/** * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.strata.pricer.cms; import static com.opengamma.strata.basics.currency.Currency.EUR; import static com.opengamma.strata.basics.date.HolidayCalendarIds.EUTA; import static com.opengamma.strata.product.common.PayReceive.PAY; import static org.testng.Assert.assertEquals; import static org.testng.Assert.assertTrue; import java.time.LocalDate; import java.util.ArrayList; import java.util.List; import org.testng.annotations.Test; import com.opengamma.strata.basics.ReferenceData; import com.opengamma.strata.basics.currency.CurrencyAmount; import com.opengamma.strata.basics.date.BusinessDayAdjustment; import com.opengamma.strata.basics.date.BusinessDayConventions; import com.opengamma.strata.basics.schedule.Frequency; import com.opengamma.strata.basics.schedule.PeriodicSchedule; import com.opengamma.strata.basics.schedule.RollConventions; import com.opengamma.strata.basics.schedule.StubConvention; import com.opengamma.strata.basics.value.ValueAdjustment; import com.opengamma.strata.basics.value.ValueSchedule; import com.opengamma.strata.basics.value.ValueStep; import com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries; import com.opengamma.strata.market.param.CurrencyParameterSensitivities; import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder; import com.opengamma.strata.pricer.impl.cms.DiscountingCmsPeriodPricer; import com.opengamma.strata.pricer.rate.ImmutableRatesProvider; import com.opengamma.strata.pricer.sensitivity.RatesFiniteDifferenceSensitivityCalculator; import com.opengamma.strata.pricer.swaption.SwaptionSabrRateVolatilityDataSet; import com.opengamma.strata.product.cms.CmsLeg; import com.opengamma.strata.product.cms.CmsPeriod; import com.opengamma.strata.product.cms.ResolvedCmsLeg; import com.opengamma.strata.product.swap.SwapIndex; import com.opengamma.strata.product.swap.SwapIndices; /** * Test {@link DiscountingCmsLegPricer}. */ @Test public class DiscountingCmsLegPricerTest { private static final ReferenceData REF_DATA = ReferenceData.standard(); // CMS legs private static final SwapIndex INDEX = SwapIndices.EUR_EURIBOR_1100_5Y; private static final LocalDate START = LocalDate.of(2015, 10, 21); private static final LocalDate END = LocalDate.of(2020, 10, 21); private static final Frequency FREQUENCY = Frequency.P12M; private static final BusinessDayAdjustment BUSS_ADJ_EUR = BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, EUTA); private static final PeriodicSchedule SCHEDULE_EUR = PeriodicSchedule.of(START, END, FREQUENCY, BUSS_ADJ_EUR, StubConvention.NONE, RollConventions.NONE); private static final List<ValueStep> NOTIONAL_STEPS = new ArrayList<ValueStep>(); private static final double NOTIONAL_VALUE_0 = 100_000_000; private static final double NOTIONAL_VALUE_1 = 1.1e6; private static final double NOTIONAL_VALUE_2 = 0.9e6; private static final double NOTIONAL_VALUE_3 = 1.2e6; static { NOTIONAL_STEPS.add(ValueStep.of(1, ValueAdjustment.ofReplace(NOTIONAL_VALUE_1))); NOTIONAL_STEPS.add(ValueStep.of(2, ValueAdjustment.ofReplace(NOTIONAL_VALUE_2))); NOTIONAL_STEPS.add(ValueStep.of(3, ValueAdjustment.ofReplace(NOTIONAL_VALUE_3))); } private static final ValueSchedule NOTIONAL = ValueSchedule.of(NOTIONAL_VALUE_0, NOTIONAL_STEPS); private static final ResolvedCmsLeg COUPON_LEG = CmsLeg.builder() .index(INDEX) .notional(NOTIONAL) .payReceive(PAY) .paymentSchedule(SCHEDULE_EUR) .build() .resolve(REF_DATA); // providers private static final LocalDate VALUATION = LocalDate.of(2015, 8, 18); private static final ImmutableRatesProvider RATES_PROVIDER = SwaptionSabrRateVolatilityDataSet.getRatesProviderEur(VALUATION); // providers - valuation after the first payment private static final LocalDate AFTER_PAYMENT = LocalDate.of(2016, 11, 25); // the first cms payment is 2016-10-21. private static final LocalDate FIXING = LocalDate.of(2016, 10, 19); // fixing for the second period. private static final double OBS_INDEX = 0.013; private static final LocalDateDoubleTimeSeries TIME_SERIES = LocalDateDoubleTimeSeries.of(FIXING, OBS_INDEX); private static final ImmutableRatesProvider RATES_PROVIDER_AFTER_PERIOD = SwaptionSabrRateVolatilityDataSet.getRatesProviderEur(AFTER_PAYMENT, TIME_SERIES); // providers - valuation on the payment date private static final LocalDate PAYMENT = LocalDate.of(2017, 10, 23); // payment date of the second payment private static final ImmutableRatesProvider RATES_PROVIDER_ON_PAY = SwaptionSabrRateVolatilityDataSet.getRatesProviderEur(PAYMENT, TIME_SERIES); // providers - valuation after maturity date private static final LocalDate ENDED = END.plusDays(7); private static final ImmutableRatesProvider RATES_PROVIDER_ENDED = SwaptionSabrRateVolatilityDataSet.getRatesProviderEur(ENDED); // pricers private static final double EPS = 1.0e-5; private static final double TOLERANCE_PV = 1.0E-2; private static final double TOLERANCE_DELTA = 1.0E+3; private static final DiscountingCmsPeriodPricer PERIOD_PRICER = DiscountingCmsPeriodPricer.DEFAULT; private static final DiscountingCmsLegPricer LEG_PRICER = new DiscountingCmsLegPricer(PERIOD_PRICER); private static final RatesFiniteDifferenceSensitivityCalculator FD_CAL = new RatesFiniteDifferenceSensitivityCalculator(EPS); //------------------------------------------------------------------------- public void test_presentValue() { CurrencyAmount computed = LEG_PRICER.presentValue(COUPON_LEG, RATES_PROVIDER); double expected = 0d; List<CmsPeriod> cms = COUPON_LEG.getCmsPeriods(); int size = cms.size(); for (int i = 0; i < size; ++i) { expected += PERIOD_PRICER.presentValue(cms.get(i), RATES_PROVIDER).getAmount(); } assertEquals(computed.getCurrency(), EUR); assertEquals(computed.getAmount(), expected, TOLERANCE_PV); } public void test_presentValue_afterPay() { CurrencyAmount computed = LEG_PRICER.presentValue(COUPON_LEG, RATES_PROVIDER_AFTER_PERIOD); double expected = 0d; List<CmsPeriod> cms = COUPON_LEG.getCmsPeriods(); int size = cms.size(); for (int i = 1; i < size; ++i) { expected += PERIOD_PRICER.presentValue( cms.get(i), RATES_PROVIDER_AFTER_PERIOD).getAmount(); } assertEquals(computed.getCurrency(), EUR); assertEquals(computed.getAmount(), expected, TOLERANCE_PV); } public void test_presentValue_ended() { CurrencyAmount computed = LEG_PRICER.presentValue(COUPON_LEG, RATES_PROVIDER_ENDED); assertEquals(computed, CurrencyAmount.zero(EUR)); } //------------------------------------------------------------------------- public void test_presentValueSensitivity() { PointSensitivityBuilder point = LEG_PRICER.presentValueSensitivity(COUPON_LEG, RATES_PROVIDER); CurrencyParameterSensitivities computed = RATES_PROVIDER.parameterSensitivity(point.build()); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p -> LEG_PRICER.presentValue(COUPON_LEG, p)); assertTrue(computed.equalWithTolerance(expected, TOLERANCE_DELTA)); } public void test_presentValueSensitivity_afterPay() { PointSensitivityBuilder point = LEG_PRICER.presentValueSensitivity(COUPON_LEG, RATES_PROVIDER_AFTER_PERIOD); CurrencyParameterSensitivities computed = RATES_PROVIDER_AFTER_PERIOD.parameterSensitivity(point.build()); CurrencyParameterSensitivities expected = FD_CAL.sensitivity( RATES_PROVIDER_AFTER_PERIOD, p -> LEG_PRICER.presentValue(COUPON_LEG, p)); assertTrue(computed.equalWithTolerance(expected, TOLERANCE_DELTA)); } public void test_presentValueSensitivity_ended() { PointSensitivityBuilder computed = LEG_PRICER.presentValueSensitivity(COUPON_LEG, RATES_PROVIDER_ENDED); assertEquals(computed, PointSensitivityBuilder.none()); } //------------------------------------------------------------------------- public void test_currentCash() { CurrencyAmount computed = LEG_PRICER.currentCash(COUPON_LEG, RATES_PROVIDER); assertEquals(computed, CurrencyAmount.zero(EUR)); } public void test_currentCash_onPay() { CurrencyAmount computed = LEG_PRICER.currentCash(COUPON_LEG, RATES_PROVIDER_ON_PAY); assertEquals(computed.getAmount(), -NOTIONAL_VALUE_1 * OBS_INDEX * 367d / 360d, TOLERANCE_PV); } }