public void test_zeroRatePointSensitivityWithSpread_smallYearFraction() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, 0.0d); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
public void test_zeroRatePointSensitivityWithSpread_periodic() { int periodPerYear = 4; ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactor(DATE_AFTER); double z = -1.0/relativeYearFraction*Math.log(df); double shift = 1.0E-6; double zP = z + shift; double zM = z - shift; double dfSP = Math.pow( Math.pow(Math.exp(-zP * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear); double dfSM = Math.pow( Math.pow(Math.exp(-zM * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear); double ddfSdz = (dfSP - dfSM) / (2 * shift); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, ddfSdz); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_periodic() { int periodPerYear = 4; ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactor(DATE_AFTER); double z = -1.0/relativeYearFraction*Math.log(df); double shift = 1.0E-6; double zP = z + shift; double zM = z - shift; double dfSP = Math.pow( Math.pow(Math.exp(-zP * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear); double dfSM = Math.pow( Math.pow(Math.exp(-zM * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear); double ddfSdz = (dfSP - dfSM) / (2 * shift); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, ddfSdz); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, PERIODIC, periodPerYear); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, 0.0d); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
public void test_zeroRatePointSensitivityWithSpread_continous() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA); }
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continous() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA); }
public void test_parameterSensitivity_withSpread_full() { int periodPerYear = 2; double spread = 0.0011; // 11 bp ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double sensiValue = 25d; ZeroRateSensitivity point = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear); point = point.multipliedBy(sensiValue); CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point); assertEquals(sensiObject.getSensitivities().size(), 1); DoubleArray sensi0 = sensiObject.getSensitivities().get(0).getSensitivity(); double shift = 1.0E-6; for (int i = 0; i < X.size(); i++) { DoubleArray yP = Y.with(i, Y.get(i) + shift); InterpolatedNodalCurve curveP = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yP, INTERPOLATOR); double dfP = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveP) .discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear); DoubleArray yM = Y.with(i, Y.get(i) - shift); InterpolatedNodalCurve curveM = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yM, INTERPOLATOR); double dfM = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveM) .discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear); assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD, "With spread - " + i); } }