SwapFuturesPriceDeliverableSecurityDiscountingMethodTest.java example

Explorer
OG-Platform-master
- projects
- sesame
/**
 * Copyright (C) 2014 - 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.future.SwapFuturesPriceDeliverableSecurityDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.future.calculator.FuturesPriceMulticurveCalculator;
import com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableSecurity;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;

/**
 * Tests related to the pricing of deliverable interest rate swap futures as traded on CME.
 */
@Test(groups = TestGroup.UNIT)
public class SwapFuturesPriceDeliverableSecurityDiscountingMethodTest {

  private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
  private static final IborIndex[] INDEX_LIST = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd();
  private static final IborIndex USDLIBOR3M = INDEX_LIST[2];
  private static final Currency USD = USDLIBOR3M.getCurrency();
  private static final Calendar NYC = MulticurveProviderDiscountDataSets.getUSDCalendar();
  private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GeneratorSwapFixedIborMaster.getInstance().getGenerator("USD6MLIBOR3M", NYC);
  private static final ZonedDateTime EFFECTIVE_DATE = DateUtils.getUTCDate(2012, 12, 19);
  private static final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(EFFECTIVE_DATE, -USD6MLIBOR3M.getSpotLag(), NYC);
  private static final Period TENOR = Period.ofYears(10);
  private static final double NOTIONAL = 100000;
  private static final double RATE = 0.0175;
  private static final SwapFixedIborDefinition SWAP_DEFINITION = SwapFixedIborDefinition.from(EFFECTIVE_DATE, TENOR, USD6MLIBOR3M, 1.0, RATE, false);
  private static final SwapFuturesPriceDeliverableSecurityDefinition SWAP_FUTURES_SECURITY_DEFINITION = new SwapFuturesPriceDeliverableSecurityDefinition(LAST_TRADING_DATE, SWAP_DEFINITION, NOTIONAL);

  private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 9, 20);
  private static final SwapFuturesPriceDeliverableSecurity SWAP_FUTURES_SECURITY = SWAP_FUTURES_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE);

  private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
  private static final FuturesPriceMulticurveCalculator FPMC = FuturesPriceMulticurveCalculator.getInstance();
  private static final double TOLERANCE_PRICE = 1.0E-10;

  @Test
  public void price() {
    final MultipleCurrencyAmount pvSwap = SWAP_FUTURES_SECURITY.getUnderlyingSwap().accept(PVDC, MULTICURVES);
    final double priceExpected = 1.0d + pvSwap.getAmount(USD) / MULTICURVES.getMulticurveProvider().getDiscountFactor(SWAP_FUTURES_SECURITY.getCurrency(), SWAP_FUTURES_SECURITY.getDeliveryTime());
    final double priceComputed = SWAP_FUTURES_SECURITY.accept(FPMC, MULTICURVES);
    assertEquals("DeliverableSwapFuturesSecurityDefinition: price", priceExpected, priceComputed, TOLERANCE_PRICE);
  }

}