/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.inflation.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.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyGearingDefinition;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponMonthlyGearing;
import com.opengamma.analytics.financial.provider.calculator.inflation.NetAmountInflationCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueCurveSensitivityDiscountingInflationCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationCalculator;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.inflation.InflationIssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.ParameterSensitivityInflationParameterCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.financial.util.AssertSensitivityObjects;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventions;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests the present value and its sensitivities for zero-coupon with reference index on the first of the month.
*/
@Test(groups = TestGroup.UNIT)
public class CouponInflationZeroCouponMonthlyGearingDiscountingMethodTest {
private static final InflationIssuerProviderDiscount MARKET = MulticurveProviderDiscountDataSets.createMarket1();
private static final IndexPrice[] PRICE_INDEXES = MARKET.getPriceIndexes().toArray(new IndexPrice[MARKET.getPriceIndexes().size()]);
private static final IndexPrice PRICE_INDEX_EUR = PRICE_INDEXES[0];
private static final Calendar CALENDAR_EUR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.MODIFIED_FOLLOWING;
private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2008, 8, 18);
private static final Period COUPON_TENOR = Period.ofYears(10);
private static final ZonedDateTime PAYMENT_DATE = ScheduleCalculator.getAdjustedDate(START_DATE, COUPON_TENOR, BUSINESS_DAY, CALENDAR_EUR);
private static final double NOTIONAL = 98765432;
private static final int MONTH_LAG = 3;
private static final double INDEX_1MAY_2008 = 108.23; // 3 m before Aug: May / 1 May index = May index: 108.23
private static final double FACTOR = 0.50;
private static final double SHIFT_FD = 1.0E-7;
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
private static final ZonedDateTime PRICING_DATE = DateUtils.getUTCDate(2011, 8, 3);
private static final CouponInflationZeroCouponMonthlyGearingDefinition ZERO_COUPON_NO_DEFINITION = CouponInflationZeroCouponMonthlyGearingDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL,
PRICE_INDEX_EUR, INDEX_1MAY_2008, MONTH_LAG, MONTH_LAG, false, FACTOR);
private static final CouponInflationZeroCouponMonthlyGearing ZERO_COUPON_NO = ZERO_COUPON_NO_DEFINITION.toDerivative(PRICING_DATE);
private static final CouponInflationZeroCouponMonthlyGearingDefinition ZERO_COUPON_WITH_DEFINITION = CouponInflationZeroCouponMonthlyGearingDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL,
PRICE_INDEX_EUR, INDEX_1MAY_2008, MONTH_LAG, MONTH_LAG, true, FACTOR);
private static final CouponInflationZeroCouponMonthlyGearing ZERO_COUPON_WITH = ZERO_COUPON_WITH_DEFINITION.toDerivative(PRICING_DATE);
private static final CouponInflationZeroCouponMonthlyGearingDiscountingMethod METHOD = new CouponInflationZeroCouponMonthlyGearingDiscountingMethod();
private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance();
private static final NetAmountInflationCalculator NAIC = NetAmountInflationCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDC = PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
private static final ParameterSensitivityInflationParameterCalculator<ParameterInflationProviderInterface> PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDC);
private static final ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator PS_PV_FDC = new ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator(PVIC, SHIFT_FD);
/**
* Tests the present value.
*/
@Test
public void presentValueNoNotional() {
final MultipleCurrencyAmount pv = METHOD.presentValue(ZERO_COUPON_NO, MARKET.getInflationProvider());
final double df = MARKET.getCurve(ZERO_COUPON_NO.getCurrency()).getDiscountFactor(ZERO_COUPON_NO.getPaymentTime());
final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_NO.getReferenceEndTime());
final double pvExpected = FACTOR * (finalIndex / INDEX_1MAY_2008 - 1) * df * NOTIONAL;
assertEquals("Zero-coupon inflation: Present value", pvExpected, pv.getAmount(ZERO_COUPON_NO.getCurrency()), TOLERANCE_PV);
}
/**
* Tests the net amount.
*/
@Test
public void netAmountNoNotional() {
final MultipleCurrencyAmount pv = METHOD.netAmount(ZERO_COUPON_NO, MARKET.getInflationProvider());
final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_NO.getReferenceEndTime());
final double pvExpected = FACTOR * (finalIndex / INDEX_1MAY_2008 - 1) * NOTIONAL;
assertEquals("Zero-coupon inflation: net amount", pvExpected, pv.getAmount(ZERO_COUPON_NO.getCurrency()), TOLERANCE_PV);
}
/**
* Tests the present value: Method vs Calculator.
*/
@Test
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD.presentValue(ZERO_COUPON_NO, MARKET.getInflationProvider());
final MultipleCurrencyAmount pvCalculator = ZERO_COUPON_NO.accept(PVIC, MARKET.getInflationProvider());
assertEquals("Zero-coupon inflation: Present value", pvMethod, pvCalculator);
}
/**
* Tests the net amount: Method vs Calculator.
*/
@Test
public void netAmountMethodVsCalculator() {
final MultipleCurrencyAmount naMethod = METHOD.netAmount(ZERO_COUPON_NO, MARKET.getInflationProvider());
final MultipleCurrencyAmount naCalculator = ZERO_COUPON_NO.accept(NAIC, MARKET.getInflationProvider());
assertEquals("Zero-coupon inflation: Net amount", naMethod, naCalculator);
}
/**
* Tests the present value.
*/
@Test
public void presentValueWithNotional() {
final MultipleCurrencyAmount pv = METHOD.presentValue(ZERO_COUPON_WITH, MARKET.getInflationProvider());
final double df = MARKET.getCurve(ZERO_COUPON_WITH.getCurrency()).getDiscountFactor(ZERO_COUPON_WITH.getPaymentTime());
final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_WITH.getReferenceEndTime());
final double pvExpected = FACTOR * (finalIndex / INDEX_1MAY_2008) * df * NOTIONAL;
assertEquals("Zero-coupon inflation: Present value", pvExpected, pv.getAmount(ZERO_COUPON_WITH.getCurrency()), TOLERANCE_PV);
}
/**
* Tests the net amount.
*/
@Test
public void netAmountWithNotional() {
final MultipleCurrencyAmount pv = METHOD.netAmount(ZERO_COUPON_WITH, MARKET.getInflationProvider());
final double finalIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_WITH.getReferenceEndTime());
final double pvExpected = FACTOR * (finalIndex / INDEX_1MAY_2008) * NOTIONAL;
assertEquals("Zero-coupon inflation: net amount", pvExpected, pv.getAmount(ZERO_COUPON_WITH.getCurrency()), TOLERANCE_PV);
}
/**
* Test the present value curves sensitivity.
*/
@Test
public void presentValueCurveSensitivityWithNotional() {
final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(ZERO_COUPON_WITH, MARKET.getInflationProvider());
final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(ZERO_COUPON_WITH, MARKET.getInflationProvider());
AssertSensitivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);
}
/**
* Test the present value curves sensitivity.
*/
@Test
public void presentValueCurveSensitivityNoNotional() {
final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(ZERO_COUPON_NO, MARKET.getInflationProvider());
final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(ZERO_COUPON_NO, MARKET.getInflationProvider());
AssertSensitivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueMarketSensitivityMethodVsCalculatorNoNotional() {
final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(ZERO_COUPON_NO, MARKET.getInflationProvider());
final MultipleCurrencyInflationSensitivity pvcisCalculator = ZERO_COUPON_NO.accept(PVCSDC, MARKET.getInflationProvider());
AssertSensitivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
}
@Test
public void presentValueMarketSensitivityMethodVsCalculatorWithNotional() {
final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(ZERO_COUPON_WITH, MARKET.getInflationProvider());
final MultipleCurrencyInflationSensitivity pvcisCalculator = ZERO_COUPON_WITH.accept(PVCSDC, MARKET.getInflationProvider());
AssertSensitivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
}
}