/**
* Copyright (C) 2012 - 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.FederalFundsFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.time.DateUtils;
public class FederalFundsFutureSecurityDiscountingMethodTest {
private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IndexON INDEX_FEDFUND = MulticurveProviderDiscountDataSets.getIndexesON()[0];
private static final Calendar NYC = MulticurveProviderDiscountDataSets.getUSDCalendar();
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 30);
private static final ZonedDateTime MARCH_1 = DateUtils.getUTCDate(2012, 3, 1);
private static final FederalFundsFutureSecurityDefinition FUTURE_SECURITY_DEFINITION = FederalFundsFutureSecurityDefinition.fromFedFund(MARCH_1, INDEX_FEDFUND, NYC);
private static final FederalFundsFutureSecurity FUTURE_SECURITY = FUTURE_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE);
private static final FederalFundsFutureSecurityDiscountingMethod METHOD_SECURITY = FederalFundsFutureSecurityDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-8;
@Test
public void priceBeforeFixing() {
double interest = 0.0;
final double[] ratePeriod = new double[FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0; loopfix < FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length; loopfix++) {
ratePeriod[loopfix] = MULTICURVES.getForwardRate(INDEX_FEDFUND, FUTURE_SECURITY.getFixingPeriodTime()[loopfix], FUTURE_SECURITY.getFixingPeriodTime()[loopfix + 1],
FUTURE_SECURITY.getFixingPeriodAccrualFactor()[loopfix]);
interest += ratePeriod[loopfix] * FUTURE_SECURITY.getFixingPeriodAccrualFactor()[loopfix];
}
final double rate = interest / FUTURE_SECURITY.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(FUTURE_SECURITY, MULTICURVES);
assertEquals("Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
@Test
public void priceAfterFixing() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
final ZonedDateTime[] dateFixing = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6),
DateUtils.getUTCDate(2012, 3, 7) };
final double[] rateFixing = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014 };
final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(dateFixing, rateFixing);
final FederalFundsFutureSecurity futureSecurity = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
double interest = futureSecurity.getAccruedInterest();
final double[] ratePeriod = new double[futureSecurity.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0; loopfix < futureSecurity.getFixingPeriodAccrualFactor().length; loopfix++) {
ratePeriod[loopfix] = MULTICURVES.getForwardRate(INDEX_FEDFUND, futureSecurity.getFixingPeriodTime()[loopfix], futureSecurity.getFixingPeriodTime()[loopfix + 1],
futureSecurity.getFixingPeriodAccrualFactor()[loopfix]);
interest += ratePeriod[loopfix] * futureSecurity.getFixingPeriodAccrualFactor()[loopfix];
}
final double rate = interest / futureSecurity.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(futureSecurity, MULTICURVES);
assertEquals("Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
}