public virtual void test_pv01_calibrated()
{
ScenarioMarketData md = FixedCouponBondTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.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(FixedCouponBondTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(FixedCouponBondTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = FixedCouponBondTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider.ValuationDate);
assertEquals(FixedCouponBondTradeCalculations.DEFAULT.presentValue(RTRADE, LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(FixedCouponBondTradeCalculations.DEFAULT.currencyExposure(RTRADE, LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(FixedCouponBondTradeCalculations.DEFAULT.currentCash(RTRADE, LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
public virtual void test_pv01_quote()
{
ScenarioMarketData md = FixedCouponBondTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
MultiCurrencyScenarioArray sumComputed = FixedCouponBondTradeCalculations.DEFAULT.pv01MarketQuoteSum(RTRADE, LOOKUP, md);
ScenarioArray <CurrencyParameterSensitivities> bucketedComputed = FixedCouponBondTradeCalculations.DEFAULT.pv01MarketQuoteBucketed(RTRADE, LOOKUP, md);
assertEquals(sumComputed.ScenarioCount, 1);
assertEquals(sumComputed.get(0).Currencies, ImmutableSet.of(GBP));
assertTrue(DoubleMath.fuzzyEquals(sumComputed.get(0).getAmount(GBP).Amount, expectedPv01Cal.getAmount(GBP).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="ResolvedFixedCouponBondTrade"/> </param>
internal FixedCouponBondMeasureCalculations(DiscountingFixedCouponBondTradePricer 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="ResolvedFixedCouponBondTrade"/> </param>
public FixedCouponBondTradeCalculations(DiscountingFixedCouponBondTradePricer tradePricer)
{
this.calc = new FixedCouponBondMeasureCalculations(tradePricer);
}