/**
* Copyright (C) 2014 - 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 static org.testng.AssertJUnit.assertNotSame;
import static org.testng.AssertJUnit.assertTrue;
import java.time.LocalDate;
import java.util.Arrays;
import org.joda.beans.BeanBuilder;
import org.joda.beans.Property;
import org.testng.annotations.Test;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DayCounts;
import com.opengamma.strata.market.curve.DefaultCurveMetadata;
import com.opengamma.strata.pricer.impl.credit.isda.IsdaCompliantDateCreditCurve.Meta;
/**
*
*/
@Test
public class IsdaCompliantCreditCurveTest {
private static final double EPS = 1.e-13;
/**
*
*/
@Test
public void buildCreditCurveTest() {
final double[] time = new double[] {0.1, 0.3, 0.5, 1., 3. };
final double[] forward = new double[] {0.06, 0.1, 0.05, 0.08, 0.11 };
final IsdaCompliantCreditCurve cv1 = IsdaCompliantCreditCurve.makeFromForwardRates(time, forward);
final int num = time.length;
final double[] rt = new double[num];
final double[] r = new double[num];
rt[0] = forward[0] * time[0];
r[0] = forward[0];
for (int i = 1; i < num; ++i) {
rt[i] = rt[i - 1] + forward[i] * (time[i] - time[i - 1]);
r[i] = rt[i] / time[i];
assertEquals(r[i], cv1.getHazardRate(time[i]), EPS);
assertEquals(Math.exp(-rt[i]), cv1.getSurvivalProbability(time[i]), EPS);
}
final IsdaCompliantCreditCurve cv2 = IsdaCompliantCreditCurve.makeFromRT(time, rt);
final IsdaCompliantCreditCurve cv3 = new IsdaCompliantCreditCurve(time, r);
final double base = 0.05;
final double[] timeMod = new double[num];
final double[] rMod = new double[num];
for (int i = 0; i < num; ++i) {
timeMod[i] = time[i] + base;
rMod[i] = (rt[i] + r[0] * base) / timeMod[i];
}
final IsdaCompliantCreditCurve cv4 = (new IsdaCompliantCreditCurve(time, rMod)).withRates(r);
final IsdaCompliantCreditCurve cv1Clone = cv1.clone();
assertNotSame(cv1, cv1Clone);
assertEquals(cv1, cv1Clone);
assertEquals(cv1.toString(), cv1Clone.toString());
for (int i = 0; i < num; ++i) {
assertEquals(cv1.getKnotTimes()[i], cv2.getKnotTimes()[i], EPS);
assertEquals(cv1.getKnotTimes()[i], cv3.getKnotTimes()[i], EPS);
assertEquals(cv1.getKnotTimes()[i], cv4.getKnotTimes()[i], EPS);
assertEquals(cv1.getRt()[i], cv2.getRt()[i], EPS);
assertEquals(cv1.getRt()[i], cv3.getRt()[i], EPS);
assertEquals(cv1.getRt()[i], cv4.getRt()[i], EPS);
}
final IsdaCompliantCreditCurve cvOnePoint = new IsdaCompliantCreditCurve(time[2], r[2]);
assertEquals(r[2], cvOnePoint.getForwardRate(time[0]));
assertEquals(r[2], cvOnePoint.getForwardRate(time[4]));
/*
* Meta
*/
final IsdaCompliantCreditCurve.Meta meta = cv1.metaBean();
final BeanBuilder<?> builder = meta.builder();
builder.set(meta.metaPropertyGet("metadata"), DefaultCurveMetadata.of("IsdaCompliantCurve"));
builder.set(meta.metaPropertyGet("t"), time);
builder.set(meta.metaPropertyGet("rt"), rt);
IsdaCompliantCreditCurve builtCurve = (IsdaCompliantCreditCurve) builder.build();
assertEquals(cv1, builtCurve);
final IsdaCompliantCreditCurve.Meta meta1 = IsdaCompliantCreditCurve.meta();
assertEquals(meta, meta1);
/*
* Error expected
*/
try {
final double[] rtshort = Arrays.copyOf(rt, num - 2);
IsdaCompliantCreditCurve.makeFromRT(time, rtshort);
} catch (final Exception e) {
assertTrue(e instanceof IllegalArgumentException);
}
/*
* hashCode and equals
*/
assertTrue(cv1.equals(cv1));
assertTrue(!(cv1.equals(null)));
final IsdaCompliantCurve superCv1 = IsdaCompliantCurve.makeFromForwardRates(time, forward);
assertTrue(cv1.hashCode() != superCv1.hashCode());
assertTrue(!(cv1.equals(superCv1)));
}
/**
*
*/
@Test
public void buildDateCurveTest() {
final LocalDate baseDate = LocalDate.of(2012, 8, 8);
final LocalDate[] dates = new LocalDate[] {LocalDate.of(2012, 12, 3), LocalDate.of(2013, 4, 29), LocalDate.of(2013, 11, 12), LocalDate.of(2014, 5, 18) };
final double[] rates = new double[] {0.11, 0.22, 0.15, 0.09 };
final DayCount dcc = DayCounts.ACT_365F;
final int num = dates.length;
final IsdaCompliantDateCreditCurve baseCurve = new IsdaCompliantDateCreditCurve(baseDate, dates, rates);
final LocalDate[] clonedDates = baseCurve.getCurveDates();
assertNotSame(dates, clonedDates);
final int modPosition = 2;
final IsdaCompliantDateCreditCurve curveWithRate = baseCurve.withRate(rates[modPosition] * 1.5, modPosition);
final IsdaCompliantDateCreditCurve clonedCurve = baseCurve.clone();
assertNotSame(baseCurve, clonedCurve);
final double[] t = new double[num];
final double[] rt = new double[num];
for (int i = 0; i < num; ++i) {
assertEquals(dates[i], baseCurve.getCurveDate(i));
assertEquals(dates[i], curveWithRate.getCurveDate(i));
assertEquals(dates[i], clonedDates[i]);
assertEquals(clonedCurve.getCurveDate(i), baseCurve.getCurveDate(i));
if (i == modPosition) {
assertEquals(rates[i] * 1.5, curveWithRate.getZeroRateAtIndex(i));
}
t[i] = dcc.yearFraction(baseDate, dates[i]);
rt[i] = t[i] * rates[i];
}
final LocalDate[] sampleDates = new LocalDate[] {baseDate.plusDays(2), LocalDate.of(2013, 7, 5), dates[2] };
final int nSampleDates = sampleDates.length;
final double[] sampleRates = new double[nSampleDates];
final double[] fracs = new double[nSampleDates];
for (int i = 0; i < nSampleDates; ++i) {
fracs[i] = dcc.yearFraction(baseDate, sampleDates[i]);
sampleRates[i] = baseCurve.getZeroRate(sampleDates[i]);
}
assertEquals(rates[0], sampleRates[0]);
assertEquals((rt[2] * (fracs[1] - t[1]) + rt[1] * (t[2] - fracs[1])) / (t[2] - t[1]) / fracs[1], sampleRates[1]);
assertEquals(rates[2], sampleRates[2]);
assertEquals(baseDate, baseCurve.getBaseDate());
/*
* Test meta
*/
final Property<LocalDate> propBaseDate = baseCurve.baseDate();
final Property<LocalDate[]> propDates = baseCurve.dates();
final Property<DayCount> propDcc = baseCurve.dayCount();
final Meta meta = baseCurve.metaBean();
final BeanBuilder<?> builder = meta.builder();
builder.set(propBaseDate.name(), baseDate);
builder.set(propDates.name(), dates);
builder.set(propDcc.name(), dcc);
builder.set(meta.metaPropertyGet("metadata"), DefaultCurveMetadata.of("IsdaCompliantCurve"));
builder.set(meta.metaPropertyGet("t"), t);
builder.set(meta.metaPropertyGet("rt"), rt);
IsdaCompliantDateCreditCurve builtCurve = (IsdaCompliantDateCreditCurve) builder.build();
assertEquals(baseCurve, builtCurve);
final Meta meta1 = IsdaCompliantDateCreditCurve.meta();
assertEquals(meta1, meta);
/*
* hash and equals
*/
assertTrue(!(baseCurve.equals(null)));
assertTrue(!(baseCurve.equals(new IsdaCompliantDateCurve(baseDate, dates, rates))));
assertTrue(!(baseCurve.equals(new IsdaCompliantDateCreditCurve(baseDate.minusDays(1), dates, rates))));
assertTrue(!(baseCurve.equals(new IsdaCompliantDateCreditCurve(baseDate, new LocalDate[] {LocalDate.of(2012, 12, 3), LocalDate.of(2013, 4, 29), LocalDate.of(2013, 11, 12),
LocalDate.of(2014, 5, 19) }, rates))));
assertTrue(!(baseCurve.equals(new IsdaCompliantDateCreditCurve(baseDate, dates, rates, DayCounts.ACT_365_25))));
assertTrue(baseCurve.equals(baseCurve));
assertTrue(baseCurve.hashCode() != curveWithRate.hashCode());
assertTrue(!(baseCurve.equals(curveWithRate)));
/*
* String
*/
assertEquals(baseCurve.toString(), clonedCurve.toString());
}
}