//------------------------------------------------------------------------- public virtual void test_createProduct() { BondFutureOptionSecurity test = sut(); BondFuture future = PRODUCT.UnderlyingFuture; BondFutureSecurity futureSec = BondFutureSecurityTest.sut(); ImmutableList <FixedCouponBond> basket = future.DeliveryBasket; FixedCouponBondSecurity bondSec0 = FixedCouponBondSecurityTest.createSecurity(future.DeliveryBasket.get(0)); FixedCouponBondSecurity bondSec1 = FixedCouponBondSecurityTest.createSecurity(future.DeliveryBasket.get(1)); ReferenceData refData = ImmutableReferenceData.of(ImmutableMap.of(test.UnderlyingFutureId, futureSec, basket.get(0).SecurityId, bondSec0, basket.get(1).SecurityId, bondSec1)); BondFutureOption product = test.createProduct(refData); assertEquals(product.UnderlyingFuture.DeliveryBasket.get(0), future.DeliveryBasket.get(0)); assertEquals(product.UnderlyingFuture.DeliveryBasket.get(1), future.DeliveryBasket.get(1)); TradeInfo tradeInfo = TradeInfo.of(date(2016, 6, 30)); BondFutureOptionTrade expectedTrade = BondFutureOptionTrade.builder().info(tradeInfo).product(product).quantity(100).price(123.50).build(); assertEquals(test.createTrade(tradeInfo, 100, 123.50, refData), expectedTrade); PositionInfo positionInfo = PositionInfo.empty(); BondFutureOptionPosition expectedPosition1 = BondFutureOptionPosition.builder().info(positionInfo).product(product).longQuantity(100).build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, refData), expectedPosition1); BondFutureOptionPosition expectedPosition2 = BondFutureOptionPosition.builder().info(positionInfo).product(product).longQuantity(100).shortQuantity(50).build(); assertEquals(test.createPosition(positionInfo, 100, 50, refData), expectedPosition2); }
//------------------------------------------------------------------------- public virtual void test_createProduct() { IborFutureSecurity test = sut(); assertEquals(test.createProduct(ReferenceData.empty()), PRODUCT); TradeInfo tradeInfo = TradeInfo.of(date(2016, 6, 30)); IborFutureTrade expectedTrade = IborFutureTrade.builder().info(tradeInfo).product(PRODUCT).quantity(100).price(0.995).build(); assertEquals(test.createTrade(tradeInfo, 100, 0.995, ReferenceData.empty()), expectedTrade); PositionInfo positionInfo = PositionInfo.empty(); IborFuturePosition expectedPosition1 = IborFuturePosition.builder().info(positionInfo).product(PRODUCT).longQuantity(100).build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, ReferenceData.empty()), expectedPosition1); IborFuturePosition expectedPosition2 = IborFuturePosition.builder().info(positionInfo).product(PRODUCT).longQuantity(100).shortQuantity(50).build(); assertEquals(test.createPosition(positionInfo, 100, 50, ReferenceData.empty()), expectedPosition2); }
//------------------------------------------------------------------------- public virtual void test_createProduct() { DsfSecurity test = sut(); assertEquals(test.createProduct(ReferenceData.empty()), PRODUCT); TradeInfo tradeInfo = TradeInfo.of(PRODUCT.LastTradeDate.minusDays(1)); DsfTrade expectedTrade = DsfTrade.builder().info(tradeInfo).product(PRODUCT).quantity(100).price(123.50).build(); assertEquals(test.createTrade(tradeInfo, 100, 123.50, ReferenceData.empty()), expectedTrade); PositionInfo positionInfo = PositionInfo.empty(); DsfPosition expectedPosition1 = DsfPosition.builder().info(positionInfo).product(PRODUCT).longQuantity(100).build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, ReferenceData.empty()), expectedPosition1); DsfPosition expectedPosition2 = DsfPosition.builder().info(positionInfo).product(PRODUCT).longQuantity(100).shortQuantity(50).build(); assertEquals(test.createPosition(positionInfo, 100, 50, ReferenceData.empty()), expectedPosition2); }
//------------------------------------------------------------------------- public virtual void test_createProduct() { IborFutureOptionSecurity test = sut(); ReferenceData refData = ImmutableReferenceData.of(FUTURE_ID, FUTURE_SECURITY); assertEquals(test.createProduct(refData), OPTION); TradeInfo tradeInfo = TradeInfo.of(date(2016, 6, 30)); IborFutureOptionTrade expectedTrade = IborFutureOptionTrade.builder().info(tradeInfo).product(OPTION).quantity(100).price(123.50).build(); assertEquals(test.createTrade(tradeInfo, 100, 123.50, refData), expectedTrade); PositionInfo positionInfo = PositionInfo.empty(); IborFutureOptionPosition expectedPosition1 = IborFutureOptionPosition.builder().info(positionInfo).product(OPTION).longQuantity(100).build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, refData), expectedPosition1); IborFutureOptionPosition expectedPosition2 = IborFutureOptionPosition.builder().info(positionInfo).product(OPTION).longQuantity(100).shortQuantity(50).build(); assertEquals(test.createPosition(positionInfo, 100, 50, refData), expectedPosition2); }
public virtual void absoluteScenarios() { CurveName curveName = CurveName.of("curveName"); CurveGroupName curveGroupName = CurveGroupName.of("curveGroupName"); Curve curve = ConstantCurve.of(curveName, 2); PerturbationMapping <Curve> mapping = PerturbationMapping.of(MarketDataFilter.ofName(curveName), CurveParallelShifts.absolute(0.1, 0.2, 0.3)); CurveId curveId = CurveId.of(curveGroupName, curveName); ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(TestHelper.date(2011, 3, 8)).addValue(curveId, curve).build(); ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping); MarketDataFactory marketDataFactory = MarketDataFactory.of(mock(typeof(ObservableDataProvider)), mock(typeof(TimeSeriesProvider))); MarketDataRequirements requirements = MarketDataRequirements.builder().addValues(curveId).build(); ScenarioMarketData scenarioData = marketDataFactory.createMultiScenario(requirements, MarketDataConfig.empty(), marketData, REF_DATA, scenarioDefinition); MarketDataBox <Curve> curves = scenarioData.getValue(curveId); assertThat(curves.ScenarioCount).isEqualTo(3); checkCurveValues(curves.getValue(0), 2.1); checkCurveValues(curves.getValue(1), 2.2); checkCurveValues(curves.getValue(2), 2.3); }