public virtual void test_pv01()
{
ScenarioMarketData md = FraTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingFraTradePricer pricer = DiscountingFraTradePricer.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(FraTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(FraTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = FraTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingFraTradePricer pricer = DiscountingFraTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
ExplainMap expectedExplainPv = pricer.explainPresentValue(RTRADE, provider);
double expectedParRate = pricer.parRate(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
CashFlows expectedCashFlows = pricer.cashFlows(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
assertEquals(FraTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(FraTradeCalculations.DEFAULT.explainPresentValue(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedExplainPv)));
assertEquals(FraTradeCalculations.DEFAULT.parRate(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParRate)));
assertEquals(FraTradeCalculations.DEFAULT.parSpread(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)));
assertEquals(FraTradeCalculations.DEFAULT.cashFlows(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedCashFlows)));
assertEquals(FraTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(FraTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}