/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.inflation.provider; import static org.testng.AssertJUnit.assertEquals; import java.util.Arrays; import java.util.HashMap; import java.util.List; import org.testng.annotations.Test; import org.threeten.bp.Period; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationMaster; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationZeroCoupon; import com.opengamma.analytics.financial.instrument.index.IndexPrice; import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinition; import com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinition; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponMonthly; import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap; import com.opengamma.analytics.financial.provider.calculator.inflation.NetAmountInflationCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.ParRateInflationDiscountingCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteDiscountingCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueCurveSensitivityDiscountingInflationCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationCalculator; import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets; import com.opengamma.analytics.financial.provider.description.inflation.InflationIssuerProviderDiscount; import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationProviderInterface; import com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity; import com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity; import com.opengamma.analytics.financial.provider.sensitivity.inflation.ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator; import com.opengamma.analytics.financial.provider.sensitivity.inflation.ParameterSensitivityInflationParameterCalculator; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity; 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.timeseries.DoubleTimeSeries; import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries; import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries; import com.opengamma.util.money.Currency; import com.opengamma.util.money.MultipleCurrencyAmount; import com.opengamma.util.test.TestGroup; import com.opengamma.util.time.DateUtils; import com.opengamma.util.tuple.DoublesPair; /** * Tests the present value and its sensitivities for zero-coupon with reference index on the first of the month. */ @Test(groups = TestGroup.UNIT) public class CouponInflationZeroCouponMonthlyDiscountingMethodTest { private static final InflationIssuerProviderDiscount MARKET = MulticurveProviderDiscountDataSets.createMarket1(); private static final IndexPrice[] PRICE_INDEXES = MARKET.getPriceIndexes().toArray(new IndexPrice[MARKET.getPriceIndexes().size()]); private static final IndexPrice PRICE_INDEX_EUR = PRICE_INDEXES[0]; private static final Calendar CALENDAR_EUR = MulticurveProviderDiscountDataSets.getEURCalendar(); private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.MODIFIED_FOLLOWING; private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2008, 8, 18); private static final Period COUPON_TENOR = Period.ofYears(10); private static final ZonedDateTime PAYMENT_DATE = ScheduleCalculator.getAdjustedDate(START_DATE, COUPON_TENOR, BUSINESS_DAY, CALENDAR_EUR); private static final double NOTIONAL = 98765432; private static final int MONTH_LAG = 3; private static final double INDEX_1MAY_2008 = 108.23; // 3 m before Aug: May / 1 May index = May index: 108.23 private static final ZonedDateTime PRICING_DATE = DateUtils.getUTCDate(2011, 8, 3); private static final CouponInflationZeroCouponMonthlyDefinition ZERO_COUPON_NO_DEFINITION = CouponInflationZeroCouponMonthlyDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX_EUR, MONTH_LAG, MONTH_LAG, false); private static final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2011, 5, 31), DateUtils.getUTCDate(2018, 5, 31), DateUtils.getUTCDate(2018, 6, 30) }, new double[] {108.23, 115.0, 128.23, 128.43 }); private static final CouponInflationZeroCouponMonthly ZERO_COUPON_NO = (CouponInflationZeroCouponMonthly) ZERO_COUPON_NO_DEFINITION.toDerivative(PRICING_DATE, priceIndexTS); private static final CouponInflationZeroCouponMonthlyDefinition ZERO_COUPON_WITH_DEFINITION = CouponInflationZeroCouponMonthlyDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX_EUR, MONTH_LAG, MONTH_LAG, true); private static final CouponInflationZeroCouponMonthly ZERO_COUPON_WITH = (CouponInflationZeroCouponMonthly) ZERO_COUPON_WITH_DEFINITION.toDerivative(PRICING_DATE, priceIndexTS); private static final double SHIFT_FD = 1.0E-7; private static final double TOLERANCE_PV = 1.0E-2; private static final double TOLERANCE_PV_DELTA = 1.0E+2; private static final CouponInflationZeroCouponMonthlyDiscountingMethod METHOD = new CouponInflationZeroCouponMonthlyDiscountingMethod(); private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance(); private static final NetAmountInflationCalculator NAIC = NetAmountInflationCalculator.getInstance(); private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDC = PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance(); private static final ParameterSensitivityInflationParameterCalculator<ParameterInflationProviderInterface> PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDC); private static final ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator PS_PV_FDC = new ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator(PVIC, SHIFT_FD); // Calculator and swap generator for the test of the parspread private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQDC = ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance(); private static final ParRateInflationDiscountingCalculator PRIDC = ParRateInflationDiscountingCalculator.getInstance(); private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQSDC = ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance(); private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFLATION_SWAP = GeneratorSwapFixedInflationMaster.getInstance().getGenerator("EURHICP"); private static final double MARKET_QUOTE = 0.017381814641219; private static final GeneratorAttributeIR GENERATOR = new GeneratorAttributeIR(Period.ofYears(10)); private static final SwapFixedInflationZeroCouponDefinition SWAP_DEFINITION = GENERATOR_INFLATION_SWAP .generateInstrument(PRICING_DATE, MARKET_QUOTE, NOTIONAL, GENERATOR); private static final InstrumentDerivative SWAP_DERIVATIVE = SWAP_DEFINITION.toDerivative(PRICING_DATE, new ZonedDateTimeDoubleTimeSeries[] {(ZonedDateTimeDoubleTimeSeries) priceIndexTS, (ZonedDateTimeDoubleTimeSeries) priceIndexTS }); @Test public void parSpreadOnASwap() { final double parSpread = SWAP_DERIVATIVE.accept(PSIMQDC, MARKET.getInflationProvider()); final Swap<?, ?> swap = (Swap<?, ?>) SWAP_DERIVATIVE; final double estimatedPriceIndex = MARKET.getInflationProvider().getPriceIndex(PRICE_INDEX_EUR, ((CouponInflationZeroCouponMonthly) swap.getSecondLeg().getNthPayment(0)).getReferenceEndTime()); final double indexStartValue = ((CouponInflationZeroCouponMonthly) swap.getSecondLeg().getNthPayment(0)).getIndexStartValue(); final Double parSpreadCalculated = Math.pow(estimatedPriceIndex / indexStartValue, 1.0 / 10.0) - 1 - MARKET_QUOTE; assertEquals("Zero-coupon inflation DiscountingMethod: par spread", parSpread, parSpreadCalculated, 10e-8); } @Test public void parRateOnASwap() { double parRate = SWAP_DERIVATIVE.accept(PRIDC, MARKET.getInflationProvider()); SwapFixedInflationZeroCouponDefinition swap0Definition = GENERATOR_INFLATION_SWAP .generateInstrument(PRICING_DATE, parRate, NOTIONAL, GENERATOR); InstrumentDerivative swap0 = swap0Definition.toDerivative(PRICING_DATE, new ZonedDateTimeDoubleTimeSeries[] {(ZonedDateTimeDoubleTimeSeries) priceIndexTS, (ZonedDateTimeDoubleTimeSeries) priceIndexTS }); double pv = swap0.accept(PVIC, MARKET.getInflationProvider()).getAmount(Currency.EUR); assertEquals("Zero-coupon inflation DiscountingMethod: par rate", pv, 0, TOLERANCE_PV); } @Test public void parSpreadSensitivityOnASwap() { final InflationSensitivity parSpreadSensitivity = SWAP_DERIVATIVE.accept(PSIMQSDC, MARKET.getInflationProvider()); final CouponInflationZeroCouponMonthly secondLeg = (CouponInflationZeroCouponMonthly) (((Swap<?, ?>) SWAP_DERIVATIVE).getSecondLeg().getNthPayment(0)); final double estimatedPriceIndex = MARKET.getInflationProvider().getPriceIndex(PRICE_INDEX_EUR, secondLeg.getReferenceEndTime()); final double indexStartvalue = secondLeg.getIndexStartValue(); final HashMap<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>(); final DoublesPair[] sensi = {DoublesPair.of(secondLeg.getReferenceEndTime(), 1 / indexStartvalue * 1.0 / 10.0 * Math.pow(estimatedPriceIndex / indexStartvalue, 1.0 / 10.0 - 1.0)) }; final List<DoublesPair> sensiList = Arrays.asList(sensi); sensitivityPriceCurve.put(PRICE_INDEX_EUR.getName(), sensiList); final InflationSensitivity parSpreadSensitivityCalculated = InflationSensitivity.ofPriceIndex(sensitivityPriceCurve); AssertSensitivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueCurveSensitivity ", parSpreadSensitivity, parSpreadSensitivityCalculated, 10e-8); } /** * Tests the present value. */ @Test public void presentValueNoNotional() { final MultipleCurrencyAmount pv = METHOD.presentValue(ZERO_COUPON_NO, MARKET.getInflationProvider()); final double df = MARKET.getCurve(ZERO_COUPON_NO.getCurrency()).getDiscountFactor(ZERO_COUPON_NO.getPaymentTime()); final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_NO.getReferenceEndTime()); final double pvExpected = (finalIndex / INDEX_1MAY_2008 - 1) * df * NOTIONAL; assertEquals("Zero-coupon inflation DiscountingMethod: Present value", pvExpected, pv.getAmount(ZERO_COUPON_NO.getCurrency()), TOLERANCE_PV); } /** * Tests the net amount. */ @Test public void netAmountNoNotional() { final MultipleCurrencyAmount pv = METHOD.netAmount(ZERO_COUPON_NO, MARKET.getInflationProvider()); final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_NO.getReferenceEndTime()); final double naExpected = (finalIndex / INDEX_1MAY_2008 - 1) * NOTIONAL; assertEquals("Zero-coupon inflation DiscountingMethod: net amount", naExpected, pv.getAmount(ZERO_COUPON_NO.getCurrency()), TOLERANCE_PV); } /** * Tests the present value: Method vs Calculator. */ @Test public void presentValueMethodVsCalculator() { final MultipleCurrencyAmount pvMethod = METHOD.presentValue(ZERO_COUPON_NO, MARKET.getInflationProvider()); final MultipleCurrencyAmount pvCalculator = ZERO_COUPON_NO.accept(PVIC, MARKET.getInflationProvider()); assertEquals("Zero-coupon inflation DiscountingMethod: Present value", pvMethod, pvCalculator); } /** * Tests the present value. */ @Test public void presentValueWithNotional() { final MultipleCurrencyAmount pv = METHOD.presentValue(ZERO_COUPON_WITH, MARKET.getInflationProvider()); final double df = MARKET.getCurve(ZERO_COUPON_WITH.getCurrency()).getDiscountFactor(ZERO_COUPON_WITH.getPaymentTime()); final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_WITH.getReferenceEndTime()); final double pvExpected = (finalIndex / INDEX_1MAY_2008) * df * NOTIONAL; assertEquals("Zero-coupon inflation DiscountingMethod: Present value", pvExpected, pv.getAmount(ZERO_COUPON_WITH.getCurrency()), TOLERANCE_PV); } /** * Tests the net amount. */ @Test public void netAmountWithNotional() { final MultipleCurrencyAmount pv = METHOD.netAmount(ZERO_COUPON_WITH, MARKET.getInflationProvider()); final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_WITH.getReferenceEndTime()); final double pvExpected = (finalIndex / INDEX_1MAY_2008) * NOTIONAL; assertEquals("Zero-coupon inflation DiscountingMethod: net amount", pvExpected, pv.getAmount(ZERO_COUPON_WITH.getCurrency()), TOLERANCE_PV); } /** * Tests the net amount: Method vs Calculator. */ @Test public void netAmountMethodVsCalculator() { final MultipleCurrencyAmount pvMethod = METHOD.netAmount(ZERO_COUPON_NO, MARKET.getInflationProvider()); final MultipleCurrencyAmount pvCalculator = ZERO_COUPON_NO.accept(NAIC, MARKET.getInflationProvider()); assertEquals("Zero-coupon inflation DiscountingMethod: Net amount", pvMethod, pvCalculator); } /** * Test the present value curves sensitivity. */ @Test public void presentValueCurveSensitivityWithNotional() { final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(ZERO_COUPON_WITH, MARKET.getInflationProvider()); final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(ZERO_COUPON_WITH, MARKET.getInflationProvider()); AssertSensitivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA); } /** * Test the present value curves sensitivity. */ @Test public void presentValueCurveSensitivityNoNotional() { final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(ZERO_COUPON_NO, MARKET.getInflationProvider()); final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(ZERO_COUPON_NO, MARKET.getInflationProvider()); AssertSensitivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA); } @Test public void presentValueMarketSensitivityMethodVsCalculatorNoNotional() { final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(ZERO_COUPON_NO, MARKET.getInflationProvider()); final MultipleCurrencyInflationSensitivity pvcisCalculator = ZERO_COUPON_NO.accept(PVCSDC, MARKET.getInflationProvider()); AssertSensitivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA); } @Test public void presentValueMarketSensitivityMethodVsCalculatorWithNotional() { final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(ZERO_COUPON_WITH, MARKET.getInflationProvider()); final MultipleCurrencyInflationSensitivity pvcisCalculator = ZERO_COUPON_WITH.accept(PVCSDC, MARKET.getInflationProvider()); AssertSensitivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA); } }