/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.index.e2e;
import static com.opengamma.strata.basics.currency.Currency.JPY;
import static com.opengamma.strata.basics.date.DayCounts.ACT_ACT_ISDA;
import static org.testng.Assert.assertEquals;
import static org.testng.Assert.assertTrue;
import java.time.LocalDate;
import org.testng.annotations.Test;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.FxMatrix;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.date.HolidayCalendarId;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.basics.index.IborIndices;
import com.opengamma.strata.basics.schedule.RollConventions;
import com.opengamma.strata.basics.value.Rounding;
import com.opengamma.strata.collect.DoubleArrayMath;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.market.curve.CurveMetadata;
import com.opengamma.strata.market.curve.CurveName;
import com.opengamma.strata.market.curve.Curves;
import com.opengamma.strata.market.curve.InterpolatedNodalCurve;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolator;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolators;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.pricer.index.DiscountingIborFutureProductPricer;
import com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer;
import com.opengamma.strata.pricer.rate.ImmutableRatesProvider;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.index.IborFuture;
import com.opengamma.strata.product.index.ResolvedIborFuture;
import com.opengamma.strata.product.index.ResolvedIborFutureTrade;
/**
* End to end test on JPY-dominated trades.
* <p>
* The trades involve futures contract on 3m Euroyen TIBOR.
*/
@Test
public class IborFuturesJpyEnd2EndTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final double ONE_PERCENT = 1e-2;
private static final double ONE_BASIS_POINT = 1e-4;
private static final double HUNDRED = 100d;
private static final double TOL = 1e-10;
private static final LocalDate VALUATION = LocalDate.of(2016, 2, 10);
private static final TradeInfo TRADE_INFO = TradeInfo.builder().tradeDate(LocalDate.of(2016, 2, 10)).build();
private static final double NOTIONAL = 100_000_000D;
private static final long QUANTITY = 1L;
private static final Rounding ROUNDING = Rounding.ofFractionalDecimalPlaces(2, 2);
private static final IborIndex TIBOR_EUROYEN_3M = IborIndices.JPY_TIBOR_EUROYEN_3M;
private static final HolidayCalendarId CALENDAR = TIBOR_EUROYEN_3M.getFixingCalendar();
// curve
private static final CurveInterpolator INTERPOLATOR = CurveInterpolators.LINEAR;
private static final double[] TIMES_FWD = new double[] {0.25956284153005466, 0.3442622950819672, 0.4262295081967213,
0.5109289617486339, 0.5956284153005464, 0.6775956284153005, 0.7622950819672131, 0.8442622950819673,
0.9290665468972228, 1.0139980537465378, 1.509888464705442, 2.013998053746538, 3.013998053746538,
4.0136612021857925, 5.013998053746538, 6.013998053746538, 7.013998053746538, 8.013661202185792, 9.013998053746537,
10.013998053746537, 12.013661202185792, 15.013998053746537, 20.01366120218579, 25.013998053746537,
30.013998053746537, 35.01399805374654, 40.013661202185794 };
private static final double[] RATES_FWD = new double[] {0.0011675730858146669, 0.0013523368085561177,
0.001131049534280983, 8.583742384839034E-4, 8.470484635395976E-4, 6.767689351179286E-4, 5.413609808841509E-4,
4.4761361391297197E-4, 3.289892481714955E-4, 2.2424609900293199E-4, -5.55328245806963E-4, -5.582260143032516E-4,
-0.0013213322970379335, -9.99374212934137E-4, -6.786337899984415E-4, -1.0429800511592125E-4, 4.58740553910201E-4,
0.0010754297421556789, 0.0017620501351558286, 0.0024797272826230436, 0.003796406741560559, 0.005230486692524101,
0.009225065993903405, 0.01128357115778175, 0.012172498030710542, 0.012953839426947904, 0.013546707965288615 };
private static final CurveName NAME_FWD = CurveName.of("fwdCurve");
private static final CurveMetadata META_FWD = Curves.zeroRates(NAME_FWD, ACT_ACT_ISDA);
private static final InterpolatedNodalCurve CURVE_FWD =
InterpolatedNodalCurve.of(META_FWD, DoubleArray.copyOf(TIMES_FWD), DoubleArray.copyOf(RATES_FWD), INTERPOLATOR);
private static final ImmutableRatesProvider RATES_PROVIDER = ImmutableRatesProvider.builder(VALUATION)
.fxRateProvider(FxMatrix.empty())
.iborIndexCurve(TIBOR_EUROYEN_3M, CURVE_FWD)
.build();
// futures in March 2016
private static final LocalDate REFERENCE_MAR = RollConventions.IMM.adjust(LocalDate.of(2016, 3, 1));
private static final LocalDate LAST_TRADE_MAR = DaysAdjustment.ofBusinessDays(-2, CALENDAR).adjust(REFERENCE_MAR, REF_DATA);
private static final SecurityId FUTURE_SECURITY_ID_MAR = SecurityId.of("OG-Ticker", "EUROYEN3M-FUT-MAR");
private static final ResolvedIborFuture FUTURE_PRODUCT_MAR = IborFuture.builder()
.securityId(FUTURE_SECURITY_ID_MAR)
.currency(JPY)
.notional(NOTIONAL)
.lastTradeDate(LAST_TRADE_MAR)
.index(TIBOR_EUROYEN_3M)
.rounding(ROUNDING)
.build().
resolve(REF_DATA);
private static final double REF_PRICE_MAR = 99.9d;
private static final ResolvedIborFutureTrade FUTURE_TRADE_MAR = ResolvedIborFutureTrade.builder()
.info(TRADE_INFO)
.product(FUTURE_PRODUCT_MAR)
.price(REF_PRICE_MAR * ONE_PERCENT)
.quantity(QUANTITY)
.build();
// futures in June 2016
private static final LocalDate REFERENCE_JUN = RollConventions.IMM.adjust(LocalDate.of(2016, 6, 1));
private static final LocalDate LAST_TRADE_JUN = DaysAdjustment.ofBusinessDays(-2, CALENDAR).adjust(REFERENCE_JUN, REF_DATA);
private static final SecurityId FUTURE_SECURITY_ID_JUN = SecurityId.of("OG-Ticker", "EUROYEN3M-FUT-JUN");
private static final ResolvedIborFuture FUTURE_PRODUCT_JUN = IborFuture.builder()
.securityId(FUTURE_SECURITY_ID_JUN)
.currency(JPY)
.notional(NOTIONAL)
.lastTradeDate(LAST_TRADE_JUN)
.index(TIBOR_EUROYEN_3M)
.rounding(ROUNDING)
.build().
resolve(REF_DATA);
private static final double REF_PRICE_JUN = 100d;
private static final ResolvedIborFutureTrade FUTURE_TRADE_JUN = ResolvedIborFutureTrade.builder()
.info(TRADE_INFO)
.product(FUTURE_PRODUCT_JUN)
.price(REF_PRICE_JUN * ONE_PERCENT)
.quantity(QUANTITY)
.build();
// futures in September 2016
private static final LocalDate REFERENCE_SEP = RollConventions.IMM.adjust(LocalDate.of(2016, 9, 1));
private static final LocalDate LAST_TRADE_SEP = DaysAdjustment.ofBusinessDays(-2, CALENDAR).adjust(REFERENCE_SEP, REF_DATA);
private static final SecurityId FUTURE_SECURITY_ID_SEP = SecurityId.of("OG-Ticker", "EUROYEN3M-FUT-SEP");
private static final ResolvedIborFuture FUTURE_PRODUCT_SEP = IborFuture.builder()
.securityId(FUTURE_SECURITY_ID_SEP)
.currency(JPY)
.notional(NOTIONAL)
.lastTradeDate(LAST_TRADE_SEP)
.index(TIBOR_EUROYEN_3M)
.rounding(ROUNDING)
.build().
resolve(REF_DATA);
private static final double REF_PRICE_SEP = 100.075d;
private static final ResolvedIborFutureTrade FUTURE_TRADE_SEP = ResolvedIborFutureTrade.builder()
.info(TRADE_INFO)
.product(FUTURE_PRODUCT_SEP)
.price(REF_PRICE_SEP * ONE_PERCENT)
.quantity(QUANTITY)
.build();
// futures in June 2017
private static final LocalDate REFERENCE_JUN_MID = RollConventions.IMM.adjust(LocalDate.of(2017, 6, 1));
private static final LocalDate LAST_TRADE_JUN_MID =
DaysAdjustment.ofBusinessDays(-2, CALENDAR).adjust(REFERENCE_JUN_MID, REF_DATA);
private static final SecurityId FUTURE_SECURITY_ID_JUN_MID = SecurityId.of("OG-Ticker", "EUROYEN3M-FUT-JUN_MID");
private static final ResolvedIborFuture FUTURE_PRODUCT_JUN_MID = IborFuture.builder()
.securityId(FUTURE_SECURITY_ID_JUN_MID)
.currency(JPY)
.notional(NOTIONAL)
.lastTradeDate(LAST_TRADE_JUN_MID)
.index(TIBOR_EUROYEN_3M)
.rounding(ROUNDING)
.build().
resolve(REF_DATA);
private static final double REF_PRICE_JUN_MID = 100.165d;
private static final ResolvedIborFutureTrade FUTURE_TRADE_JUN_MID = ResolvedIborFutureTrade.builder()
.info(TRADE_INFO)
.product(FUTURE_PRODUCT_JUN_MID)
.price(REF_PRICE_JUN_MID * ONE_PERCENT)
.quantity(QUANTITY)
.build();
// futures in March 2020
private static final LocalDate REFERENCE_MAR_LONG = RollConventions.IMM.adjust(LocalDate.of(2020, 3, 1));
private static final LocalDate LAST_TRADE_MAR_LONG =
DaysAdjustment.ofBusinessDays(-2, CALENDAR).adjust(REFERENCE_MAR_LONG, REF_DATA);
private static final SecurityId FUTURE_SECURITY_ID_MAR_LONG = SecurityId.of("OG-Ticker", "EUROYEN3M-FUT-MAR_LONG");
private static final ResolvedIborFuture FUTURE_PRODUCT_MAR_LONG = IborFuture.builder()
.securityId(FUTURE_SECURITY_ID_MAR_LONG)
.currency(JPY)
.notional(NOTIONAL)
.lastTradeDate(LAST_TRADE_MAR_LONG)
.index(TIBOR_EUROYEN_3M)
.rounding(ROUNDING)
.build().
resolve(REF_DATA);
private static final double REF_PRICE_MAR_LONG = 99.815d;
private static final ResolvedIborFutureTrade FUTURE_TRADE_MAR_LONG = ResolvedIborFutureTrade.builder()
.info(TRADE_INFO)
.product(FUTURE_PRODUCT_MAR_LONG)
.price(REF_PRICE_MAR_LONG * ONE_PERCENT)
.quantity(QUANTITY)
.build();
// pricers
private static final DiscountingIborFutureProductPricer PRODUCT_PRICER = DiscountingIborFutureProductPricer.DEFAULT;
private static final DiscountingIborFutureTradePricer TRADE_PRICER = DiscountingIborFutureTradePricer.DEFAULT;
public void price() {
// March 2016
double priceMar = PRODUCT_PRICER.price(FUTURE_PRODUCT_MAR, RATES_PROVIDER) * HUNDRED;
double priceMarRounded = FUTURE_PRODUCT_MAR.getRounding().round(priceMar);
assertEquals(priceMar, 99.86104632448779, TOL * HUNDRED);
assertEquals(priceMarRounded, 99.86, TOL * HUNDRED);
// June 2016
double priceJun = PRODUCT_PRICER.price(FUTURE_PRODUCT_JUN, RATES_PROVIDER) * HUNDRED;
double priceJunRounded = FUTURE_PRODUCT_JUN.getRounding().round(priceJun);
assertEquals(priceJun, 99.98475152702353, TOL * HUNDRED);
assertEquals(priceJunRounded, 99.985, TOL * HUNDRED);
// September 2016
double priceSep = PRODUCT_PRICER.price(FUTURE_PRODUCT_SEP, RATES_PROVIDER) * HUNDRED;
double priceSepRounded = FUTURE_PRODUCT_SEP.getRounding().round(priceSep);
assertEquals(priceSep, 100.05224158750461, TOL * HUNDRED);
assertEquals(priceSepRounded, 100.05, TOL * HUNDRED);
// June 2017
double priceJunMid = PRODUCT_PRICER.price(FUTURE_PRODUCT_JUN_MID, RATES_PROVIDER) * HUNDRED;
double priceJunMidRounded = FUTURE_PRODUCT_JUN_MID.getRounding().round(priceJunMid);
assertEquals(priceJunMid, 100.18108895230915, TOL * HUNDRED);
assertEquals(priceJunMidRounded, 100.18, TOL * HUNDRED);
// March 2020
double priceMarLong = PRODUCT_PRICER.price(FUTURE_PRODUCT_MAR_LONG, RATES_PROVIDER) * HUNDRED;
double priceMarLongRounded = FUTURE_PRODUCT_MAR_LONG.getRounding().round(priceMarLong);
assertEquals(priceMarLong, 99.9582733152131, TOL * HUNDRED);
assertEquals(priceMarLongRounded, 99.96, TOL * HUNDRED);
}
public void priceSensitivity() {
// March 2016
PointSensitivities pointMar =
PRODUCT_PRICER.priceSensitivity(FUTURE_PRODUCT_MAR, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiMar = RATES_PROVIDER.parameterSensitivity(pointMar);
double[] sensiFwdMar = new double[] {0.003743310260261194, -0.01313010637003998, -4.527622886220682E-4, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiMar.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdMar, TOL));
// June 2016
PointSensitivities pointJun =
PRODUCT_PRICER.priceSensitivity(FUTURE_PRODUCT_JUN, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiJun = RATES_PROVIDER.parameterSensitivity(pointJun);
double[] sensiFwdJun = new double[] {0.0, 0.01347165823324645, 0.0, 0.0, -0.023308107101966076, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiJun.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdJun, TOL));
// September 2016
PointSensitivities pointSep =
PRODUCT_PRICER.priceSensitivity(FUTURE_PRODUCT_SEP, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiSep = RATES_PROVIDER.parameterSensitivity(pointSep);
double[] sensiFwdSep = new double[] {0.0, 0.0, 0.0, 0.0, 0.01936692513656471, 0.0048417312841411864, 0.0,
-0.027462515988551, -0.006580907103066675, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiSep.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdSep, TOL));
// June 2017
PointSensitivities pointJunMid =
PRODUCT_PRICER.priceSensitivity(FUTURE_PRODUCT_JUN_MID, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiJunMid = RATES_PROVIDER.parameterSensitivity(pointJunMid);
double[] sensiFwdJunMid = new double[] {0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.016154080854008976,
-0.013340017892182532, -0.012672512226590141, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiJunMid.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdJunMid, TOL));
// March 2020
PointSensitivities pointMarLong =
PRODUCT_PRICER.priceSensitivity(FUTURE_PRODUCT_MAR_LONG, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiMarLong = RATES_PROVIDER.parameterSensitivity(pointMarLong);
double[] sensiFwdMarLong = new double[] {0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.03382389130551987, -0.043661005746776824, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiMarLong.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdMarLong, TOL));
}
public void presentValue() {
// March 2016
CurrencyAmount pvMar = TRADE_PRICER.presentValue(FUTURE_TRADE_MAR, RATES_PROVIDER,
FUTURE_TRADE_MAR.getPrice());
assertEquals(pvMar.getAmount(), -9738.418878056109, TOL * NOTIONAL);
// June 2016
CurrencyAmount pvJun = TRADE_PRICER.presentValue(FUTURE_TRADE_JUN, RATES_PROVIDER,
FUTURE_TRADE_JUN.getPrice());
assertEquals(pvJun.getAmount(), -3812.1182441189885, TOL * NOTIONAL);
// September 2016
CurrencyAmount pvSep = TRADE_PRICER.presentValue(FUTURE_TRADE_SEP, RATES_PROVIDER,
FUTURE_TRADE_SEP.getPrice());
assertEquals(pvSep.getAmount(), -5689.603123847395, TOL * NOTIONAL);
// June 2017
CurrencyAmount pvJunMid =
TRADE_PRICER.presentValue(FUTURE_TRADE_JUN_MID, RATES_PROVIDER, FUTURE_TRADE_JUN_MID.getPrice());
assertEquals(pvJunMid.getAmount(), 4022.2380772829056, TOL * NOTIONAL);
// March 2020
CurrencyAmount pvMarLong =
TRADE_PRICER.presentValue(FUTURE_TRADE_MAR_LONG, RATES_PROVIDER, FUTURE_TRADE_MAR_LONG.getPrice());
assertEquals(pvMarLong.getAmount(), 35818.328803278506, TOL * NOTIONAL);
}
public void presentValueSensitivity() {
// March 2016
PointSensitivities pointMar =
TRADE_PRICER.presentValueSensitivity(FUTURE_TRADE_MAR, RATES_PROVIDER).multipliedBy(ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiMar = RATES_PROVIDER.parameterSensitivity(pointMar);
double[] sensiFwdMar = new double[] {935.8275650652985, -3282.5265925099943, -113.19057215551703, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiMar.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdMar, TOL));
// June 2016
PointSensitivities pointJun =
TRADE_PRICER.presentValueSensitivity(FUTURE_TRADE_JUN, RATES_PROVIDER).multipliedBy(ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiJun = RATES_PROVIDER.parameterSensitivity(pointJun);
double[] sensiFwdJun = new double[] {0.0, 3367.914558311612, 0.0, 0.0, -5827.0267754915185, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiJun.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdJun, TOL));
// September 2016
PointSensitivities pointSep =
TRADE_PRICER.presentValueSensitivity(FUTURE_TRADE_SEP, RATES_PROVIDER).multipliedBy(ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiSep = RATES_PROVIDER.parameterSensitivity(pointSep);
double[] sensiFwdSep = new double[] {0.0, 0.0, 0.0, 0.0, 4841.731284141179, 1210.432821035297, 0.0,
-6865.62899713775, -1645.2267757666687, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiSep.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdSep, TOL));
// June 2017
PointSensitivities pointJunMid =
TRADE_PRICER.presentValueSensitivity(FUTURE_TRADE_JUN_MID, RATES_PROVIDER).multipliedBy(ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiJunMid = RATES_PROVIDER.parameterSensitivity(pointJunMid);
double[] sensiFwdJunMid = new double[] {0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 4038.520213502244,
-3335.0044730456357, -3168.128056647536, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiJunMid.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdJunMid, TOL));
// March 2020
PointSensitivities pointMarLong =
TRADE_PRICER.presentValueSensitivity(FUTURE_TRADE_MAR_LONG, RATES_PROVIDER).multipliedBy(ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiMarLong = RATES_PROVIDER.parameterSensitivity(pointMarLong);
double[] sensiFwdMarLong = new double[] {0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
8455.972826379962, -10915.251436694207, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiMarLong.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdMarLong, TOL));
}
public void parSpread() {
// March 2016
double psMar = TRADE_PRICER.parSpread(FUTURE_TRADE_MAR, RATES_PROVIDER, FUTURE_TRADE_MAR.getPrice()) * HUNDRED;
assertEquals(psMar, -0.038953675512221064, TOL * HUNDRED);
// June 2016
double psJun = TRADE_PRICER.parSpread(FUTURE_TRADE_JUN, RATES_PROVIDER, FUTURE_TRADE_JUN.getPrice()) * HUNDRED;
assertEquals(psJun, -0.01524847297647014, TOL * HUNDRED);
// September 2016
double psSep = TRADE_PRICER.parSpread(FUTURE_TRADE_SEP, RATES_PROVIDER, FUTURE_TRADE_SEP.getPrice()) * HUNDRED;
assertEquals(psSep, -0.022758412495393898, TOL * HUNDRED);
// June 2017
double psJunMid =
TRADE_PRICER.parSpread(FUTURE_TRADE_JUN_MID, RATES_PROVIDER, FUTURE_TRADE_JUN_MID.getPrice()) * HUNDRED;
assertEquals(psJunMid, 0.01608895230913454, TOL * HUNDRED);
// March 2020
double psMarLong =
TRADE_PRICER.parSpread(FUTURE_TRADE_MAR_LONG, RATES_PROVIDER, FUTURE_TRADE_MAR_LONG.getPrice()) * HUNDRED;
assertEquals(psMarLong, 0.14327331521311049, TOL * HUNDRED);
}
public void parSpreadSensitivity() {
// March 2016
PointSensitivities pointMar =
TRADE_PRICER.parSpreadSensitivity(FUTURE_TRADE_MAR, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiMar = RATES_PROVIDER.parameterSensitivity(pointMar);
double[] sensiFwdMar = new double[] {0.003743310260261194, -0.01313010637003998, -4.527622886220682E-4, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiMar.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdMar, TOL));
// June 2016
PointSensitivities pointJun =
TRADE_PRICER.parSpreadSensitivity(FUTURE_TRADE_JUN, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiJun = RATES_PROVIDER.parameterSensitivity(pointJun);
double[] sensiFwdJun = new double[] {0.0, 0.01347165823324645, 0.0, 0.0, -0.023308107101966076, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiJun.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdJun, TOL));
// September 2016
PointSensitivities pointSep =
TRADE_PRICER.parSpreadSensitivity(FUTURE_TRADE_SEP, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiSep = RATES_PROVIDER.parameterSensitivity(pointSep);
double[] sensiFwdSep = new double[] {0.0, 0.0, 0.0, 0.0, 0.01936692513656471, 0.0048417312841411864, 0.0,
-0.027462515988551, -0.006580907103066675, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiSep.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdSep, TOL));
// June 2017
PointSensitivities pointJunMid =
TRADE_PRICER.parSpreadSensitivity(FUTURE_TRADE_JUN_MID, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiJunMid = RATES_PROVIDER.parameterSensitivity(pointJunMid);
double[] sensiFwdJunMid = new double[] {0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.016154080854008976,
-0.013340017892182532, -0.012672512226590141, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiJunMid.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdJunMid,
TOL));
// March 2020
PointSensitivities pointMarLong =
TRADE_PRICER.parSpreadSensitivity(FUTURE_TRADE_MAR_LONG, RATES_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiMarLong = RATES_PROVIDER.parameterSensitivity(pointMarLong);
double[] sensiFwdMarLong = new double[] {0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.03382389130551987, -0.043661005746776824, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(
sensiMarLong.getSensitivity(NAME_FWD, JPY).getSensitivity().toArray(), sensiFwdMarLong, TOL));
}
}