// present value for one scenario
internal CurrencyAmount presentValue(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
// mark to model
double settlementPrice = this.settlementPrice(trade, discountingProvider);
return(tradePricer.presentValue(trade, discountingProvider, settlementPrice));
}
//-------------------------------------------------------------------------
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)));
}