public virtual void test_simpleMeasures()
{
BillTradeCalculationFunction <BillTrade> function = BillTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingBillTradePricer pricer = DiscountingBillTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, VALUATION_DATE);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_pv01_quote()
{
BillTradeCalculationFunction <BillTrade> function = BillTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingBillTradePricer pricer = DiscountingBillTradePricer.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();
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_MARKET_QUOTE_SUM, Measures.PV01_MARKET_QUOTE_BUCKETED);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_MARKET_QUOTE_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_MARKET_QUOTE_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))));
}
