public virtual void test_pv01()
{
ScenarioMarketData md = BulletPaymentTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingPaymentPricer pricer = DiscountingPaymentPricer.DEFAULT;
Payment payment = RTRADE.Product.Payment;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(payment, provider).build();
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(BulletPaymentTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
//-------------------------------------------------------------------------
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)));
}
