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Add unittests to increase test coverage #94

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Dec 6, 2024
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Add unittests to increase test coverage #94

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56 changes: 56 additions & 0 deletions test/unittests/analytics/covariances.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -165,6 +165,8 @@ using Test
Dict{String, DiffFusion.FixingEntry}(),
)

struct NoModel <: DiffFusion.Model end # dummy model for testing

@testset "Test scaling vector calculation" begin
ch_full = get_correlation("Std")
mdl = hybrid_model(ch_full)
Expand All @@ -173,6 +175,7 @@ using Test
#
# test constraints
@test_throws ErrorException DiffFusion.reference_rate_scaling("NoKey", 1.0, mdl, ctx)
@test_throws ErrorException DiffFusion.reference_rate_scaling("EUR", 1.0, NoModel(), ctx)
@test_throws AssertionError DiffFusion.reference_rate_scaling("EUR", -1.0, mdl, ctx)
@test_throws AssertionError DiffFusion.reference_rate_scaling("USD", 0.0, mdl, ctx)
@test_throws AssertionError DiffFusion.reference_rate_scaling("USD-EUR", 1.0, mdl, ctx)
Expand Down Expand Up @@ -363,4 +366,57 @@ using Test
# display(C)
end

@testset "Test degenerated volatility and correlation calculation" begin
ch_full = get_correlation("Std")
times = [ 0. ]
#
hjm_eur = DiffFusion.gaussian_hjm_model(
"EUR",
DiffFusion.flat_parameter([ 1., 10., 20. ]), # delta
DiffFusion.flat_parameter([ 0.01, 0.10, 0.30 ]), # chi
DiffFusion.backward_flat_volatility("",times,[ 0. 0. 0. ]' * 1.0e-4), # sigma
ch_full,
nothing,
)
fx_usd_eur = DiffFusion.lognormal_asset_model(
"USD-EUR",
DiffFusion.flat_volatility("", 0.0),
ch_full,
nothing,
)
hjm_usd = DiffFusion.gaussian_hjm_model(
"USD",
DiffFusion.flat_parameter([ 1., 10., 20. ]), # delta
DiffFusion.flat_parameter([ 0.01, 0.10, 0.30 ]), # chi
DiffFusion.backward_flat_volatility("",times,[ 0. 0. 0. ]' * 1.0e-4), # sigma
ch_full,
fx_usd_eur,
)
#
mdl = DiffFusion.simple_model("Std", [ hjm_eur, fx_usd_eur, hjm_usd])
#
dt = 0.25
(v, C) = DiffFusion.reference_rate_volatility_and_correlation(
[
("EUR", 1.0),
("EUR", 5.0),
("EUR", 10.0),
("USD-EUR", 0.0),
],
ctx, mdl, ch_full, 0.0, dt
)
#
v_ref = zeros(4)
C_ref = [
1.0 0.0 0.0 0.0
0.0 1.0 0.0 0.0
0.0 0.0 1.0 0.0
0.0 0.0 0.0 1.0
]
@test v == v_ref
@test C == C_ref
# display(v)
# display(C)
end

end
65 changes: 63 additions & 2 deletions test/unittests/analytics/valuations.jl
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Expand Up @@ -37,6 +37,8 @@ using ForwardDiff
sim = DiffFusion.simple_simulation(fx_model, ch, times, n_paths, with_progress_bar = false)
path = DiffFusion.path(sim, ts_list, context, DiffFusion.LinearPathInterpolation)

sim_func(model, ch) = DiffFusion.simple_simulation(model, ch, times, n_paths, with_progress_bar = false)
make_regression(C, O) = DiffFusion.polynomial_regression(C, O, 1)

@testset "Delta calculation" begin
@info "Start testing AD Deltas..."
Expand Down Expand Up @@ -76,7 +78,6 @@ using ForwardDiff
@testset "Vega calculation" begin
@info "Start testing AD Vegas..."
model = DiffFusion.simple_model("Std", [fx_model])
sim_func(model, ch) = DiffFusion.simple_simulation(model, ch, times, n_paths, with_progress_bar = false)
#
payoffs = [ DiffFusion.Asset(2.0, "EUR-USD")]
model_price = DiffFusion.model_price(payoffs, path, nothing, "USD")
Expand All @@ -96,4 +97,64 @@ using ForwardDiff
# println(g1)
end

end
@testset "Zero model price and delta/vega calculation" begin
# also capture case with non-trivial correlation
ch = DiffFusion.correlation_holder("Two")
DiffFusion.set_correlation!(ch, "EUR-USD_x", "GBP-USD_x", 0.3)
sigma_fx = DiffFusion.flat_volatility("EUR-USD", 0.15)
fx_model = DiffFusion.lognormal_asset_model("EUR-USD", sigma_fx, ch, nothing)
sim = DiffFusion.simple_simulation(fx_model, ch, times, n_paths, with_progress_bar = false)
path = DiffFusion.path(sim, ts_list, context, DiffFusion.LinearPathInterpolation)
#
payoffs = [ ]
model_price = DiffFusion.model_price(payoffs, path, nothing, "USD")
@test model_price == 0.0
#
@info "Testing Zero AD Deltas..."
#
(v, g) = DiffFusion.model_price_and_deltas(payoffs, path, nothing, "USD")
@test v == model_price
#
model_price = DiffFusion.model_price(payoffs, path, nothing, nothing)
(v, g) = DiffFusion.model_price_and_deltas(payoffs, path, nothing, nothing)
@test v == model_price
#
model_price = DiffFusion.model_price(payoffs, path, nothing, "USD")
(v1, g1, l1) = DiffFusion.model_price_and_deltas_vector(payoffs, path, nothing, "USD", Zygote)
(v2, g2, l2) = DiffFusion.model_price_and_deltas_vector(payoffs, path, nothing, "USD", ForwardDiff)
(v3, g3, l3) = DiffFusion.model_price_and_deltas_vector(payoffs, path, nothing, "USD", FiniteDifferences)
@test v1 == model_price
@test v2 == model_price
@test v2 == model_price
# @test isapprox(g1, g2, atol=1.0e-12)
# @test isapprox(g2, g3, atol=1.0e-10)
#
model_price = DiffFusion.model_price(payoffs, path, nothing, nothing)
(v1, g1, l1) = DiffFusion.model_price_and_deltas_vector(payoffs, path, nothing, nothing, Zygote)
(v2, g2, l2) = DiffFusion.model_price_and_deltas_vector(payoffs, path, nothing, nothing, ForwardDiff)
(v3, g3, l3) = DiffFusion.model_price_and_deltas_vector(payoffs, path, nothing, nothing, FiniteDifferences)
@test v1 == model_price
@test v2 == model_price
@test v3 == model_price
# @test isapprox(g1, g2, atol=1.0e-12)
# @test isapprox(g2, g3, atol=1.0e-9)
#
@info "Testing Zero AD Vegas..."
#
model = DiffFusion.simple_model("Std", [fx_model])
#
(v, g) = DiffFusion.model_price_and_vegas(payoffs, model, sim_func, ts_list, context, nothing, "USD")
@test v == model_price
#
model_price = DiffFusion.model_price(payoffs, path, nothing, "USD")
(v1, g1, l1) = DiffFusion.model_price_and_vegas_vector(payoffs, model, sim_func, ts_list, context, nothing, "USD", Zygote)
(v2, g2, l2) = DiffFusion.model_price_and_vegas_vector(payoffs, model, sim_func, ts_list, context, nothing, "USD", ForwardDiff)
(v3, g3, l3) = DiffFusion.model_price_and_vegas_vector(payoffs, model, sim_func, ts_list, context, nothing, "USD", FiniteDifferences)
@test v1 == model_price
@test v2 == model_price
@test v3 == model_price
# @test isapprox(g1, g2, atol=1.0e-12)
# @test isapprox(g2, g3, atol=1.0e-10)
end

end
50 changes: 49 additions & 1 deletion test/unittests/paths/path.jl
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Expand Up @@ -75,7 +75,7 @@ end
# valuation context with deterministic dividend yield

context = DiffFusion.Context("Std",
DiffFusion.NumeraireEntry("USD", "USD", Dict(_empty_key => "USD")),
DiffFusion.NumeraireEntry("USD", "USD", Dict(_empty_key => "USD", "OIS" => "USD")),
Dict{String, DiffFusion.RatesEntry}([
("USD", DiffFusion.RatesEntry("USD", "USD", Dict(_empty_key => "USD", "OIS" => "USD", "NO" => "ZERO"))),
("EUR", DiffFusion.RatesEntry("EUR", "EUR", Dict(_empty_key => "EUR", "NO" => "ZERO"))),
Expand Down Expand Up @@ -239,6 +239,8 @@ end
p = DiffFusion.path(sim, ts, context)
t = 2.0
@test isapprox(DiffFusion.numeraire(p, t, "USD"), exp(1.0 + 0.03*t) * ones(5), atol=1.0e-15)
@test isapprox(DiffFusion.numeraire(p, t, "USD:OIS"), exp(1.0 + 0.03*t) * ones(5), atol=1.0e-15)
@test isapprox(DiffFusion.numeraire(p, t, "USD:OIS-OIS"), exp(1.0) * ones(5), atol=1.0e-15)
#
@test isapprox(DiffFusion.bank_account(p, t, "USD"), exp(1.0 + 0.03*t) * ones(5), atol=1.0e-15)
@test isapprox(DiffFusion.bank_account(p, t, "EUR"), exp(1.0 + 0.02*t) * ones(5), atol=1.0e-15)
Expand Down Expand Up @@ -426,4 +428,50 @@ end
@test DiffFusion.forward_rate_variance(p, 1.0, 2.0, 2.0, 3.0, "USD") == zeros(1)
@test DiffFusion.asset_variance(p, 1.0, 2.0, "EUR-USD") == zeros(1)
end

@testset "Forward asset special cases." begin
t = 2.0
T = 5.0
#
context = DiffFusion.Context("Std",
DiffFusion.NumeraireEntry("USD", "USD", Dict(_empty_key => "USD")),
Dict{String, DiffFusion.RatesEntry}([
("USD", DiffFusion.RatesEntry("USD", "USD", Dict(_empty_key => "USD"))),
("EUR", DiffFusion.RatesEntry("EUR", "EUR", Dict(_empty_key => "EUR"))),
#
("USD_NULL", DiffFusion.RatesEntry("USD", nothing, Dict(_empty_key => "USD"))),
("EUR_NULL", DiffFusion.RatesEntry("EUR", nothing, Dict(_empty_key => "EUR"))),
]),
Dict{String, DiffFusion.AssetEntry}([
("DK_MODEL", DiffFusion.AssetEntry("EUR-USD", nothing, "USD", "EUR", "EUR-USD", Dict(_empty_key => "USD"), Dict(_empty_key => "EUR"))),
("ST_DIV_1", DiffFusion.AssetEntry("EUR-USD", nothing, nothing, "EUR", "EUR-USD", Dict(_empty_key => "USD"), Dict(_empty_key => "EUR"))),
("ST_DIV_2", DiffFusion.AssetEntry("EUR-USD", "EUR-USD", nothing, "EUR", "EUR-USD", Dict(_empty_key => "USD"), Dict(_empty_key => "EUR"))),
("RATES", DiffFusion.AssetEntry("EUR-USD", nothing, "USD", nothing, "EUR-USD", Dict(_empty_key => "USD"), Dict(_empty_key => "EUR"))),
]),
Dict{String, DiffFusion.ForwardIndexEntry}(),
Dict{String, DiffFusion.FutureIndexEntry}(),
Dict{String, DiffFusion.FixingEntry}(),
)
p = DiffFusion.path(sim, ts, context)
#
S_t = DiffFusion.asset(p, t, "DK_MODEL")
P_d = DiffFusion.zero_bond(p, t, T, "USD")
P_f = DiffFusion.zero_bond(p, t, T, "EUR")
@test isapprox(DiffFusion.forward_asset(p, t, T, "DK_MODEL"), S_t .* P_f ./ P_d, atol=5.0e-15)
#
S_t = DiffFusion.asset(p, t, "ST_DIV_1")
P_d = DiffFusion.zero_bond(p, t, T, "USD_NULL")
P_f = DiffFusion.zero_bond(p, t, T, "EUR")
@test isapprox(DiffFusion.forward_asset(p, t, T, "ST_DIV_1"), S_t .* P_f ./ P_d, atol=5.0e-15)
#
S_t = DiffFusion.asset(p, t, "ST_DIV_2")
P_d = DiffFusion.zero_bond(p, t, T, "USD_NULL")
P_f = DiffFusion.zero_bond(p, t, T, "EUR")
@test isapprox(DiffFusion.forward_asset(p, t, T, "ST_DIV_2"), S_t .* P_f ./ P_d, atol=5.0e-15)
#
S_t = DiffFusion.asset(p, t, "RATES")
P_d = DiffFusion.zero_bond(p, t, T, "USD")
P_f = DiffFusion.zero_bond(p, t, T, "EUR_NULL")
@test isapprox(DiffFusion.forward_asset(p, t, T, "RATES"), S_t .* P_f ./ P_d, atol=5.0e-15)
end
end
21 changes: 21 additions & 0 deletions test/unittests/products/rates_coupons.jl
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Expand Up @@ -47,6 +47,20 @@ using Test
@test string(DiffFusion.amount(C)) == "(Idx(EURIBOR, -0.50) + 0.0100) * 1.0000"
end

@testset "SimpleRate option test" begin
C = DiffFusion.SimpleRateCoupon(1.8, 2.0, 3.0, 3.2, 1.0, "EUR6M", nothing, nothing)
O = DiffFusion.OptionletCoupon(C, 0.01, +1.0) # expiry_time from CompoundedRateCoupon
@test DiffFusion.pay_time(O) == 3.2
@test DiffFusion.year_fraction(O) == 1.0
@test string(DiffFusion.amount(O)) == "Max(1.0000 * (L(EUR6M, 1.80; 2.00, 3.00) - 0.0100), 0.0000) * 1.0000"
@test string(DiffFusion.expected_amount(O, 0.5)) == "Caplet(L(EUR6M, 0.50; 2.00, 3.00), 0.0100; 1.80) * 1.0000"
@test string(DiffFusion.expected_amount(O, 1.0)) == "Caplet(L(EUR6M, 1.00; 2.00, 3.00), 0.0100; 1.80) * 1.0000"
@test string(DiffFusion.expected_amount(O, 2.5)) == "Max(1.0000 * (L(EUR6M, 1.80; 2.00, 3.00) - 0.0100), 0.0000) * 1.0000"
@test string(DiffFusion.expected_amount(O, 3.0)) == "Max(1.0000 * (L(EUR6M, 1.80; 2.00, 3.00) - 0.0100), 0.0000) * 1.0000"
# println(string(DiffFusion.amount(O)))
# println(string(DiffFusion.expected_amount(O, 0.0)))
end

@testset "CompoundedRateCoupon test" begin
period_times = 1.0:0.1:2.0
period_year_fractions = period_times[2:end] - period_times[1:end-1]
Expand Down Expand Up @@ -88,6 +102,13 @@ using Test
@test string(DiffFusion.expected_amount(C, 0.05)) == string(DiffFusion.amount(C))
@test string(DiffFusion.expected_amount(C, 0.1)) == string(DiffFusion.amount(C))
@test string(DiffFusion.expected_amount(C, 0.2)) == string(DiffFusion.amount(C))
#
period_times = [-2.0, -1.5, -1.0]
period_year_fractions = [ 0.5, 0.5 ]
C = DiffFusion.CompoundedRateCoupon(period_times, period_year_fractions, period_times[end], "USD:SOFR", "SOFR", 0.02)
@test string(DiffFusion.amount(C)) == "((((1.0000 + Idx(SOFR, -2.00) * 0.5000) * (1.0000 + Idx(SOFR, -1.50) * 0.5000) - 1.0000) / 1.0000) + 0.0200) * 1.0000"
@test string(DiffFusion.expected_amount(C, 0.0)) == string(DiffFusion.amount(C))
#
# println(string(DiffFusion.amount(C)))
# println(string(DiffFusion.expected_amount(C, 0.0)))
end
Expand Down
34 changes: 34 additions & 0 deletions test/unittests/serialisation/rebuild_models.jl
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Expand Up @@ -77,6 +77,15 @@ using Test
for (a, b) in zip(keys(d), ["EUR", "Std", "Full", "EUR-USD", "SXE50-EUR", "USD"])
@test a == b
end
# Simple 1F model
delta = DiffFusion.flat_parameter([ 1., ])
chi = DiffFusion.flat_parameter([ 0.01, ])
times = [ 0. ]
values = [ 50. ]' * 1.0e-4
sigma_f = DiffFusion.backward_flat_volatility("USD", times, values)
hjm_model = DiffFusion.gaussian_hjm_model("md/USD", delta, chi, sigma_f, nothing, nothing)
d = DiffFusion.model_parameters(hjm_model)
@test d["md/USD"]["correlation_holder"] == nothing # this is what's different in this test
end

@testset "Re-build models" begin
Expand Down Expand Up @@ -109,6 +118,17 @@ using Test
model_dict = Dict{String, Any}()
model = DiffFusion.build_model(DiffFusion.alias(full_model), param_dict, model_dict)
@test string(model) == string(full_model)
# Simple 1F model w/o correlation
delta = DiffFusion.flat_parameter([ 1., ])
chi = DiffFusion.flat_parameter([ 0.01, ])
times = [ 0. ]
values = [ 50. ]' * 1.0e-4
sigma_f = DiffFusion.backward_flat_volatility("USD", times, values)
hjm_model = DiffFusion.gaussian_hjm_model("md/USD", delta, chi, sigma_f, nothing, nothing)
param_dict = DiffFusion.model_parameters(hjm_model)
model_dict = Dict{String, Any}()
model = DiffFusion.build_model(DiffFusion.alias(hjm_model), param_dict, model_dict)
@test string(model) == string(hjm_model)
end


Expand Down Expand Up @@ -209,6 +229,20 @@ using Test
m_dict = Dict{String, Any}()
m1 = DiffFusion.build_model(m.alias, p_dict, m_dict)
@test string(m1) == string(m)
#
# Re-build with quanto model
quanto_model = DiffFusion.lognormal_asset_model("USD-GBP", σ, ch_full, nothing)
m = DiffFusion.cev_asset_model("EUR-USD", σ, γ, ch_full, quanto_model)
d = DiffFusion.model_parameters(m)
(l, v) = DiffFusion.model_volatility_values(m.alias, d)
p_dict = Dict{String, Any}( "Full" => ch_full, )
for k in keys(d)
p_dict[k] = d[k]
end
DiffFusion.model_parameters!(p_dict, l, v)
m_dict = Dict{String, Any}( "USD-GBP" => quanto_model, )
m1 = DiffFusion.build_model(m.alias, p_dict, m_dict)
@test string(m1) == string(m)
# println(l)
# println(d)
end
Expand Down
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