InterestRateFutureTransactionDiscountingMethodTest.java example

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/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.interestrate.future.provider;

import static org.testng.AssertJUnit.assertEquals;

import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;

import com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadRateCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadRateDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivityMulticurveDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.SimpleParameterSensitivityParameterCalculator;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.financial.util.AssertSensitivityObjects;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;

/**
 * Tests for the methods related to interest rate securities pricing without convexity adjustment.
 */
@Test(groups = TestGroup.UNIT)
public class InterestRateFutureTransactionDiscountingMethodTest {

  private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
  private static final IborIndex[] IBOR_INDEXES = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd();
  private static final IborIndex EURIBOR3M = IBOR_INDEXES[0];
  private static final Currency EUR = EURIBOR3M.getCurrency();
  private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();

  // Future
  private static final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtils.getUTCDate(2012, 9, 19);
  private static final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, -EURIBOR3M.getSpotLag(), CALENDAR);
  private static final double NOTIONAL = 1000000.0; // 1m
  private static final double FUTURE_FACTOR = 0.25;
  private static final String NAME = "ERU2";
  private static final int QUANTITY = 123;

  private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 5, 12);
  private static final ZonedDateTime TRADE_DATE = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, -1, CALENDAR);
  private static final double TRADE_PRICE = 0.99;
  private static final InterestRateFutureSecurityDefinition ERU2_SEC_DEFINITION = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, EURIBOR3M, NOTIONAL, FUTURE_FACTOR, NAME, CALENDAR);
  private static final InterestRateFutureTransactionDefinition ERU2_TRA_DEFINITION = new InterestRateFutureTransactionDefinition(ERU2_SEC_DEFINITION, QUANTITY, TRADE_DATE, TRADE_PRICE);

  private static final double REFERENCE_PRICE = 0.98;
  private static final InterestRateFutureSecurity ERU2_SEC = ERU2_SEC_DEFINITION.toDerivative(REFERENCE_DATE);
  private static final InterestRateFutureTransaction ERU2_TRA = ERU2_TRA_DEFINITION.toDerivative(REFERENCE_DATE, REFERENCE_PRICE);

  private static final InterestRateFutureTransactionDiscountingMethod METHOD_IRFUT_TRA_DSC = InterestRateFutureTransactionDiscountingMethod.getInstance();

  private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC = ParSpreadMarketQuoteDiscountingCalculator.getInstance();
  private static final ParSpreadRateDiscountingCalculator PSRDC = ParSpreadRateDiscountingCalculator.getInstance();

  private static final double SHIFT_FD = 1.0E-6;
  private static final ParSpreadRateCurveSensitivityDiscountingCalculator PSRCSDC = ParSpreadRateCurveSensitivityDiscountingCalculator.getInstance();
  private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
  private static final SimpleParameterSensitivityParameterCalculator<ParameterProviderInterface> PSC = new SimpleParameterSensitivityParameterCalculator<>(PSRCSDC);
  private static final SimpleParameterSensitivityMulticurveDiscountInterpolatedFDCalculator PSC_DSC_FD =
      new SimpleParameterSensitivityMulticurveDiscountInterpolatedFDCalculator(PSRDC, SHIFT_FD);

  private static final double TOLERANCE_PRICE = 1.0E-10;
  private static final double TOLERANCE_PRICE_DELTA = 1.0E-6;

  @Test
  /**
   * Test the par spread.
   */
  public void parSpreadMarketQuote() {
    final double parSpread = ERU2_TRA.accept(PSMQDC, MULTICURVES);
    final InterestRateFutureTransaction futures0 = new InterestRateFutureTransaction(ERU2_SEC, REFERENCE_PRICE + parSpread, QUANTITY);
    final MultipleCurrencyAmount pv0 = METHOD_IRFUT_TRA_DSC.presentValue(futures0, MULTICURVES);
    assertEquals("InterestRateFutureTransactionDiscountingMethod: STIR Futures par spread market quote", pv0.getAmount(EUR), 0, TOLERANCE_PRICE);
  }

  @Test
  /**
   * Test the price computed from the curves
   */
  public void parSpreadMarketQuoteCurveSensitivity() {
    final SimpleParameterSensitivity pcsAD = PSC.calculateSensitivity(ERU2_TRA, MULTICURVES, MULTICURVES.getAllNames());
    final SimpleParameterSensitivity pcsFD = PSC_DSC_FD.calculateSensitivity(ERU2_TRA, MULTICURVES);
    AssertSensitivityObjects.assertEquals("InterestRateFutureTransactionDiscountingMethod: priceCurveSensitivity ", pcsFD, pcsAD, TOLERANCE_PRICE_DELTA);
  }

  @Test
  /**
   * Tests the method versus the calculator for the price.
   */
  public void parSpreadRate() {
    final double parSpreadMQ = ERU2_TRA.accept(PSMQDC, MULTICURVES);
    final double parSpreadRate = ERU2_TRA.accept(PSRDC, MULTICURVES);
    assertEquals("InterestRateFutureTransactionDiscountingMethod: STIR Futures par spread rate", -parSpreadMQ, parSpreadRate, TOLERANCE_PRICE);
  }

  @Test
  /**
   * Test the price computed from the curves
   */
  public void parSpreadRateCurveSensitivity() {
    final MulticurveSensitivity pscsAD = ERU2_TRA.accept(PSMQCSDC, MULTICURVES);
    final MulticurveSensitivity pscsFD = ERU2_TRA.accept(PSRCSDC, MULTICURVES);
    AssertSensitivityObjects.assertEquals("InterestRateFutureTransactionDiscountingMethod: parSpreadRateCurveSensitivity", pscsFD.multipliedBy(-1).cleaned(),
        pscsAD.cleaned(), TOLERANCE_PRICE_DELTA);
  }

}