/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.provider;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.payment.CouponIborGearingDefinition;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueCurveSensitivityDiscountingCalculator;
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.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.financial.util.AssertSensitivityObjects;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCounts;
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 and sensitivities of Ibor coupon with gearing factor and spread in the discounting method.
*/
@Test(groups = TestGroup.UNIT)
public class CouponIborGearingDiscountingMarketMethodTest {
private static final MulticurveProviderDiscount PROVIDER = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex[] IBOR_INDEXES = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd();
private static final IborIndex EURIBOR3M = IBOR_INDEXES[0];
private static final Calendar CALENDAR_EUR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final DayCount DAY_COUNT_COUPON = DayCounts.ACT_365;
private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 5, 23);
private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 8, 22);
private static final double ACCRUAL_FACTOR = DAY_COUNT_COUPON.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double NOTIONAL = 1000000; //1m
private static final double FACTOR = 2.0;
private static final double SPREAD = 0.0050;
private static final ZonedDateTime FIXING_DATE = ScheduleCalculator.getAdjustedDate(ACCRUAL_START_DATE, -EURIBOR3M.getSpotLag(), CALENDAR_EUR);
private static final CouponIborGearingDefinition COUPON_DEFINITION = new CouponIborGearingDefinition(EURIBOR3M.getCurrency(), ACCRUAL_END_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR,
NOTIONAL, FIXING_DATE, EURIBOR3M, SPREAD, FACTOR, CALENDAR_EUR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 12, 27);
private static final CouponIborGearing COUPON = COUPON_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CouponIborGearingDiscountingMethod METHOD = CouponIborGearingDiscountingMethod.getInstance();
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC = PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final ParameterSensitivityParameterCalculator<ParameterProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC);
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityMulticurveDiscountInterpolatedFDCalculator PSC_DSC_FD = new ParameterSensitivityMulticurveDiscountInterpolatedFDCalculator(PVDC, SHIFT);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2; //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
@Test
public void presentValue() {
final MultipleCurrencyAmount pv = METHOD.presentValue(COUPON, PROVIDER);
final double df = PROVIDER.getDiscountFactor(COUPON.getCurrency(), COUPON.getPaymentTime());
final double forward = PROVIDER.getSimplyCompoundForwardRate(EURIBOR3M, COUPON.getFixingPeriodStartTime(), COUPON.getFixingPeriodEndTime(), COUPON.getFixingAccrualFactor());
final double pvExpected = (forward * FACTOR + SPREAD) * COUPON.getPaymentYearFraction() * COUPON.getNotional() * df;
assertEquals("Coupon Ibor Gearing: Present value by discounting", pvExpected, pv.getAmount(EUR), 1.0E-2);
}
@Test
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD.presentValue(COUPON, PROVIDER);
final MultipleCurrencyAmount pvCalculator = COUPON.accept(PVDC, PROVIDER);
assertEquals("CouponFixedDiscountingMarketMethod: present value", pvMethod.getAmount(EUR), pvCalculator.getAmount(EUR), TOLERANCE_PV);
}
@Test
/**
* Tests present value curve sensitivity when the valuation date is on trade date.
*/
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsDepositExact = PSC.calculateSensitivity(COUPON, PROVIDER, PROVIDER.getAllNames());
final MultipleCurrencyParameterSensitivity pvpsDepositFD = PSC_DSC_FD.calculateSensitivity(COUPON, PROVIDER);
AssertSensitivityObjects.assertEquals("CashDiscountingProviderMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueMarketSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD.presentValueCurveSensitivity(COUPON, PROVIDER);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator = COUPON.accept(PVCSDC, PROVIDER);
AssertSensitivityObjects.assertEquals("CouponFixedDiscountingMarketMethod: presentValueMarketSensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA);
}
}