/*
Copyright (C) 2007 Richard Gomes
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
package org.jquantlib.testsuite.termstructures;
import static org.junit.Assert.fail;
import org.jquantlib.QL;
import org.jquantlib.Settings;
import org.jquantlib.daycounters.Actual360;
import org.jquantlib.math.Closeness;
import org.jquantlib.quotes.Handle;
import org.jquantlib.quotes.Quote;
import org.jquantlib.quotes.RelinkableHandle;
import org.jquantlib.quotes.SimpleQuote;
import org.jquantlib.termstructures.AbstractYieldTermStructure;
import org.jquantlib.termstructures.YieldTermStructure;
import org.jquantlib.termstructures.yieldcurves.FlatForward;
import org.jquantlib.termstructures.yieldcurves.ImpliedTermStructure;
import org.jquantlib.testsuite.util.Flag;
import org.jquantlib.time.Calendar;
import org.jquantlib.time.Date;
import org.jquantlib.time.Period;
import org.jquantlib.time.TimeUnit;
import org.jquantlib.time.calendars.NullCalendar;
import org.jquantlib.time.calendars.Target;
import org.junit.Ignore;
import org.junit.Test;
public class TermStructuresTest {
private final Calendar calendar;
private final int settlementDays;
private final YieldTermStructure termStructure;
private final YieldTermStructure dummyTermStructure;
public TermStructuresTest() {
QL.info("::::: "+this.getClass().getSimpleName()+" :::::");
this.calendar = new Target();
this.settlementDays = 2;
this.termStructure = null;
this.dummyTermStructure = null;
//FIXME: remove comments when PiecewiseYieldCurve becomes available
// calendar = org.jquantlib.time.calendars.Target.getCalendar();
// settlementDays = 2;
// org.jquantlib.util.Date today = calendar.advance(org.jquantlib.util.DateFactory.getFactory().getTodaysDate());
// org.jquantlib.Configuration.getSystemConfiguration(null).getGlobalSettings().setEvaluationDate(today);
// org.jquantlib.util.Date settlement = calendar.advance(today,settlementDays,TimeUnit.DAYS);
//
// Datum depositData[] = new Datum[] {
// new Datum( 1, TimeUnit.MONTHS, 4.581 ),
// new Datum( 2, TimeUnit.MONTHS, 4.573 ),
// new Datum( 3, TimeUnit.MONTHS, 4.557 ),
// new Datum( 6, TimeUnit.MONTHS, 4.496 ),
// new Datum( 9, TimeUnit.MONTHS, 4.490 )
// };
//
// Datum swapData[] = new Datum[] {
// new Datum( 1, TimeUnit.YEARS, 4.54 ),
// new Datum( 5, TimeUnit.YEARS, 4.99 ),
// new Datum( 10, TimeUnit.YEARS, 5.47 ),
// new Datum( 20, TimeUnit.YEARS, 5.89 ),
// new Datum( 30, TimeUnit.YEARS, 5.96 )
// };
//
// int deposits = depositData.length;
// int swaps = swapData.length;
//
// RateHelper instruments[] = new RateHelper[deposits+swaps];
//
//
// for (int i=0; i(
// depositData[i].rate/100,
// new Period(depositData[i].n, depositData[i].units),
// settlementDays, calendar,
// BusinessDayConvention.MODIFIED_FOLLOWING, true,
// Actual360.getDayCounter());
// }
//
//
// IborIndex index = new IborIndex(
// "dummy",
// new Period(6,TimeUnit.MONTHS),
// settlementDays,
// calendar,
// null,
// BusinessDayConvention.MODIFIED_FOLLOWING,
// false,
// Actual360.getDayCounter());
//
// for (int i=0; i(settlement, instruments, Actual360.getDayCounter());
//
// dummyTermStructure = new PiecewiseYieldDiscountCurve(settlement, instruments, Actual360.getDayCounter());
}
@Test
public void testReferenceChange() {
QL.info("Testing term structure against evaluation date change...");
final YieldTermStructure localTermStructure = new FlatForward(settlementDays, new NullCalendar(), 0.03, new Actual360());
final int days[] = { 10, 30, 60, 120, 360, 720 };
/*@DiscountFactor*/ final double[] expected = new /*@DiscountFactor*/ double[days.length];
final Date today = new Settings().evaluationDate();
for (int i=0; i(
// new Handle(termStructure), newSettlement);
//
// final /*@DiscountFactor*/ double baseDiscount = termStructure.discount(newSettlement);
// final /*@DiscountFactor*/ double discount = termStructure.discount(testDate);
// final /*@DiscountFactor*/ double impliedDiscount = implied.discount(testDate);
//
// if (Math.abs(discount - baseDiscount*impliedDiscount) > tolerance)
// fail("unable to reproduce discount from implied curve\n"
// + " calculated: " + baseDiscount*impliedDiscount + "\n"
// + " expected: " + discount);
}
/**
* FIXME:
* This test should be using PiecewiseYieldCurve but was changed to use another TermStructure for the time being whilst
* PiecewiseYieldCurve is not available.
*/
@Test
public void testImpliedObs() {
QL.info("Testing observability of implied term structure...");
final Date today = new Settings().evaluationDate();
final Date newToday = today.add(Period.ONE_YEAR_FORWARD.mul(3));
final Date newSettlement = new Target().advance(newToday, settlementDays, TimeUnit.Days);
//FIXME:: Fix RelinkableHandle. The initialization of "h" should be:
//
// final RelinkableHandle h = new RelinkableHandle(YieldTermStructure.class);
//
// see: http://bugs.jquantlib.org/view.php?id=465
//
final RelinkableHandle h = new RelinkableHandle(
new AbstractYieldTermStructure() {
@Override
protected double discountImpl(final double t) {
throw new UnsupportedOperationException();
}
@Override
public Date maxDate() {
throw new UnsupportedOperationException();
}
} );
final YieldTermStructure implied = new ImpliedTermStructure(h, newSettlement);
final Flag flag = new Flag();
implied.addObserver(flag);
// TODO: initialization needed (dependent of PiecewiseYieldCurve)
// h.setLink(termStructure);
// -------------------------------------------------------------------------------------------------------------
// FIXME: This code was added instead. Please remove when PiecewiseYieldCurve becomes ready
//
final Quote quote = new SimpleQuote(100.0);
final Flag anotherFlag = new Flag();
quote.addObserver(anotherFlag);
h.linkTo(new FlatForward(today, new Handle(quote), new Actual360()));
if (!anotherFlag.isUp()) {
fail("Observer was not notified of term structure change");
}
if (!flag.isUp()) {
fail("Observer was not notified of term structure change");
}
}
// Date today = Settings::instance().evaluationDate();
// Date newToday = today + 3*Years;
// Date newSettlement = vars.calendar.advance(newToday,
// vars.settlementDays,Days);
// RelinkableHandle h;
// boost::shared_ptr implied(
// new ImpliedTermStructure(h, newSettlement));
// Flag flag;
// flag.registerWith(implied);
// h.linkTo(vars.termStructure);
// if (!flag.isUp())
// BOOST_ERROR("Observer was not notified of term structure change");
@Ignore
@Test
public void testFSpreaded() {
QL.info("Testing consistency of forward-spreaded term structure...");
fail("***** TEST FAILED :: waiting for translation of ForwardSpreadedTermStructure *****");
// final double tolerance = 1.0e-10;
// final Quote me = new SimpleQuote(0.01);
// final Handle mh = new Handle(me);
//
// YieldTermStructure spreaded = new ForwardSpreadedTermStructure( new Handle(termStructure), mh);
// Date testDate = termStructure.referenceDate().increment(5 * Period.ONE_YEAR_FORWARD.length());
// DayCounter tsdc = termStructure.dayCounter();
// DayCounter sprdc = spreaded.dayCounter();
//
// // FIXME :: code review:: could be:: /*@Rate*/ double forward = ... ?????
// InterestRate forward = termStructure.forwardRate(testDate, testDate, tsdc, Compounding.CONTINUOUS, Frequency.NO_FREQUENCY);
//
// // FIXME :: code review:: could be:: /*@Rate*/ double spreadedForward = ... ?????
// InterestRate spreadedForward = spreaded.forwardRate(testDate, testDate, sprdc, Compounding.CONTINUOUS, Frequency.NO_FREQUENCY);
//
// if (Math.abs(forward.rate() - (spreadedForward.rate() - me.evaluate())) > tolerance) {
// fail("unable to reproduce forward from spreaded curve\n"
// + " calculated: " + (spreadedForward.rate() - me.evaluate()) + "\n"
// + " expected: " + forward.rate()
// );
// }
}
@Ignore
@Test
public void testFSpreadedObs() {
QL.info("Testing observability of forward-spreaded term structure...");
fail("***** TEST FAILED :: waiting for translation of ForwardSpreadedTermStructure *****");
// SimpleQuote me = new SimpleQuote(0.01);
// Handle mh = new Handle(me);
// RelinkableHandle h = new RelinkableHandle(); //(dummyTermStructure_);
// YieldTermStructure spreaded = new ForwardSpreadedTermStructure(h, mh);
//
// Flag flag = new Flag();
// spreaded.addObserver(flag);
// h.setLink(termStructure);
// if (!flag.isUp()) {
// fail("Observer was not notified of term structure change");
// }
//
// flag.lower();
// me.setValue(0.005);
// if (!flag.isUp()) {
// fail("Observer was not notified of spread change");
// }
}
@Ignore
@Test
public void testZSpreaded() {
QL.info("Testing consistency of zero-spreaded term structure...");
fail("***** TEST FAILED :: waiting for translation of ZeroSpreadedTermStructure *****");
// double tolerance = 1.0e-10;
// Quote me = new SimpleQuote(0.01);
// Handle mh = new Handle(me);
// YieldTermStructure spreaded = new ZeroSpreadedTermStructure(new Handle(termStructure), mh);
// Date testDate = termStructure.referenceDate().increment(5 * Period.ONE_YEAR_FORWARD.length());
// DayCounter rfdc = termStructure.dayCounter();
//
// // FIXME :: code review:: could be:: /*@Rate*/ double zero = ... ?????
// InterestRate zero = termStructure.zeroRate(testDate, rfdc, Compounding.CONTINUOUS, Frequency.NO_FREQUENCY);
//
// // FIXME :: code review:: could be:: /*@Rate*/ double spreadedZero = ... ?????
// InterestRate spreadedZero = spreaded.zeroRate(testDate, rfdc, Compounding.CONTINUOUS, Frequency.NO_FREQUENCY);
//
// if (Math.abs(zero.rate() - (spreadedZero.rate() - me.evaluate())) > tolerance) {
// fail(
// "unable to reproduce zero yield from spreaded curve\n"
// + " calculated: " + (spreadedZero.rate() - me.evaluate()) + "\n"
// + " expected: " + zero.rate());
// }
}
@Ignore
@Test
public void testZSpreadedObs() {
QL.info("Testing observability of zero-spreaded term structure...");
fail("***** TEST FAILED :: waiting for translation of ZeroSpreadedTermStructure *****");
// SimpleQuote me = new SimpleQuote(0.01);
// Handle mh = new Handle(me);
//
// RelinkableHandle h = new RelinkableHandle(dummyTermStructure);
// YieldTermStructure spreaded = new ZeroSpreadedTermStructure(h, mh);
//
// Flag flag = new Flag();
// spreaded.addObserver(flag);
// h.setLink(termStructure);
//
// if (!flag.isUp()) {
// fail("Observer was not notified of term structure change");
// }
//
// flag.lower();
// me.setValue(0.005);
// if (!flag.isUp()) {
// fail("Observer was not notified of spread change");
// }
}
//
// private inner classes
//
private static class Datum {
public int n;
public TimeUnit units;
public double rate;
public Datum(final int n, final TimeUnit units, final double rate) {
this.n = n;
this.units = units;
this.rate = rate;
}
}
}
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