//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = BillTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
CurrencyAmount expectedPv = PRICER.presentValue(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = PRICER.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = PRICER.currentCash(RTRADE, provider.ValuationDate);
assertEquals(CALC.presentValue(RTRADE, LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(CALC.currencyExposure(RTRADE, LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(CALC.currentCash(RTRADE, LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
assertEquals(CALC.presentValue(RTRADE, provider), expectedPv);
assertEquals(CALC.currencyExposure(RTRADE, provider), expectedCurrencyExposure);
assertEquals(CALC.currentCash(RTRADE, provider), expectedCurrentCash);
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal CurrencyScenarioArray currentCash(ResolvedSwaptionTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData)
{
return(CurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => currentCash(trade, ratesMarketData.scenario(i).ValuationDate)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = TermDepositTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingTermDepositTradePricer pricer = DiscountingTermDepositTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
double expectedParRate = pricer.parRate(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
assertEquals(TermDepositTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(TermDepositTradeCalculations.DEFAULT.parRate(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParRate)));
assertEquals(TermDepositTradeCalculations.DEFAULT.parSpread(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)));
assertEquals(TermDepositTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(TermDepositTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal static CurrencyScenarioArray presentValue(Security security, double quantity, ScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => calculatePresentValue(security, quantity, marketData.scenario(i))));
}
//-------------------------------------------------------------------------
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)));
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal CurrencyScenarioArray currentCash(ResolvedFxVanillaOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
{
return(CurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => currentCash(trade, ratesMarketData.scenario(i).ValuationDate, method)));
}
//-------------------------------------------------------------------------
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)));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedIborFutureOptionTrade trade, RatesScenarioMarketData ratesMarketData, IborFutureOptionScenarioMarketData optionMarketData)
{
IborIndex index = trade.Product.UnderlyingFuture.Index;
return(CurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => presentValue(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(index))));
}
//-------------------------------------------------------------------------
// calculates principal for all scenarios
internal CurrencyScenarioArray principal(ResolvedCdsIndexTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => principal(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedCdsIndexTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).creditRatesProvider(), PriceType.DIRTY, refData)));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingScenarioMarketData legalEntityMarketData, BondFutureOptionScenarioMarketData optionMarketData)
{
SecurityId securityId = trade.Product.UnderlyingFuture.SecurityId;
return(CurrencyScenarioArray.of(legalEntityMarketData.ScenarioCount, i => presentValue(trade, legalEntityMarketData.scenario(i).discountingProvider(), optionMarketData.scenario(i).volatilities(securityId))));
}
//-------------------------------------------------------------------------
// calculates expected loss for all scenarios
internal CurrencyScenarioArray expectedLoss(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => expectedLoss(trade, marketData.scenario(i).creditRatesProvider())));
}
//-------------------------------------------------------------------------
// calculates recovery01 for all scenarios
internal CurrencyScenarioArray recovery01(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => recovery01(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
//-------------------------------------------------------------------------
// calculates calibrated parallel IR01 for all scenarios
internal CurrencyScenarioArray ir01CalibratedParallel(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => ir01CalibratedParallel(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = BulletPaymentTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingPaymentPricer pricer = DiscountingPaymentPricer.DEFAULT;
Payment payment = RTRADE.Product.Payment;
CurrencyAmount expectedPv = pricer.presentValue(payment, provider);
CashFlows expectedCashFlows = pricer.cashFlows(payment, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(payment, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(payment, provider);
assertEquals(BulletPaymentTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.cashFlows(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedCashFlows)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedCapitalIndexedBondTrade trade, RatesScenarioMarketData ratesMarketData, LegalEntityDiscountingScenarioMarketData legalEntityMarketData)
{
return(CurrencyScenarioArray.of(legalEntityMarketData.ScenarioCount, i => presentValue(trade, ratesMarketData.scenario(i).ratesProvider(), legalEntityMarketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal virtual CurrencyScenarioArray currentCash(ResolvedBillTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => currentCash(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = CapitalIndexedBondTradeCalculationFunctionTest.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);
assertEquals(CapitalIndexedBondTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, LED_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(CapitalIndexedBondTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, LED_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(CapitalIndexedBondTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, LED_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal CurrencyScenarioArray currentCash(ResolvedTermDepositTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => currentCash(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedFxNdfTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = FxNdfTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingFxNdfTradePricer pricer = DiscountingFxNdfTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
FxRate expectedForwardFx = pricer.forwardFxRate(RTRADE, provider);
assertEquals(FxNdfTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(FxNdfTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(FxNdfTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
assertEquals(FxNdfTradeCalculations.DEFAULT.forwardFxRate(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedForwardFx)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = FxSingleBarrierOptionTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
BlackFxSingleBarrierOptionTradePricer pricer = BlackFxSingleBarrierOptionTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider.ValuationDate);
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount expected = TRADE_PRICER.presentValue(RESOLVED_TRADE, RATES_PROVIDER, SETTLEMENT_PRICE);
assertEquals(CALC.presentValue(RESOLVED_TRADE, RATES_LOOKUP, MARKET_DATA), CurrencyScenarioArray.of(ImmutableList.of(expected)));
assertEquals(CALC.presentValue(RESOLVED_TRADE, RATES_PROVIDER), expected);
}
