//------------------------------------------------------------------------- public virtual void test_presentValue() { ScenarioMarketData md = BondFutureTradeCalculationFunctionTest.marketData(); LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingBondFutureTradePricer pricer = DiscountingBondFutureTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, SETTLE_PRICE); double expectedParSpread = pricer.parSpread(RTRADE, provider, SETTLE_PRICE); assertEquals(BondFutureTradeCalculations.DEFAULT.presentValue(RTRADE, LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv))); assertEquals(BondFutureTradeCalculations.DEFAULT.parSpread(RTRADE, LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParSpread))); }
public virtual void test_pv01_calibrated() { ScenarioMarketData md = BondFutureTradeCalculationFunctionTest.marketData(); LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingBondFutureTradePricer pricer = DiscountingBondFutureTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4); assertEquals(BondFutureTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal))); assertEquals(BondFutureTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))); }
public virtual void test_pv01_quote() { ScenarioMarketData md = BondFutureTradeCalculationFunctionTest.marketData(); LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingBondFutureTradePricer pricer = DiscountingBondFutureTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens.multipliedBy(1e-4), provider); MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total(); MultiCurrencyScenarioArray sumComputed = BondFutureTradeCalculations.DEFAULT.pv01MarketQuoteSum(RTRADE, LOOKUP, md); ScenarioArray <CurrencyParameterSensitivities> bucketedComputed = BondFutureTradeCalculations.DEFAULT.pv01MarketQuoteBucketed(RTRADE, LOOKUP, md); assertEquals(sumComputed.ScenarioCount, 1); assertEquals(sumComputed.get(0).Currencies, ImmutableSet.of(USD)); assertTrue(DoubleMath.fuzzyEquals(sumComputed.get(0).getAmount(USD).Amount, expectedPv01Cal.getAmount(USD).Amount, 1.0e-10)); assertEquals(bucketedComputed.ScenarioCount, 1); assertTrue(bucketedComputed.get(0).equalWithTolerance(expectedPv01CalBucketed, 1.0e-10)); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="tradePricer"> the pricer for <seealso cref="ResolvedBondFutureTrade"/> </param> internal BondFutureMeasureCalculations(DiscountingBondFutureTradePricer tradePricer) { this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer"); }
/// <summary> /// Creates an instance. /// <para> /// In most cases, applications should use the <seealso cref="#DEFAULT"/> instance. /// /// </para> /// </summary> /// <param name="tradePricer"> the pricer for <seealso cref="ResolvedBondFutureTrade"/> </param> public BondFutureTradeCalculations(DiscountingBondFutureTradePricer tradePricer) { this.calc = new BondFutureMeasureCalculations(tradePricer); }