/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.swaption.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.index.GeneratorSwapFixedIbor; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster; import com.opengamma.analytics.financial.instrument.index.IborIndex; import com.opengamma.analytics.financial.instrument.index.IndexSwap; import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition; import com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition; import com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition; import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor; import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor; import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters; import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets; import com.opengamma.analytics.financial.provider.description.SABRDataSets; import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount; import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderDiscount; import com.opengamma.analytics.financial.schedule.ScheduleCalculator; 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; /** * Class to test the present value of the cash-settled European swaption in the Linear Terminal Swap Rate method. */ @Test(groups = TestGroup.UNIT) public class SwaptionCashFixedIborLinearTSRMethodTest { private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd(); private static final IborIndex EURIBOR6M = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1]; private static final Currency EUR = EURIBOR6M.getCurrency(); private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar(); private static final SABRInterestRateParameters SABR_PARAMETER = SABRDataSets.createSABR1(); private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M = GeneratorSwapFixedIborMaster.getInstance().getGenerator("EUR1YEURIBOR6M", CALENDAR); private static final SABRSwaptionProviderDiscount SABR_MULTICURVES = new SABRSwaptionProviderDiscount(MULTICURVES, SABR_PARAMETER, EUR1YEURIBOR6M); private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 7, 7); private static final int SWAP_TENOR_YEAR = 5; private static final Period SWAP_TENOR = Period.ofYears(SWAP_TENOR_YEAR); private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(12); private static final DayCount FIXED_DAY_COUNT = DayCounts.THIRTY_U_360; private static final IndexSwap CMS_INDEX = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, EURIBOR6M, SWAP_TENOR, CALENDAR); private static final ZonedDateTime EXPIRY_DATE = DateUtils.getUTCDate(2016, 7, 7); private static final ZonedDateTime SETTLEMENT_DATE = ScheduleCalculator.getAdjustedDate(EXPIRY_DATE, EURIBOR6M.getSpotLag(), CALENDAR); private static final double NOTIONAL = 100000000; //100m private static final double RATE = 0.0200; private static final boolean FIXED_IS_PAYER = true; private static final SwapFixedIborDefinition SWAP_PAYER_DEFINITION = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR); private static final SwapFixedIborDefinition SWAP_RECEIVER_DEFINITION = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, !FIXED_IS_PAYER, CALENDAR); private static final boolean IS_LONG = true; private static final SwaptionCashFixedIborDefinition SWAPTION_PAYER_LONG_DEFINITION = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP_PAYER_DEFINITION, true, IS_LONG); private static final SwaptionCashFixedIborDefinition SWAPTION_RECEIVER_LONG_DEFINITION = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP_RECEIVER_DEFINITION, false, IS_LONG); private static final SwaptionCashFixedIborDefinition SWAPTION_PAYER_SHORT_DEFINITION = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP_PAYER_DEFINITION, true, !IS_LONG); //to derivatives private static final SwaptionCashFixedIbor SWAPTION_PAYER_LONG = SWAPTION_PAYER_LONG_DEFINITION.toDerivative(REFERENCE_DATE); private static final SwaptionCashFixedIbor SWAPTION_RECEIVER_LONG = SWAPTION_RECEIVER_LONG_DEFINITION.toDerivative(REFERENCE_DATE); private static final SwaptionCashFixedIbor SWAPTION_PAYER_SHORT = SWAPTION_PAYER_SHORT_DEFINITION.toDerivative(REFERENCE_DATE); private static final SwaptionCashFixedIborLinearTSRMethod METHOD_CASH_TSR = new SwaptionCashFixedIborLinearTSRMethod(); private static final SwaptionCashFixedIborSABRMethod METHOD_CASH_SABR = SwaptionCashFixedIborSABRMethod.getInstance(); private static final SwaptionPhysicalFixedIborSABRMethod METHOD_PHYS_SABR = SwaptionPhysicalFixedIborSABRMethod.getInstance(); @Test(enabled = true) /** * Tests the present value v hard-coded values. */ public void presentValue() { // double pvSABR = METHOD_CASH_SABR.presentValue(SWAPTION_PAYER_LONG, SABR_BUNDLE); final MultipleCurrencyAmount pvPayerTSR = METHOD_CASH_TSR.presentValue(SWAPTION_PAYER_LONG, SABR_MULTICURVES); final double pvPayerExpected = 1917641.961; assertEquals("Cash-settled swaption: linear TSR: present value", pvPayerExpected, pvPayerTSR.getAmount(EUR), 1E+0); // double pvSABR = METHOD_CASH_SABR.presentValue(SWAPTION_RECEIVER_LONG, SABR_BUNDLE); final MultipleCurrencyAmount pvReceiverTSR = METHOD_CASH_TSR.presentValue(SWAPTION_RECEIVER_LONG, SABR_MULTICURVES); final double pvReceiverExpected = 4102844.469; assertEquals("Cash-settled swaption: linear TSR: present value", pvReceiverExpected, pvReceiverTSR.getAmount(EUR), 1E+0); } @Test(enabled = true) public void presentValueLongShortParity() { final MultipleCurrencyAmount pvLongTSR = METHOD_CASH_TSR.presentValue(SWAPTION_PAYER_LONG, SABR_MULTICURVES); final MultipleCurrencyAmount pvShortTSR = METHOD_CASH_TSR.presentValue(SWAPTION_PAYER_SHORT, SABR_MULTICURVES); assertEquals("Cash-settled swaption: linear TSR: present value - long/short parity", -pvLongTSR.getAmount(EUR), pvShortTSR.getAmount(EUR), 1E-2); } @Test(enabled = true) public void presentValueMultiStrike() { final int nbStrike = 10; final double strikeMin = 0.030; final double strikeMax = 0.050; final double[] strike = new double[nbStrike + 1]; final SwapFixedIborDefinition[] swapDefinition = new SwapFixedIborDefinition[nbStrike + 1]; final SwaptionCashFixedIborDefinition[] swaptionCashDefinition = new SwaptionCashFixedIborDefinition[nbStrike + 1]; final SwaptionCashFixedIbor[] swaptionCash = new SwaptionCashFixedIbor[nbStrike + 1]; final SwaptionPhysicalFixedIborDefinition[] swaptionPhysDefinition = new SwaptionPhysicalFixedIborDefinition[nbStrike + 1]; final SwaptionPhysicalFixedIbor[] swaptionPhys = new SwaptionPhysicalFixedIbor[nbStrike + 1]; for (int loopstrike = 0; loopstrike < nbStrike + 1; loopstrike++) { strike[loopstrike] = strikeMin + loopstrike * (strikeMax - strikeMin) / nbStrike; swapDefinition[loopstrike] = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, strike[loopstrike], FIXED_IS_PAYER, CALENDAR); swaptionCashDefinition[loopstrike] = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinition[loopstrike], true, IS_LONG); swaptionCash[loopstrike] = swaptionCashDefinition[loopstrike].toDerivative(REFERENCE_DATE); swaptionPhysDefinition[loopstrike] = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition[loopstrike], true, IS_LONG); swaptionPhys[loopstrike] = swaptionPhysDefinition[loopstrike].toDerivative(REFERENCE_DATE); } final double[] pvCashStandard = new double[nbStrike + 1]; final double[] pvCashTSR = new double[nbStrike + 1]; final double[] pvPhysical = new double[nbStrike + 1]; for (int loopstrike = 0; loopstrike < nbStrike + 1; loopstrike++) { pvCashStandard[loopstrike] = METHOD_CASH_SABR.presentValue(swaptionCash[loopstrike], SABR_MULTICURVES).getAmount(EUR); pvCashTSR[loopstrike] = METHOD_CASH_TSR.presentValue(swaptionCash[loopstrike], SABR_MULTICURVES).getAmount(EUR); pvPhysical[loopstrike] = METHOD_PHYS_SABR.presentValue(swaptionPhys[loopstrike], SABR_MULTICURVES).getAmount(EUR); } } }