/**
* 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.IsdaCompliantDateYieldCurve.Meta;
/**
* Test {@link IsdaCompliantYieldCurve}.
*/
@Test
public class IsdaCompliantYieldCurveTest {
private static final double EPS = 1.e-13;
//-------------------------------------------------------------------------
public void buildYieldCurveTest() {
double[] time = new double[] {0.1, 0.3, 0.5, 1., 3.};
double[] forward = new double[] {0.06, 0.1, 0.05, 0.08, 0.11};
IsdaCompliantYieldCurve cv1 = IsdaCompliantYieldCurve.makeFromForwardRates(time, forward);
int num = time.length;
double[] rt = new double[num];
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];
}
IsdaCompliantYieldCurve cv2 = IsdaCompliantYieldCurve.makeFromRT(time, rt);
IsdaCompliantYieldCurve cv3 = new IsdaCompliantYieldCurve(time, r);
double base = 0.05;
double[] timeMod = new double[num];
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];
}
IsdaCompliantYieldCurve cvWithBase1 = new IsdaCompliantYieldCurve(timeMod, rMod, base);
IsdaCompliantYieldCurve cvWithBase2 = (new IsdaCompliantYieldCurve(timeMod, rMod)).withOffset(base);
IsdaCompliantYieldCurve cv4 = (new IsdaCompliantYieldCurve(time, rMod)).withRates(r);
IsdaCompliantYieldCurve cv1Clone = cv1.clone();
assertNotSame(cv1, cv1Clone);
assertEquals(cv1, cv1Clone);
assertEquals(cv1.toString(), cv1Clone.toString());
// forward rate curve shifted
assertEquals(cv1.getForwardRate(0.32), cv1.withOffset(base).getForwardRate(0.32 - base), EPS);
assertEquals(
cv1.getDiscountFactor(0.32) / cv1.getDiscountFactor(base),
cv1.withOffset(base).getDiscountFactor(0.32 - base),
EPS);
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], cvWithBase1.getKnotTimes()[i], EPS);
assertEquals(cv1.getKnotTimes()[i], cvWithBase2.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], cvWithBase1.getRt()[i], EPS);
assertEquals(cv1.getRt()[i], cvWithBase2.getRt()[i], EPS);
assertEquals(cv1.getRt()[i], cv4.getRt()[i], EPS);
}
IsdaCompliantYieldCurve cvOnePoint = new IsdaCompliantYieldCurve(time[2], r[2]);
assertEquals(r[2], cvOnePoint.getForwardRate(time[0]));
assertEquals(r[2], cvOnePoint.getForwardRate(time[4]));
// meta
IsdaCompliantYieldCurve.Meta meta = cv1.metaBean();
BeanBuilder<?> builder = meta.builder();
builder.set(meta.metaPropertyGet("metadata"), DefaultCurveMetadata.of("IsdaCompliantCurve"));
builder.set(meta.metaPropertyGet("t"), time);
builder.set(meta.metaPropertyGet("rt"), rt);
IsdaCompliantYieldCurve builtCurve = (IsdaCompliantYieldCurve) builder.build();
assertEquals(cv1, builtCurve);
IsdaCompliantYieldCurve.Meta meta1 = IsdaCompliantYieldCurve.meta();
assertEquals(meta, meta1);
// error expected
try {
double[] rtshort = Arrays.copyOf(rt, num - 2);
IsdaCompliantYieldCurve.makeFromRT(time, rtshort);
} catch (Exception e) {
assertTrue(e instanceof IllegalArgumentException);
}
// hashCode and equals
assertTrue(cv1.equals(cv1));
assertTrue(!(cv1.equals(null)));
IsdaCompliantCurve superCv1 = IsdaCompliantCurve.makeFromForwardRates(time, forward);
assertTrue(cv1.hashCode() != superCv1.hashCode());
assertTrue(!(cv1.equals(superCv1)));
}
//-------------------------------------------------------------------------
public void buildDateYieldCurveTest() {
LocalDate baseDate = LocalDate.of(2012, 8, 8);
LocalDate[] dates = new LocalDate[] {
LocalDate.of(2012, 12, 3), LocalDate.of(2013, 4, 29), LocalDate.of(2013, 11, 12), LocalDate.of(2014, 5, 18)};
double[] rates = new double[] {0.11, 0.22, 0.15, 0.09};
DayCount dcc = DayCounts.ACT_365F;
int num = dates.length;
IsdaCompliantDateYieldCurve baseCurve = new IsdaCompliantDateYieldCurve(baseDate, dates, rates);
LocalDate[] clonedDates = baseCurve.getCurveDates();
assertNotSame(dates, clonedDates);
int modPosition = 2;
IsdaCompliantDateYieldCurve curveWithRate = baseCurve.withRate(rates[modPosition] * 1.5, modPosition);
IsdaCompliantDateYieldCurve clonedCurve = baseCurve.clone();
assertNotSame(baseCurve, clonedCurve);
double[] t = new double[num];
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];
}
LocalDate[] sampleDates = new LocalDate[] {baseDate.plusDays(2), LocalDate.of(2013, 7, 5), dates[2]};
int nSampleDates = sampleDates.length;
double[] sampleRates = new double[nSampleDates];
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());
// meta
Property<LocalDate> propBaseDate = baseCurve.baseDate();
Property<LocalDate[]> propDates = baseCurve.dates();
Property<DayCount> propDcc = baseCurve.dayCount();
Meta meta = baseCurve.metaBean();
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);
IsdaCompliantDateYieldCurve builtCurve = (IsdaCompliantDateYieldCurve) builder.build();
assertEquals(baseCurve, builtCurve);
Meta meta1 = IsdaCompliantDateYieldCurve.meta();
assertEquals(meta1, meta);
// hash and equals
assertTrue(!(baseCurve.equals(null)));
assertTrue(!(baseCurve.equals(new IsdaCompliantDateCurve(baseDate, dates, rates))));
assertTrue(!(baseCurve.equals(new IsdaCompliantDateYieldCurve(baseDate.minusDays(1), dates, rates))));
assertTrue(!(baseCurve.equals(new IsdaCompliantDateYieldCurve(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 IsdaCompliantDateYieldCurve(baseDate, dates, rates, DayCounts.ACT_365_25))));
assertTrue(baseCurve.equals(baseCurve));
assertTrue(baseCurve.hashCode() != curveWithRate.hashCode());
assertTrue(!(baseCurve.equals(curveWithRate)));
// toString
assertEquals(baseCurve.toString(), clonedCurve.toString());
}
}