/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.forex.provider;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.forex.definition.ForexDefinition;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.provider.calculator.forexpoints.PresentValueCurveSensitivityForexForwardPointsCalculator;
import com.opengamma.analytics.financial.provider.calculator.forexpoints.PresentValueForexForwardPointsCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveForwardPointsProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveForwardPointsProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.sensitivity.forexpoints.ParameterSensitivityForexForwardPointsDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.financial.util.AssertSensitivityObjects;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
* Test related to the method for Forex transaction by discounting on each payment.
*/
@Test(groups = TestGroup.UNIT)
public class ForexForwardPointsMethodTest {
private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountForexDataSets.createMulticurvesEURUSD();
private static final Currency CUR_1 = Currency.EUR;
private static final Currency CUR_2 = Currency.USD;
private static final Pair<Currency, Currency> PAIR = Pairs.of(CUR_1, CUR_2);
private static final Calendar CALENDAR = new MondayToFridayCalendar("CAL");
private static final ZonedDateTime PAYMENT_DATE = DateUtils.getUTCDate(2013, 6, 26);
private static final double NOMINAL_1 = 100000000;
private static final double FX_RATE = 1.4177;
private static final ForexDefinition FX_DEFINITION = new ForexDefinition(CUR_1, CUR_2, PAYMENT_DATE, NOMINAL_1, FX_RATE);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2013, 2, 12);
private static final ZonedDateTime SPOT_DATE = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, 2, CALENDAR);
private static final IborIndex USDLIBOR3M = IndexIborMaster.getInstance().getIndex("USDLIBOR3M");
private static final Forex FX = FX_DEFINITION.toDerivative(REFERENCE_DATE);
private static final ForexDefinition FX_INDIRECT_DEFINITION = new ForexDefinition(CUR_2, CUR_1, PAYMENT_DATE, -NOMINAL_1 * FX_RATE, 1.0d / FX_RATE);
private static final Forex FX_INDIRECT = FX_INDIRECT_DEFINITION.toDerivative(REFERENCE_DATE);
private static final double[] MARKET_QUOTES_PTS = new double[] {0.000001, 0.000002, 0.0004, 0.0009, 0.0015, 0.0020, 0.0036, 0.0050 };
private static final int NB_MARKET_QUOTES = MARKET_QUOTES_PTS.length;
private static final double[] MARKET_QUOTES_FWD = new double[NB_MARKET_QUOTES];
static {
for (int loopt = 0; loopt < NB_MARKET_QUOTES; loopt++) {
MARKET_QUOTES_FWD[loopt] = MARKET_QUOTES_PTS[loopt] + FX_RATE;
}
}
private static final Period[] MARKET_QUOTES_TENOR = new Period[] {Period.ofDays(-2), Period.ofDays(-1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3),
Period.ofMonths(6), Period.ofMonths(9), Period.ofMonths(12) };
private static final ZonedDateTime[] MARKET_QUOTES_DATE = new ZonedDateTime[NB_MARKET_QUOTES];
private static final double[] MARKET_QUOTES_TIME = new double[NB_MARKET_QUOTES];
static {
for (int loopt = 0; loopt < NB_MARKET_QUOTES; loopt++) {
MARKET_QUOTES_DATE[loopt] = ScheduleCalculator.getAdjustedDate(SPOT_DATE, MARKET_QUOTES_TENOR[loopt], USDLIBOR3M, CALENDAR);
MARKET_QUOTES_TIME[loopt] = TimeCalculator.getTimeBetween(REFERENCE_DATE, MARKET_QUOTES_DATE[loopt]);
}
}
private static final Interpolator1D LINEAR_FLAT = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final InterpolatedDoublesCurve FWD_RATES = new InterpolatedDoublesCurve(MARKET_QUOTES_TIME, MARKET_QUOTES_FWD, LINEAR_FLAT, true);
private static final MulticurveForwardPointsProviderDiscount MULTICURVES_FWD =
new MulticurveForwardPointsProviderDiscount(MULTICURVES, FWD_RATES, PAIR);
private static final ForexForwardPointsMethod METHOD_FX_PTS = ForexForwardPointsMethod.getInstance();
private static final PresentValueForexForwardPointsCalculator PVFFPC = PresentValueForexForwardPointsCalculator.getInstance();
private static final PresentValueCurveSensitivityForexForwardPointsCalculator PVCSFFPC = PresentValueCurveSensitivityForexForwardPointsCalculator.getInstance();
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<MulticurveForwardPointsProviderInterface> PS_FFP_C = new ParameterSensitivityParameterCalculator<>(
PVCSFFPC);
private static final ParameterSensitivityForexForwardPointsDiscountInterpolatedFDCalculator PS_FFP_FDC = new ParameterSensitivityForexForwardPointsDiscountInterpolatedFDCalculator(PVFFPC, SHIFT);
private static final double TOLERANCE_PV = 1.0E-2; // one cent out of 100m
private static final double TOLERANCE_PV_DELTA = 1.0E-0;
@Test
/**
* Tests the present value computation.
*/
public void presentValueDirectOrder() {
// final double fxRate = MULTICURVES.getFxRate(CUR_1, CUR_2);
final double payTime = FX.getPaymentTime();
final double fwdRate = FWD_RATES.getYValue(payTime);
final double amount1 = NOMINAL_1;
final double amount2 = -NOMINAL_1 * FX_RATE;
final double df2 = MULTICURVES.getDiscountFactor(CUR_2, payTime);
final double pvExpected = df2 * (amount2 + amount1 * fwdRate);
final MultipleCurrencyAmount pvComputed = METHOD_FX_PTS.presentValue(FX, MULTICURVES, FWD_RATES, PAIR);
assertEquals("ForexForwardPointsMethod: presentValue", 1, pvComputed.size());
assertEquals("ForexForwardPointsMethod: presentValue", pvExpected, pvComputed.getAmount(CUR_2), TOLERANCE_PV);
final MultipleCurrencyAmount pvComputed2 = METHOD_FX_PTS.presentValue(FX, MULTICURVES_FWD);
assertEquals("ForexForwardPointsMethod: presentValue", pvComputed.getAmount(CUR_2), pvComputed2.getAmount(CUR_2), TOLERANCE_PV);
}
@Test
/**
* Tests the present value computation.
*/
public void presentValueOppositeOrder() {
final MultipleCurrencyAmount pvComputedIndirect = METHOD_FX_PTS.presentValue(FX_INDIRECT, MULTICURVES, FWD_RATES, PAIR);
final MultipleCurrencyAmount pvComputedDirect = METHOD_FX_PTS.presentValue(FX, MULTICURVES, FWD_RATES, PAIR);
assertEquals("ForexForwardPointsMethod: presentValue", 1, pvComputedIndirect.size());
assertEquals("ForexForwardPointsMethod: presentValue", pvComputedIndirect.getAmount(CUR_2), pvComputedDirect.getAmount(CUR_2), TOLERANCE_PV);
final MultipleCurrencyAmount pvComputed2 = METHOD_FX_PTS.presentValue(FX_INDIRECT, MULTICURVES_FWD);
assertEquals("ForexForwardPointsMethod: presentValue", pvComputedIndirect.getAmount(CUR_2), pvComputed2.getAmount(CUR_2), TOLERANCE_PV);
}
@Test
/**
* Tests the present value computation.
*/
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD_FX_PTS.presentValue(FX, MULTICURVES, FWD_RATES, PAIR);
final MultipleCurrencyAmount pvCalculator = FX.accept(PVFFPC, MULTICURVES_FWD);
assertEquals("ForexForwardPointsMethod: presentValue", pvMethod.getAmount(CUR_2), pvCalculator.getAmount(CUR_2), TOLERANCE_PV);
}
@Test
/**
* Tests the currency exposure computation.
*/
public void currencyExposure() {
final double fxRate = MULTICURVES.getFxRate(CUR_1, CUR_2);
final double payTime = FX.getPaymentTime();
final double fwdRate = FWD_RATES.getYValue(payTime);
final double amount1 = NOMINAL_1;
final double amount2 = -NOMINAL_1 * FX_RATE;
final double df2 = MULTICURVES.getDiscountFactor(CUR_2, payTime);
final double ce1 = amount1 * df2 * (fwdRate / fxRate);
final double ce2 = amount2 * df2;
MultipleCurrencyAmount ceExpected = MultipleCurrencyAmount.of(CUR_1, ce1);
ceExpected = ceExpected.plus(CUR_2, ce2);
final MultipleCurrencyAmount ceComputed = METHOD_FX_PTS.currencyExposure(FX, MULTICURVES, FWD_RATES, PAIR);
assertEquals("ForexForwardPointsMethod: currencyExposure", 2, ceComputed.size());
assertEquals("ForexForwardPointsMethod: currencyExposure", ceExpected.getAmount(CUR_1), ceComputed.getAmount(CUR_1), TOLERANCE_PV);
assertEquals("ForexForwardPointsMethod: currencyExposure", ceExpected.getAmount(CUR_2), ceComputed.getAmount(CUR_2), TOLERANCE_PV);
final MultipleCurrencyAmount pvComputed = METHOD_FX_PTS.presentValue(FX, MULTICURVES, FWD_RATES, PAIR);
assertEquals("ForexForwardPointsMethod: currencyExposure", MULTICURVES.getFxRates().convert(ceComputed, CUR_2).getAmount(), pvComputed.getAmount(CUR_2), TOLERANCE_PV);
}
@Test
/**
* Tests the present value sensitivity to forward points.
*/
public void presentValueForwardPointsSensitivity() {
final double[] fpsComputed = METHOD_FX_PTS.presentValueForwardPointsSensitivity(FX, MULTICURVES, FWD_RATES, PAIR);
final MultipleCurrencyAmount pv = METHOD_FX_PTS.presentValue(FX, MULTICURVES, FWD_RATES, PAIR);
final double[] fpsExpected = new double[NB_MARKET_QUOTES];
final double shift = 1.0E-6;
for (int loopt = 0; loopt < NB_MARKET_QUOTES; loopt++) {
final double[] mqpShift = MARKET_QUOTES_FWD.clone();
mqpShift[loopt] += shift;
final InterpolatedDoublesCurve fwdPtsShift = new InterpolatedDoublesCurve(MARKET_QUOTES_TIME, mqpShift, LINEAR_FLAT, true);
final MultipleCurrencyAmount pvShift = METHOD_FX_PTS.presentValue(FX, MULTICURVES, fwdPtsShift, PAIR);
fpsExpected[loopt] = (pvShift.getAmount(CUR_2) - pv.getAmount(CUR_2)) / shift;
assertEquals("ForexForwardPointsMethod: presentValueForwardPointsSensitivity - node " + loopt, fpsExpected[loopt], fpsComputed[loopt], TOLERANCE_PV_DELTA);
}
}
@Test
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsExact = PS_FFP_C.calculateSensitivity(FX, MULTICURVES_FWD, MULTICURVES.getAllNames());
final MultipleCurrencyParameterSensitivity pvpsFD = PS_FFP_FDC.calculateSensitivity(FX, MULTICURVES_FWD);
AssertSensitivityObjects.assertEquals("ForexForwardPointsMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueCurveSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod1 = METHOD_FX_PTS.presentValueCurveSensitivity(FX, MULTICURVES, FWD_RATES, PAIR);
final MultipleCurrencyMulticurveSensitivity pvcsMethod2 = METHOD_FX_PTS.presentValueCurveSensitivity(FX, MULTICURVES_FWD);
AssertSensitivityObjects.assertEquals("ForexForwardPointsMethod: presentValueCurveSensitivity", pvcsMethod1, pvcsMethod2, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueCurveSensitivityIndirectOrderMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod1 = METHOD_FX_PTS.presentValueCurveSensitivity(FX_INDIRECT, MULTICURVES, FWD_RATES, PAIR);
final MultipleCurrencyMulticurveSensitivity pvcsMethod2 = METHOD_FX_PTS.presentValueCurveSensitivity(FX_INDIRECT, MULTICURVES_FWD);
AssertSensitivityObjects.assertEquals("ForexForwardPointsMethod: presentValueCurveSensitivity", pvcsMethod1, pvcsMethod2, TOLERANCE_PV_DELTA);
}
}