import com.opengamma.financial.convention.businessday.BusinessDayConventions; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.financial.convention.calendar.MondayToFridayCalendar; import com.opengamma.financial.convention.daycount.DayCount; import com.opengamma.financial.convention.daycount.DayCounts; import com.opengamma.financial.convention.yield.YieldConvention; import com.opengamma.financial.convention.yield.YieldConventionFactory; import com.opengamma.util.money.Currency; import com.opengamma.util.test.TestGroup; import com.opengamma.util.time.DateUtils; import com.opengamma.util.tuple.Pair; /** * Tests related to the bond future figures computed with the Hull-White one factor model for the delivery option. */ @Test(groups = TestGroup.UNIT) public class BondFuturesSecurityHullWhiteMethodTest { private final static IssuerProviderDiscount ISSUER_MULTICURVES = IssuerProviderDiscountDataSets.getIssuerSpecificProvider(); private final static String[] ISSUER_NAMES = IssuerProviderDiscountDataSets.getIssuerNames(); // 5-Year U.S. Treasury Note Futures: FVU1 private static final Currency USD = Currency.USD; private static final Period PAYMENT_TENOR = Period.ofMonths(6); private static final Calendar CALENDAR = new MondayToFridayCalendar("A"); private static final String US_GOVT = ISSUER_NAMES[0]; // private static final Pair<String, Currency> ISSUER_CCY = Pairs.of(US_GOVT, USD); private static final DayCount DAY_COUNT = DayCounts.ACT_ACT_ICMA; private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.FOLLOWING; private static final boolean IS_EOM = false; private static final int SETTLEMENT_DAYS = 1; private static final YieldConvention YIELD_CONVENTION = YieldConventionFactory.INSTANCE.getYieldConvention("STREET CONVENTION"); private static final int NB_BOND = 7; private static final Period[] BOND_TENOR = new Period[] {Period.ofYears(5), Period.ofYears(5), Period.ofYears(5), Period.ofYears(8), Period.ofYears(5), Period.ofYears(5), Period.ofYears(5) }; private static final ZonedDateTime[] START_ACCRUAL_DATE = new ZonedDateTime[] {DateUtils.getUTCDate(2010, 11, 30), DateUtils.getUTCDate(2010, 12, 31), DateUtils.getUTCDate(2011, 1, 31), DateUtils.getUTCDate(2008, 2, 29), DateUtils.getUTCDate(2011, 3, 31), DateUtils.getUTCDate(2011, 4, 30), DateUtils.getUTCDate(2011, 5, 31) }; private static final double[] RATE = new double[] {0.01375, 0.02125, 0.0200, 0.02125, 0.0225, 0.0200, 0.0175 }; private static final double[] CONVERSION_FACTOR = new double[] {.8317, .8565, .8493, .8516, .8540, .8417, .8292 }; private static final ZonedDateTime[] MATURITY_DATE = new ZonedDateTime[NB_BOND]; private static final BondFixedSecurityDefinition[] BASKET_DEFINITION = new BondFixedSecurityDefinition[NB_BOND]; static { for (int loopbasket = 0; loopbasket < NB_BOND; loopbasket++) { MATURITY_DATE[loopbasket] = START_ACCRUAL_DATE[loopbasket].plus(BOND_TENOR[loopbasket]); BASKET_DEFINITION[loopbasket] = BondFixedSecurityDefinition.from(USD, MATURITY_DATE[loopbasket], START_ACCRUAL_DATE[loopbasket], PAYMENT_TENOR, RATE[loopbasket], SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, BUSINESS_DAY, YIELD_CONVENTION, IS_EOM, US_GOVT); } } private static final ZonedDateTime LAST_TRADING_DATE = DateUtils.getUTCDate(2011, 9, 30); private static final ZonedDateTime FIRST_NOTICE_DATE = DateUtils.getUTCDate(2011, 8, 31); private static final ZonedDateTime LAST_NOTICE_DATE = DateUtils.getUTCDate(2011, 10, 4); private static final ZonedDateTime FIRST_DELIVERY_DATE = ScheduleCalculator.getAdjustedDate(FIRST_NOTICE_DATE, SETTLEMENT_DAYS, CALENDAR); private static final ZonedDateTime LAST_DELIVERY_DATE = ScheduleCalculator.getAdjustedDate(LAST_NOTICE_DATE, SETTLEMENT_DAYS, CALENDAR); private static final double NOTIONAL = 100000; private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 6, 20); private static final DayCount ACT_ACT = DayCounts.ACT_ACT_ISDA; private static final double LAST_TRADING_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, LAST_TRADING_DATE); private static final double FIRST_NOTICE_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, FIRST_NOTICE_DATE); private static final double LAST_NOTICE_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, LAST_NOTICE_DATE); private static final double FIRST_DELIVERY_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, FIRST_DELIVERY_DATE); private static final double LAST_DELIVERY_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, LAST_DELIVERY_DATE); private static final BondFixedSecurity[] BASKET_AT_DELIVERY = new BondFixedSecurity[NB_BOND]; private static final BondFixedSecurity[] BASKET_AT_SPOT = new BondFixedSecurity[NB_BOND]; static { for (int loopbasket = 0; loopbasket < NB_BOND; loopbasket++) { BASKET_AT_DELIVERY[loopbasket] = BASKET_DEFINITION[loopbasket].toDerivative(REFERENCE_DATE, LAST_DELIVERY_DATE); BASKET_AT_SPOT[loopbasket] = BASKET_DEFINITION[loopbasket].toDerivative(REFERENCE_DATE); } } private static final BondFuturesSecurity BOND_FUTURE_SEC = new BondFuturesSecurity(LAST_TRADING_TIME, FIRST_NOTICE_TIME, LAST_NOTICE_TIME, FIRST_DELIVERY_TIME, LAST_DELIVERY_TIME, NOTIONAL, BASKET_AT_DELIVERY, BASKET_AT_SPOT, CONVERSION_FACTOR); private static final HullWhiteOneFactorPiecewiseConstantParameters PARAMETERS_HW = HullWhiteDataSets.createHullWhiteParameters(); private static final HullWhiteIssuerProviderDiscount MULTICURVES_HW_ISSUER = new HullWhiteIssuerProviderDiscount(ISSUER_MULTICURVES, PARAMETERS_HW); private static final MarketQuoteHullWhiteIssuerCalculator MQC = MarketQuoteHullWhiteIssuerCalculator.getInstance(); private static final MarketQuoteCurveSensitivityHullWhiteIssuerCalculator MQCSC = MarketQuoteCurveSensitivityHullWhiteIssuerCalculator.getInstance(); private static final SimpleParameterSensitivityIssuerCalculator<HullWhiteIssuerProviderInterface> SPS_HW_C = new SimpleParameterSensitivityIssuerCalculator<>(MQCSC); private static final double SHIFT = 1.0E-7; private static final SimpleParameterSensitivityHullWhiteIssuerDiscountInterpolatedFDCalculator SPS_HW_FDC = new SimpleParameterSensitivityHullWhiteIssuerDiscountInterpolatedFDCalculator(MQC, SHIFT); private static final BondFuturesSecurityHullWhiteMethod METHOD_FUT_SEC_HW = BondFuturesSecurityHullWhiteMethod.getInstance(); private static final BondFuturesSecurityHullWhiteNumericalIntegrationMethod METHOD_FUT_SEC_NI = BondFuturesSecurityHullWhiteNumericalIntegrationMethod.getInstance(); private static final FuturesPriceHullWhiteIssuerCalculator FPHWIC = FuturesPriceHullWhiteIssuerCalculator.getInstance(); private static final double TOLERANCE_PRICE = 1.0E-8; private static final double TOLERANCE_PRICE_NI = 1.0E-6; private static final double TOLERANCE_PRICE_DELTA = 1.0E-6; @Test /** * Test price by explicit formula versus a numerical integration. */ public void price() { final double priceExplicit = METHOD_FUT_SEC_HW.price(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); final double priceNumInteg = METHOD_FUT_SEC_NI.price(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); assertEquals("Bond future security Discounting Method: price from curves", priceExplicit, priceNumInteg, TOLERANCE_PRICE_NI); } @Test public void priceMethodVsCalculator() { final double priceMethod = METHOD_FUT_SEC_HW.price(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); final double priceCalculator = BOND_FUTURE_SEC.accept(MQC, MULTICURVES_HW_ISSUER); assertEquals("Bond future security Discounting Method: price from curves", priceCalculator, priceMethod, TOLERANCE_PRICE); } @Test public void price6() { final HullWhiteIssuerProviderDiscount hwIssuer6 = new HullWhiteIssuerProviderDiscount(IssuerProviderDiscountDataSets.createIssuerProvider6(), PARAMETERS_HW); final double priceMethod = METHOD_FUT_SEC_HW.price(BOND_FUTURE_SEC, hwIssuer6); final double priceExpected = 1.00; // Rates are at 6% assertEquals("Bond future security Discounting Method: price from curves", priceExpected, priceMethod, 5.0E-3); } @Test public void priceCurveSensitivity() { final SimpleParameterSensitivity pcsAD = SPS_HW_C.calculateSensitivity(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER, MULTICURVES_HW_ISSUER.getIssuerProvider().getAllNames()); final SimpleParameterSensitivity pcsFD = SPS_HW_FDC.calculateSensitivity(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); AssertSensitivityObjects.assertEquals("Bond future security Discounting Method: price from curves", pcsAD, pcsFD, TOLERANCE_PRICE_DELTA); } @Test public void priceCurveSensitivityMethodVsCalculator() { final MulticurveSensitivity pcsMethod = METHOD_FUT_SEC_HW.priceCurveSensitivity(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); final MulticurveSensitivity pcsCalculator = BOND_FUTURE_SEC.accept(MQCSC, MULTICURVES_HW_ISSUER); AssertSensitivityObjects.assertEquals("Bond future security Discounting Method: price from curves", pcsCalculator, pcsMethod, TOLERANCE_PRICE_DELTA); } @Test /** * Test price and price curve sensitivity as one result using AD. */ public void priceAD() { final double price = METHOD_FUT_SEC_HW.price(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); final MulticurveSensitivity pcs = METHOD_FUT_SEC_HW.priceCurveSensitivity(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); final Pair<Double, MulticurveSensitivity> priceAD = METHOD_FUT_SEC_HW.priceAD(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); assertEquals("Bond future security Discounting Method: price from curves", price, priceAD.getFirst(), TOLERANCE_PRICE); AssertSensitivityObjects.assertEquals("Bond future security Discounting Method: price from curves", pcs, priceAD.getSecond(), TOLERANCE_PRICE_DELTA); } @Test(enabled = false) /** * Tests of performance. "enabled = false" for the standard testing. */ public void performance() { long startTime, endTime; final int nbTest = 10000; @SuppressWarnings("unused") double priceFuture = 0.0; @SuppressWarnings("unused") MulticurveSensitivity pcs; @SuppressWarnings("unused") Pair<Double, MulticurveSensitivity> priceAD; startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { priceFuture = METHOD_FUT_SEC_HW.price(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); } endTime = System.currentTimeMillis(); System.out.println("BondFuturesSecurityHullWhiteMethodTest: " + nbTest + " price Bond Future Hull-White (Default number of points): " + (endTime - startTime) + " ms"); // Performance note: HW price: 30-Dec-13: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 4100 ms for 10000 futures. startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { pcs = METHOD_FUT_SEC_HW.priceCurveSensitivity(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); } endTime = System.currentTimeMillis(); System.out.println("BondFuturesSecurityHullWhiteMethodTest: " + nbTest + " price curve sensi Bond Future Hull-White (Default number of points): " + (endTime - startTime) + " ms"); // Performance note: HW price: 30-Dec-13: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 4100 ms for 10000 futures. startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { priceAD = METHOD_FUT_SEC_HW.priceAD(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER); } endTime = System.currentTimeMillis(); System.out.println("BondFuturesSecurityHullWhiteMethodTest: " + nbTest + " price and price curve sensi Bond Future Hull-White (Default number of points): " + (endTime - startTime) + " ms"); // Performance note: HW price: 30-Dec-13: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 4100 ms for 10000 futures. } @Test(enabled = false) /** * Tests of performance with different level of precision in the numerical procedure. "enabled = false" for the standard testing. */ public void performanceNbPts() { long startTime, endTime; final int nbTest = 1000; final int[] nbPoint = new int[] {41, 61, 81, 101, 151, 201, 501 }; final int nbRange = nbPoint.length; final double[] priceRange = new double[nbRange]; for (int looprange = 0; looprange < nbRange; looprange++) { startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { priceRange[looprange] = FPHWIC.visitBondFuturesSecurity(BOND_FUTURE_SEC, MULTICURVES_HW_ISSUER, nbPoint[looprange]); } endTime = System.currentTimeMillis(); System.out.println("BondFuturesSecurityHullWhiteMethodTest: " + nbTest + " price Bond Future Hull-White: with " + nbPoint[looprange] + " points: " + (endTime - startTime) + " ms - price: " + priceRange[looprange]); } } }