/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.index;
import static com.opengamma.strata.basics.date.DayCounts.ACT_360;
import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
import static com.opengamma.strata.basics.index.IborIndices.GBP_LIBOR_2M;
import static com.opengamma.strata.collect.TestHelper.date;
import static com.opengamma.strata.market.curve.interpolator.CurveInterpolators.LINEAR;
import static org.assertj.core.api.Assertions.assertThat;
import java.time.LocalDate;
import java.time.LocalTime;
import java.time.ZoneId;
import java.time.ZonedDateTime;
import java.util.Set;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableList;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.calc.Measure;
import com.opengamma.strata.calc.runner.CalculationParameters;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.result.Result;
import com.opengamma.strata.data.FieldName;
import com.opengamma.strata.data.scenario.CurrencyScenarioArray;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.curve.ConstantCurve;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.CurveId;
import com.opengamma.strata.market.curve.Curves;
import com.opengamma.strata.market.model.MoneynessType;
import com.opengamma.strata.market.observable.IndexQuoteId;
import com.opengamma.strata.market.observable.QuoteId;
import com.opengamma.strata.market.surface.InterpolatedNodalSurface;
import com.opengamma.strata.market.surface.Surfaces;
import com.opengamma.strata.market.surface.interpolator.GridSurfaceInterpolator;
import com.opengamma.strata.market.surface.interpolator.SurfaceInterpolator;
import com.opengamma.strata.measure.Measures;
import com.opengamma.strata.measure.curve.TestMarketDataMap;
import com.opengamma.strata.measure.rate.RatesMarketDataLookup;
import com.opengamma.strata.pricer.index.IborFutureDummyData;
import com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId;
import com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities;
import com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.index.IborFutureOption;
import com.opengamma.strata.product.index.IborFutureOptionTrade;
import com.opengamma.strata.product.index.ResolvedIborFutureOptionTrade;
/**
* Test {@link IborFutureOptionTradeCalculationFunction}.
*/
@Test
public class IborFutureOptionTradeCalculationFunctionTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final SurfaceInterpolator INTERPOLATOR_2D = GridSurfaceInterpolator.of(LINEAR, LINEAR);
private static final DoubleArray TIMES =
DoubleArray.of(0.25, 0.25, 0.25, 0.25, 0.5, 0.5, 0.5, 0.5, 1, 1, 1, 1);
private static final DoubleArray MONEYNESS_PRICES =
DoubleArray.of(-0.02, -0.01, 0, 0.01, -0.02, -0.01, 0, 0.01, -0.02, -0.01, 0, 0.01);
private static final DoubleArray NORMAL_VOL_PRICES =
DoubleArray.of(0.01, 0.011, 0.012, 0.010, 0.011, 0.012, 0.013, 0.012, 0.012, 0.013, 0.014, 0.014);
private static final InterpolatedNodalSurface PARAMETERS_PRICE = InterpolatedNodalSurface.of(
Surfaces.normalVolatilityByExpirySimpleMoneyness("Price", ACT_365F, MoneynessType.PRICE),
TIMES,
MONEYNESS_PRICES,
NORMAL_VOL_PRICES,
INTERPOLATOR_2D);
private static final LocalDate VAL_DATE = date(2015, 2, 17);
private static final LocalTime VAL_TIME = LocalTime.of(13, 45);
private static final ZoneId LONDON_ZONE = ZoneId.of("Europe/London");
private static final ZonedDateTime VAL_DATE_TIME = VAL_DATE.atTime(VAL_TIME).atZone(LONDON_ZONE);
private static final NormalIborFutureOptionExpirySimpleMoneynessVolatilities VOL_SIMPLE_MONEY_PRICE =
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.of(GBP_LIBOR_2M, VAL_DATE_TIME, PARAMETERS_PRICE);
private static final IborFutureOption OPTION = IborFutureDummyData.IBOR_FUTURE_OPTION_2;
private static final LocalDate TRADE_DATE = date(2015, 2, 16);
private static final long OPTION_QUANTITY = 12345;
private static final double TRADE_PRICE = 0.0100;
private static final double SETTLEMENT_PRICE = 0.0120;
private static final IborFutureOptionTrade TRADE = IborFutureOptionTrade.builder()
.info(TradeInfo.builder()
.tradeDate(TRADE_DATE)
.build())
.product(OPTION)
.quantity(OPTION_QUANTITY)
.price(TRADE_PRICE)
.build();
private static final Currency CURRENCY = Currency.GBP;
private static final IborIndex INDEX = GBP_LIBOR_2M;
private static final CurveId DISCOUNT_CURVE_ID = CurveId.of("Default", "Discount");
private static final CurveId FORWARD_CURVE_ID = CurveId.of("Default", "Forward");
private static final IborFutureOptionVolatilitiesId VOL_ID =
IborFutureOptionVolatilitiesId.of("IborFutureOptionVols.Normal.USD");
private static final QuoteId QUOTE_ID_OPTION =
QuoteId.of(TRADE.getSecurityId().getStandardId(), FieldName.SETTLEMENT_PRICE);
static final RatesMarketDataLookup RATES_LOOKUP = RatesMarketDataLookup.of(
ImmutableMap.of(CURRENCY, DISCOUNT_CURVE_ID),
ImmutableMap.of(INDEX, FORWARD_CURVE_ID));
static final IborFutureOptionMarketDataLookup OPTION_LOOKUP = IborFutureOptionMarketDataLookup.of(INDEX, VOL_ID);
private static final CalculationParameters PARAMS = CalculationParameters.of(RATES_LOOKUP, OPTION_LOOKUP);
//-------------------------------------------------------------------------
public void test_requirementsAndCurrency() {
IborFutureOptionTradeCalculationFunction function = new IborFutureOptionTradeCalculationFunction();
Set<Measure> measures = function.supportedMeasures();
FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA);
assertThat(reqs.getOutputCurrencies()).containsOnly(CURRENCY);
assertThat(reqs.getValueRequirements()).isEqualTo(
ImmutableSet.of(DISCOUNT_CURVE_ID, FORWARD_CURVE_ID, VOL_ID, QUOTE_ID_OPTION));
assertThat(reqs.getTimeSeriesRequirements()).isEqualTo(ImmutableSet.of(IndexQuoteId.of(INDEX)));
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY);
}
public void test_simpleMeasures() {
IborFutureOptionTradeCalculationFunction function = new IborFutureOptionTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
NormalIborFutureOptionMarginedTradePricer pricer = NormalIborFutureOptionMarginedTradePricer.DEFAULT;
ResolvedIborFutureOptionTrade resolved = TRADE.resolve(REF_DATA);
CurrencyAmount expectedPv = pricer.presentValue(resolved, provider, VOL_SIMPLE_MONEY_PRICE, SETTLEMENT_PRICE);
Set<Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA))
.containsEntry(
Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv))))
.containsEntry(
Measures.RESOLVED_TARGET, Result.success(resolved));
}
//-------------------------------------------------------------------------
static ScenarioMarketData marketData() {
Curve curve = ConstantCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
TestMarketDataMap md = new TestMarketDataMap(
VAL_DATE,
ImmutableMap.of(
DISCOUNT_CURVE_ID, curve,
FORWARD_CURVE_ID, curve,
VOL_ID, VOL_SIMPLE_MONEY_PRICE,
QUOTE_ID_OPTION, SETTLEMENT_PRICE),
ImmutableMap.of());
return md;
}
}