/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.swap;
import static com.opengamma.strata.basics.date.DayCounts.ACT_360;
import static com.opengamma.strata.collect.TestHelper.date;
import static org.assertj.core.api.Assertions.assertThat;
import java.time.LocalDate;
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.MultiCurrencyAmount;
import com.opengamma.strata.basics.date.Tenor;
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.result.Result;
import com.opengamma.strata.data.scenario.DoubleScenarioArray;
import com.opengamma.strata.data.scenario.MultiCurrencyScenarioArray;
import com.opengamma.strata.data.scenario.ScenarioArray;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.amount.CashFlows;
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.explain.ExplainMap;
import com.opengamma.strata.market.observable.IndexQuoteId;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
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.rate.RatesProvider;
import com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.swap.ResolvedSwapTrade;
import com.opengamma.strata.product.swap.SwapTrade;
import com.opengamma.strata.product.swap.type.FixedIborSwapConventions;
/**
* Test {@link SwapTradeCalculationFunction}.
*/
@Test
public class SwapTradeCalculationFunctionTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
public static final SwapTrade TRADE = FixedIborSwapConventions.GBP_FIXED_6M_LIBOR_6M
.createTrade(date(2016, 6, 30), Tenor.TENOR_10Y, BuySell.BUY, 1_000_000, 0.01, REF_DATA);
public static final ResolvedSwapTrade RTRADE = TRADE.resolve(REF_DATA);
private static final Currency CURRENCY = TRADE.getProduct().getPayLeg().get().getCurrency();
private static final IborIndex INDEX = (IborIndex) TRADE.getProduct().allIndices().iterator().next();
private static final CurveId DISCOUNT_CURVE_ID = CurveId.of("Default", "Discount");
private static final CurveId FORWARD_CURVE_ID = CurveId.of("Default", "Forward");
static final RatesMarketDataLookup RATES_LOOKUP = RatesMarketDataLookup.of(
ImmutableMap.of(CURRENCY, DISCOUNT_CURVE_ID),
ImmutableMap.of(INDEX, FORWARD_CURVE_ID));
private static final CalculationParameters PARAMS = CalculationParameters.of(RATES_LOOKUP);
private static final LocalDate VAL_DATE = TRADE.getProduct().getStartDate().getUnadjusted().minusDays(7);
//-------------------------------------------------------------------------
public void test_requirementsAndCurrency() {
SwapTradeCalculationFunction function = new SwapTradeCalculationFunction();
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));
assertThat(reqs.getTimeSeriesRequirements()).isEqualTo(ImmutableSet.of(IndexQuoteId.of(INDEX)));
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY);
}
public void test_simpleMeasures() {
SwapTradeCalculationFunction function = new SwapTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingSwapTradePricer pricer = DiscountingSwapTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
ExplainMap expectedExplainPv = pricer.explainPresentValue(RTRADE, provider);
double expectedParRate = pricer.parRate(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
CashFlows expectedCashFlows = pricer.cashFlows(RTRADE, provider);
MultiCurrencyAmount expectedExposure = pricer.currencyExposure(RTRADE, provider);
MultiCurrencyAmount expectedCash = pricer.currentCash(RTRADE, provider);
Set<Measure> measures = ImmutableSet.of(
Measures.PRESENT_VALUE,
Measures.EXPLAIN_PRESENT_VALUE,
Measures.PAR_RATE,
Measures.PAR_SPREAD,
Measures.CASH_FLOWS,
Measures.CURRENCY_EXPOSURE,
Measures.CURRENT_CASH,
Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA))
.containsEntry(
Measures.PRESENT_VALUE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv))))
.containsEntry(
Measures.EXPLAIN_PRESENT_VALUE, Result.success(ScenarioArray.of(ImmutableList.of(expectedExplainPv))))
.containsEntry(
Measures.PAR_RATE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParRate))))
.containsEntry(
Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread))))
.containsEntry(
Measures.CASH_FLOWS, Result.success(ScenarioArray.of(ImmutableList.of(expectedCashFlows))))
.containsEntry(
Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedExposure))))
.containsEntry(
Measures.CURRENT_CASH, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCash))))
.containsEntry(
Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public void test_pv01() {
SwapTradeCalculationFunction function = new SwapTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingSwapTradePricer pricer = DiscountingSwapTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01 = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedBucketedPv01 = pvParamSens.multipliedBy(1e-4);
Set<Measure> measures = ImmutableSet.of(
Measures.PV01_CALIBRATED_SUM,
Measures.PV01_CALIBRATED_BUCKETED);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA))
.containsEntry(
Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01))))
.containsEntry(
Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedBucketedPv01))));
}
//-------------------------------------------------------------------------
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),
ImmutableMap.of());
return md;
}
}