public virtual void test_simpleMeasures() { CapitalIndexedBondTradeCalculationFunction <CapitalIndexedBondTrade> function = CapitalIndexedBondTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); RatesProvider ratesProvider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); LegalEntityDiscountingProvider ledProvider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingCapitalIndexedBondTradePricer pricer = DiscountingCapitalIndexedBondTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, ratesProvider, ledProvider); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, ratesProvider, ledProvider); CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, ratesProvider); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }
public virtual void test_pv01() { CapitalIndexedBondTradeCalculationFunction <CapitalIndexedBondTrade> function = CapitalIndexedBondTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); RatesProvider ratesProvider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); LegalEntityDiscountingProvider ledProvider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingCapitalIndexedBondTradePricer pricer = DiscountingCapitalIndexedBondTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, ratesProvider, ledProvider); CurrencyParameterSensitivities pvParamSens = ledProvider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4); ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)))); }