/**
* 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.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModel;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.ConvexityAdjustmentHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.MarketQuoteCurveSensitivityHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.MarketQuoteHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.ParRateHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.sensitivity.hullwhite.SimpleParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.SimpleParameterSensitivityParameterCalculator;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.financial.util.AssertSensitivityObjects;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests for the methods related to interest rate securities pricing with Hull-White model convexity adjustment.
*/
@Test(groups = TestGroup.UNIT)
public class InterestRateFutureSecurityHullWhiteMethodTest {
private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex[] INDEX_LIST = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd();
private static final IborIndex EURIBOR3M = INDEX_LIST[0];
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
// Future
private static final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtils.getUTCDate(2012, 9, 19);
private static final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, -EURIBOR3M.getSpotLag(), CALENDAR);
private static final double NOTIONAL = 1000000.0; // 1m
private static final double FUTURE_FACTOR = 0.25;
private static final String NAME = "ERU2";
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 5, 12);
private static final InterestRateFutureSecurityDefinition ERU2_DEFINITION = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, EURIBOR3M, NOTIONAL, FUTURE_FACTOR, NAME, CALENDAR);
private static final InterestRateFutureSecurity ERU2 = ERU2_DEFINITION.toDerivative(REFERENCE_DATE);
private static final double MEAN_REVERSION = 0.01;
private static final double[] VOLATILITY = new double[] {0.01, 0.011, 0.012, 0.013, 0.014 };
private static final double[] VOLATILITY_TIME = new double[] {0.5, 1.0, 2.0, 5.0 };
private static final HullWhiteOneFactorPiecewiseConstantParameters MODEL_PARAMETERS = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
private static final HullWhiteOneFactorProviderDiscount HW_MULTICURVES = new HullWhiteOneFactorProviderDiscount(MULTICURVES, MODEL_PARAMETERS, EUR);
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL = new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
private static final InterestRateFutureSecurityHullWhiteMethod METHOD_IRFUT_HW = InterestRateFutureSecurityHullWhiteMethod.getInstance();
private static final MarketQuoteHullWhiteCalculator MQHWC = MarketQuoteHullWhiteCalculator.getInstance();
private static final MarketQuoteCurveSensitivityHullWhiteCalculator MQCSHWC = MarketQuoteCurveSensitivityHullWhiteCalculator.getInstance();
private static final ConvexityAdjustmentHullWhiteCalculator CAHWC = ConvexityAdjustmentHullWhiteCalculator.getInstance();
private static final ParRateHullWhiteCalculator PRHWC = ParRateHullWhiteCalculator.getInstance();
private static final double SHIFT_FD = 1.0E-6;
private static final SimpleParameterSensitivityParameterCalculator<HullWhiteOneFactorProviderInterface> SPSHWC = new SimpleParameterSensitivityParameterCalculator<>(
MQCSHWC);
private static final SimpleParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator SPSHWC_FD = new SimpleParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(MQHWC, SHIFT_FD);
private static final double TOLERANCE_PRICE = 1.0E-10;
private static final double TOLERANCE_PRICE_DELTA = 1.0E-8;
@Test
/**
* Test the price computed from the curves and HW parameters.
*/
public void price() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double forward = MULTICURVES.getSimplyCompoundForwardRate(EURIBOR3M, ERU2.getFixingPeriodStartTime(), ERU2.getFixingPeriodEndTime(), ERU2.getFixingPeriodAccrualFactor());
final double factor = MODEL.futuresConvexityFactor(MODEL_PARAMETERS, ERU2.getTradingLastTime(), ERU2.getFixingPeriodStartTime(), ERU2.getFixingPeriodEndTime());
final double expectedPrice = 1.0 - factor * forward + (1 - factor) / ERU2.getFixingPeriodAccrualFactor();
assertEquals("InterestRateFutureSecurityHullWhiteProviderMethod: price", expectedPrice, price, TOLERANCE_PRICE);
}
@Test
/**
* Test the par rate computed from the curves and HW parameters. Par rate = 1-price.
*/
public void parRate() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double parRateExpected = 1.0d - price;
final double parRateComputed = METHOD_IRFUT_HW.parRate(ERU2, HW_MULTICURVES);
assertEquals("InterestRateFutureSecurityHullWhiteProviderMethod: parRate", parRateExpected, parRateComputed, TOLERANCE_PRICE);
}
@Test
/**
* Test the par rate computed from the method and the calculator.
*/
public void parRateMethodVsCalculator() {
final double parRateMethod = METHOD_IRFUT_HW.parRate(ERU2, HW_MULTICURVES);
final double parRateCalculator = ERU2.accept(PRHWC, HW_MULTICURVES);
assertEquals("InterestRateFutureSecurityHullWhiteProviderMethod: parRate", parRateMethod, parRateCalculator, TOLERANCE_PRICE);
}
@Test
/**
* Test the price as "MarketQuote"
*/
public void marketQuote() {
final double priceMethod = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double marketQuote = ERU2.accept(MQHWC, HW_MULTICURVES);
assertEquals("InterestRateFutureSecurityHullWhiteProviderMethod: price", priceMethod, marketQuote, TOLERANCE_PRICE);
}
@Test
/**
* Test the convexity adjustment
*/
public void convexityAdjustment() {
final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES);
final double forward = MULTICURVES.getSimplyCompoundForwardRate(EURIBOR3M, ERU2.getFixingPeriodStartTime(), ERU2.getFixingPeriodEndTime(), ERU2.getFixingPeriodAccrualFactor());
final double convexityAdjustment = METHOD_IRFUT_HW.convexityAdjustment(ERU2, HW_MULTICURVES);
assertEquals("InterestRateFutureSecurityHullWhiteProviderMethod: convexity adjustment", price - (1.0d - forward), convexityAdjustment, TOLERANCE_PRICE);
final double caCalculator = ERU2.accept(CAHWC, HW_MULTICURVES);
assertEquals("DeliverableSwapFuturesSecurityDefinition: convexity adjustment", caCalculator, convexityAdjustment, TOLERANCE_PRICE);
}
@Test
/**
* Test the price curve sensitivity versus a finite difference computation.
*/
public void priceCurveSensitivity() {
final SimpleParameterSensitivity pcsExact = SPSHWC.calculateSensitivity(ERU2, HW_MULTICURVES, MULTICURVES.getAllNames());
final SimpleParameterSensitivity pcsFD = SPSHWC_FD.calculateSensitivity(ERU2, HW_MULTICURVES);
AssertSensitivityObjects.assertEquals("DeliverableSwapFuturesSecurityHullWhiteMethod: priceCurveSensitivity", pcsExact, pcsFD, TOLERANCE_PRICE_DELTA);
}
}