/**
* 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);
}
}