public virtual void test_presentValueFromCleanPrice_early()
{
CurrencyAmount computed = PRICER.presentValueFromCleanPrice(TRADE_EARLY, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE);
CurrencyAmount netAmount = PRICER.netAmount(TRADE_EARLY, RATES_PROVIDER);
CapitalIndexedBondPaymentPeriod period = PRODUCT.resolve(REF_DATA).PeriodicPayments.get(16);
double pvDiff = PERIOD_PRICER.presentValue(period, RATES_PROVIDER, ISSUER_DISCOUNT_FACTORS) * QUANTITY;
double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD).discountFactor(SETTLEMENT_EARLY);
double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD).discountFactor(SETTLEMENT_STANDARD);
double expected1 = netAmount.Amount * df1;
double expected2 = -pvDiff + QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice(RPRODUCT, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).Amount;
assertEquals(computed.Amount, expected1 + expected2, NOTIONAL * QUANTITY * TOL);
}
public virtual void test_presentValue_settle_after_val()
{
CurrencyAmount pvComputed = PRICER_TRADE.presentValue(BILL_TRADE_SETTLE_AFTER_VAL, PROVIDER);
CurrencyAmount pvExpected = PRICER_PRODUCT.presentValue(BILL_PRODUCT.resolve(REF_DATA), PROVIDER).multipliedBy(QUANTITY).plus(PRICER_PAYMENT.presentValue(BILL_TRADE_SETTLE_AFTER_VAL.Settlement.get(), PROVIDER.repoCurveDiscountFactors(BILL_PRODUCT.SecurityId, BILL_PRODUCT.LegalEntityId, BILL_PRODUCT.Currency).DiscountFactors));
assertEquals(pvComputed.Currency, EUR);
assertEquals(pvComputed.Amount, pvExpected.Amount, TOLERANCE_PV);
MultiCurrencyAmount ceComputed = PRICER_TRADE.currencyExposure(BILL_TRADE_SETTLE_AFTER_VAL, PROVIDER);
assertEquals(ceComputed.Currencies.size(), 1);
assertTrue(ceComputed.contains(EUR));
assertEquals(ceComputed.getAmount(EUR).Amount, pvExpected.Amount, TOLERANCE_PV);
CurrencyAmount cashComputed = PRICER_TRADE.currentCash(BILL_TRADE_SETTLE_AFTER_VAL, VAL_DATE);
assertEquals(cashComputed.Currency, EUR);
assertEquals(cashComputed.Amount, 0, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
// extracts the repo curve discount factors for the bond
internal static RepoCurveDiscountFactors repoCurveDf(ResolvedBill bill, LegalEntityDiscountingProvider provider)
{
return(provider.repoCurveDiscountFactors(bill.SecurityId, bill.LegalEntityId, bill.Currency));
}