/**
* 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 static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertTrue;
import java.time.LocalDate;
import java.time.Month;
import java.time.Period;
import java.util.Arrays;
import org.testng.annotations.Test;
import com.opengamma.strata.pricer.impl.credit.isda.IsdaCompliantCreditCurveBuilder.ArbitrageHandling;
/**
* Test.
*/
@Test
public class SuperFastCreditCurveBuilderTest extends CreditCurveCalibrationTest {
private static final SuperFastCreditCurveBuilder BUILDER_ISDA = new SuperFastCreditCurveBuilder();
@Test
public void test() {
testCalibrationAgainstISDA(BUILDER_ISDA, 1e-14);
//NOTE: we do not match the Markit 'fix' for forward starting swaps
}
@Test
public void arbitrageHandlingTest() {
final FastCreditCurveBuilder FastOgZero = new FastCreditCurveBuilder(OG_FIX, ArbitrageHandling.ZeroHazardRate);
final SuperFastCreditCurveBuilder fastOgZero = new SuperFastCreditCurveBuilder(OG_FIX, ArbitrageHandling.ZeroHazardRate);
final SuperFastCreditCurveBuilder fastOgFail = new SuperFastCreditCurveBuilder(OG_FIX, ArbitrageHandling.Fail);
final LocalDate tradeDate = LocalDate.of(2013, Month.APRIL, 25);
final CdsAnalyticFactory baseFactory = new CdsAnalyticFactory();
final CdsAnalyticFactory noAccFactory = baseFactory.withPayAccOnDefault(false);
final Period[] tenors = new Period[] {Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
final CdsAnalytic[] pillar = noAccFactory.makeImmCds(tradeDate, tenors);
final double[] spreads = new double[] {0.027, 0.017, 0.012, 0.009, 0.008, 0.005 };
final LocalDate spotDate = DEFAULT_CALENDAR.shift(tradeDate.minusDays(1), 3);
final String[] yieldCurvePoints = new String[] {"1M", "2M", "3M", "6M", "9M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y" };
final String[] yieldCurveInstruments = new String[] {"M", "M", "M", "M", "M", "M", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S" };
final double[] rates = new double[] {0.00445, 0.009488, 0.012337, 0.017762, 0.01935, 0.020838, 0.01652, 0.02018, 0.023033, 0.02525, 0.02696, 0.02825, 0.02931, 0.03017, 0.03092, 0.0316, 0.03231,
0.03367, 0.03419, 0.03411, 0.03412 };
final IsdaCompliantYieldCurve yc = makeYieldCurve(tradeDate, spotDate, yieldCurvePoints, yieldCurveInstruments, rates, ACT360, D30360, Period.ofYears(1));
final IsdaCompliantCreditCurve curveSuperFast = fastOgZero.calibrateCreditCurve(pillar, spreads, yc);
final IsdaCompliantCreditCurve curveFast = FastOgZero.calibrateCreditCurve(pillar, spreads, yc);
final double[] sampleTime = new double[] {30 / 365., 90 / 365., 180. / 365., 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12 };
final int num = sampleTime.length;
for (int i = 0; i < num; ++i) {
assertEquals(curveFast.getHazardRate(sampleTime[i]), curveSuperFast.getHazardRate(sampleTime[i]), 1.e-12);
}
try {
fastOgFail.calibrateCreditCurve(pillar, spreads, yc);
throw new RuntimeException();
} catch (final Exception e) {
assertTrue(e instanceof IllegalArgumentException);
}
final double coupon = 0.025;
final MarketQuoteConverter conv = new MarketQuoteConverter();
final int nSpreads = spreads.length;
final PointsUpFront[] pufsFail = new PointsUpFront[nSpreads];
final double[] pufValues = conv.parSpreadsToPUF(pillar, coupon, yc, spreads);
for (int i = 0; i < nSpreads; ++i) {
pufsFail[i] = new PointsUpFront(coupon, pufValues[i]);
}
try {
fastOgFail.calibrateCreditCurve(pillar, pufsFail, yc);
throw new RuntimeException();
} catch (final Exception e) {
assertTrue(e instanceof IllegalArgumentException);
}
}
/**
* Tests below for CreditCurveCalibrator
*/
public void almostFlatRateTest() {
final LocalDate tradeDate = LocalDate.of(2013, Month.APRIL, 25);
final CdsAnalyticFactory baseFactory = new CdsAnalyticFactory();
final Period[] tenors = new Period[] {Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
final CdsAnalytic[] pillar = baseFactory.makeImmCds(tradeDate, tenors);
final LocalDate spotDate = DEFAULT_CALENDAR.shift(tradeDate.minusDays(1), 3);
final String[] yieldCurvePoints = new String[] {"1M", "2M", "3M", "6M", "9M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y" };
final String[] yieldCurveInstruments = new String[] {"M", "M", "M", "M", "M", "M", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S" };
final double[] rates = new double[] {0.00462, 0.00231, 0.00154, 0.017762, 0.01935, 0.020838, 0.01652, 0.02018, 0.023033, 0.02525, 0.02696, 0.02825, 0.02931, 0.03017, 0.03092, 0.0316, 0.03231,
0.03367, 0.03419, 0.03411, 0.03412 };
final IsdaCompliantYieldCurve yc = makeYieldCurve(tradeDate, spotDate, yieldCurvePoints, yieldCurveInstruments, rates, ACT360, D30360, Period.ofYears(1));
final double[] spreads = new double[] {2.7e-5, 2.7e-4, 2.7e-3, 2.7e-3, 2.7e-2, 2.7e-2 };
final CreditCurveCalibrator calib = new CreditCurveCalibrator(pillar, yc);
final IsdaCompliantCreditCurve curve = calib.calibrate(spreads);
final FastCreditCurveBuilder fastBuild = new FastCreditCurveBuilder();
final IsdaCompliantCreditCurve curveFast = fastBuild.calibrateCreditCurve(pillar, spreads, yc);
final double[] sampleTime = new double[] {30 / 365., 90 / 365., 180. / 365., 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12 };
final int num = sampleTime.length;
for (int i = 0; i < num; ++i) {
assertEquals(curveFast.getHazardRate(sampleTime[i]), curve.getHazardRate(sampleTime[i]), 1.e-6);
}
}
/**
*
*/
public void hashCodeEqualsTest() {
final LocalDate tradeDate = LocalDate.of(2013, Month.APRIL, 25);
final CdsAnalyticFactory baseFactory = new CdsAnalyticFactory();
final CdsAnalyticFactory recFactory = baseFactory.withRecoveryRate(0.25);
final Period[] tenors = new Period[] {Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
final CdsAnalytic[] pillar = baseFactory.makeImmCds(tradeDate, tenors);
final CdsAnalytic[] pillarShort = Arrays.copyOf(pillar, pillar.length - 1);
final CdsAnalytic[] pillarRec = recFactory.makeImmCds(tradeDate, tenors);
final LocalDate spotDate = DEFAULT_CALENDAR.shift(tradeDate.minusDays(1), 3);
final String[] yieldCurvePoints = new String[] {"1M", "2M", "3M", "6M", "9M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y" };
final String[] yieldCurveInstruments = new String[] {"M", "M", "M", "M", "M", "M", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S" };
final double[] rates = new double[] {0.00445, 0.009488, 0.012337, 0.017762, 0.01935, 0.020838, 0.01652, 0.02018, 0.023033, 0.02525, 0.02696, 0.02825, 0.02931, 0.03017, 0.03092, 0.0316, 0.03231,
0.03367, 0.03419, 0.03411, 0.03412 };
final double[] ratesDiff = new double[] {0.00445, 0.009489, 0.012337, 0.017762, 0.01935, 0.020838, 0.01652, 0.02018, 0.023033, 0.02525, 0.02696, 0.02825, 0.02931, 0.03017, 0.03092, 0.0316,
0.03231, 0.03367, 0.03419, 0.03411, 0.03412 };
final IsdaCompliantYieldCurve yc = makeYieldCurve(tradeDate, spotDate, yieldCurvePoints, yieldCurveInstruments, rates, ACT360, D30360, Period.ofYears(1));
final IsdaCompliantYieldCurve ycDiff = makeYieldCurve(tradeDate, spotDate, yieldCurvePoints, yieldCurveInstruments, ratesDiff, ACT360, D30360, Period.ofYears(1));
final CreditCurveCalibrator calib = new CreditCurveCalibrator(pillar, yc);
final CreditCurveCalibrator calib1 = calib;
final CreditCurveCalibrator calib2 = new CreditCurveCalibrator(pillar, yc);
final CreditCurveCalibrator calib3 = new CreditCurveCalibrator(pillar, yc, AccrualOnDefaultFormulae.CORRECT, ArbitrageHandling.Ignore);
final CreditCurveCalibrator calib4 = new CreditCurveCalibrator(pillar, yc, AccrualOnDefaultFormulae.ORIGINAL_ISDA, ArbitrageHandling.ZeroHazardRate);
final CreditCurveCalibrator calib5 = new CreditCurveCalibrator(pillarShort, yc);
final CreditCurveCalibrator calib6 = new CreditCurveCalibrator(pillar, ycDiff);
final CreditCurveCalibrator calib7 = new CreditCurveCalibrator(pillarRec, yc);
final Object[] arrCal = new Object[] {calib1, calib2, calib3, calib4, calib5, calib6, calib7, new FastCreditCurveBuilder() };
assertTrue(calib.equals(calib));
assertFalse(calib.equals(null));
for (int i = 0; i < arrCal.length; ++i) {
if (calib.equals(arrCal[i])) {
assertTrue(arrCal[i].equals(calib));
assertTrue(calib.hashCode() == arrCal[i].hashCode());
}
if (calib.hashCode() != arrCal[i].hashCode()) {
assertFalse(calib.equals(arrCal[i]));
}
}
}
}