/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.impl.credit.isda;
import static org.testng.AssertJUnit.assertEquals;
import java.time.LocalDate;
import java.time.Period;
import java.util.Arrays;
import org.testng.annotations.Test;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DayCounts;
import com.opengamma.strata.basics.date.HolidayCalendar;
import com.opengamma.strata.basics.date.HolidayCalendars;
import com.opengamma.strata.basics.schedule.StubConvention;
/**
* Test.
*/
@SuppressWarnings("deprecation")
@Test
public class IsdaCompliantCreditCurveCalibratorTest {
private static final HolidayCalendar DEFAULT_CALENDAR = HolidayCalendars.SAT_SUN;
private static final AnalyticCdsPricer PRICER = new AnalyticCdsPricer();
private static final IsdaCompliantPresentValueCreditDefaultSwap TEST_PRICER = new IsdaCompliantPresentValueCreditDefaultSwap();
private static final LocalDate TODAY = LocalDate.of(2013, 4, 21);
private static final LocalDate BASE_DATE = TODAY;
private static final LocalDate[] YC_DATES = new LocalDate[] {LocalDate.of(2013, 6, 27), LocalDate.of(2013, 8, 27), LocalDate.of(2013, 11, 27), LocalDate.of(2014, 5, 27), LocalDate.of(2015, 5, 27),
LocalDate.of(2016, 5, 27), LocalDate.of(2018, 5, 27), LocalDate.of(2020, 5, 27), LocalDate.of(2023, 5, 27), LocalDate.of(2028, 5, 27), LocalDate.of(2033, 5, 27), LocalDate.of(2043, 5, 27) };
private static final double[] YC_RATES;
private static final double[] DISCOUNT_FACT;
private static final double[] YC_TIMES;
private static final IsdaCompliantDateYieldCurve YIELD_CURVE;
private static final DayCount ACT365 = DayCounts.ACT_365F;
static {
final int ycPoints = YC_DATES.length;
YC_RATES = new double[ycPoints];
DISCOUNT_FACT = new double[ycPoints];
Arrays.fill(DISCOUNT_FACT, 1.0);
YC_TIMES = new double[ycPoints];
for (int i = 0; i < ycPoints; i++) {
YC_TIMES[i] = ACT365.yearFraction(BASE_DATE, YC_DATES[i]);
}
YIELD_CURVE = new IsdaCompliantDateYieldCurve(BASE_DATE, YC_DATES, YC_RATES);
}
@SuppressWarnings({"deprecation" })
public void test() {
final LocalDate today = LocalDate.of(2013, 2, 2);
final LocalDate stepinDate = today.plusDays(1); // aka effective date
final LocalDate valueDate = DEFAULT_CALENDAR.shift(today, 3); // 3 working days on
final LocalDate startDate = LocalDate.of(2012, 7, 29);
final LocalDate[] endDates = new LocalDate[] {LocalDate.of(2013, 6, 20), LocalDate.of(2013, 9, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2015, 3, 20), LocalDate.of(2016, 3, 20),
LocalDate.of(2018, 3, 20), LocalDate.of(2023, 3, 20) };
final double[] coupons = new double[] {50, 70, 100, 150, 200, 400, 1000 };
final int n = coupons.length;
for (int i = 0; i < n; i++) {
coupons[i] /= 10000;
}
final Period tenor = Period.ofMonths(3);
final StubConvention stubType = StubConvention.SHORT_INITIAL;
final boolean payAccOndefault = true;
final boolean protectionStart = true;
final double recovery = 0.4;
final SimpleCreditCurveBuilder calibrator = new SimpleCreditCurveBuilder();
final IsdaCompliantCreditCurve hc = calibrator.calibrateCreditCurve(today, stepinDate, valueDate, startDate, endDates, coupons, payAccOndefault, tenor, stubType, protectionStart, YIELD_CURVE,
recovery);
final IsdaCompliantDateCreditCurve hcDate = new IsdaCompliantDateCreditCurve(today, endDates, hc.getKnotZeroRates());
final CdsAnalytic[] cds = new CdsAnalytic[n];
for (int i = 0; i < n; i++) {
cds[i] = new CdsAnalytic(today, stepinDate, valueDate, startDate, endDates[i], payAccOndefault, tenor, stubType, protectionStart, recovery);
final double pv = 1e7 * PRICER.pv(cds[i], YIELD_CURVE, hc, coupons[i]);
assertEquals(0.0, pv, 1e-8); // on a notional of 1e7
// test against 'old' pricer as well
final double rpv01 = TEST_PRICER.pvPremiumLegPerUnitSpread(today, stepinDate, valueDate, startDate, endDates[i], payAccOndefault, tenor, stubType, YIELD_CURVE, hcDate, protectionStart,
CdsPriceType.CLEAN);
final double proLeg = TEST_PRICER.calculateProtectionLeg(today, stepinDate, valueDate, startDate, endDates[i], YIELD_CURVE, hcDate, recovery, protectionStart);
final double pv2 = 1e7 * (proLeg - coupons[i] * rpv01);
assertEquals(0.0, pv2, 1e-7); // we drop a slight bit of accuracy here
}
}
}