/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swaption.method;
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.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexSwap;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.TestsDataSetsSABR;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the calibration engine for Hull-White one factor calibration to European swaptions.
* @deprecated This class tests deprecated functionality.
*/
@Deprecated
public class SwaptionHullWhiteCalibrationObjectiveTest {
// Swaption description
private static final boolean IS_LONG = true;
private static final int SETTLEMENT_DAYS = 2;
// Swap 5Y description
private static final Currency CUR = Currency.EUR;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final double NOTIONAL = 100000000; //100m
// Fixed leg: Semi-annual bond
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
private static final double RATE = 0.0325;
private static final boolean FIXED_IS_PAYER = true;
// Ibor leg: quarterly money
private static final Period INDEX_TENOR = Period.ofMonths(3);
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final IborIndex IBOR_INDEX = new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
private static final int SWAP_TENOR_YEAR = 9;
private static final IndexSwap CMS_INDEX = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, IBOR_INDEX, Period.ofYears(SWAP_TENOR_YEAR), CALENDAR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 8, 18);
private static final int[] EXPIRY_TENOR = new int[] {1, 2, 3, 4, 5};
private static final ZonedDateTime[] EXPIRY_DATE = new ZonedDateTime[EXPIRY_TENOR.length];
private static final ZonedDateTime[] SETTLEMENT_DATE = new ZonedDateTime[EXPIRY_TENOR.length];
private static final SwapFixedIborDefinition[] SWAP_PAYER_DEFINITION = new SwapFixedIborDefinition[EXPIRY_TENOR.length];
private static final SwaptionPhysicalFixedIborDefinition[] SWAPTION_LONG_PAYER_DEFINITION = new SwaptionPhysicalFixedIborDefinition[EXPIRY_TENOR.length];
static {
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
EXPIRY_DATE[loopexp] = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofYears(EXPIRY_TENOR[loopexp]), BUSINESS_DAY, CALENDAR);
SETTLEMENT_DATE[loopexp] = ScheduleCalculator.getAdjustedDate(EXPIRY_DATE[loopexp], SETTLEMENT_DAYS, CALENDAR);
SWAP_PAYER_DEFINITION[loopexp] = SwapFixedIborDefinition.from(SETTLEMENT_DATE[loopexp], CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
SWAPTION_LONG_PAYER_DEFINITION[loopexp] = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE[loopexp], SWAP_PAYER_DEFINITION[loopexp], IS_LONG);
}
}
// to derivatives
private static final String FUNDING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES_NAME = {FUNDING_CURVE_NAME, FORWARD_CURVE_NAME};
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurves1();
private static final SABRInterestRateParameters SABR_PARAMETER = TestsDataSetsSABR.createSABR1();
private static final SABRInterestRateDataBundle SABR_BUNDLE = new SABRInterestRateDataBundle(SABR_PARAMETER, CURVES);
private static final SwaptionPhysicalFixedIbor[] SWAPTION_LONG_PAYER = new SwaptionPhysicalFixedIbor[EXPIRY_TENOR.length];
static {
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
SWAPTION_LONG_PAYER[loopexp] = SWAPTION_LONG_PAYER_DEFINITION[loopexp].toDerivative(REFERENCE_DATE, CURVES_NAME);
}
}
private static final SwaptionPhysicalFixedIborSABRMethod METHOD_SABR = SwaptionPhysicalFixedIborSABRMethod.getInstance();
private static final SwaptionPhysicalFixedIborHullWhiteMethod METHOD_HW = new SwaptionPhysicalFixedIborHullWhiteMethod();
@Test
/**
* Tests the correctness of Hull-White one factor calibration to swaptions with SABR price.
*/
public void calibration() {
final double meanReversion = 0.01;
final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
}
calibrationEngine.calibrate(SABR_BUNDLE);
final CurrencyAmount[] pvSabr = new CurrencyAmount[EXPIRY_TENOR.length];
final CurrencyAmount[] pvHw = new CurrencyAmount[EXPIRY_TENOR.length];
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
pvSabr[loopexp] = METHOD_SABR.presentValue(SWAPTION_LONG_PAYER[loopexp], SABR_BUNDLE);
pvHw[loopexp] = METHOD_HW.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getHwBundle());
assertEquals("Hull-White calibration: swaption " + loopexp, pvSabr[loopexp].getAmount(), pvHw[loopexp].getAmount(), 1E-2);
}
}
@Test(enabled = false)
/**
* Test of performance. In normal testing, "enabled = false".
*/
public void performance() {
final double meanReversion = 0.01;
long startTime, endTime;
final int nbTest = 100;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
final HullWhiteOneFactorPiecewiseConstantParameters HwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(HwParameters);
final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
}
calibrationEngine.calibrate(SABR_BUNDLE);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " Hull-White calibration to swaption (5 swaptions): " + (endTime - startTime) + " ms");
// Performance note: calibration: 31-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 410 ms for 100 calibration with 5 swaptions.
}
}