public virtual void test_pv01_calibrated()
{
ScenarioMarketData md = BondFutureTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingBondFutureTradePricer pricer = DiscountingBondFutureTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(BondFutureTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(BondFutureTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
public virtual void test_pv01_quote()
{
ScenarioMarketData md = BondFutureTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingBondFutureTradePricer pricer = DiscountingBondFutureTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens.multipliedBy(1e-4), provider);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
MultiCurrencyScenarioArray sumComputed = BondFutureTradeCalculations.DEFAULT.pv01MarketQuoteSum(RTRADE, LOOKUP, md);
ScenarioArray <CurrencyParameterSensitivities> bucketedComputed = BondFutureTradeCalculations.DEFAULT.pv01MarketQuoteBucketed(RTRADE, LOOKUP, md);
assertEquals(sumComputed.ScenarioCount, 1);
assertEquals(sumComputed.get(0).Currencies, ImmutableSet.of(USD));
assertTrue(DoubleMath.fuzzyEquals(sumComputed.get(0).getAmount(USD).Amount, expectedPv01Cal.getAmount(USD).Amount, 1.0e-10));
assertEquals(bucketedComputed.ScenarioCount, 1);
assertTrue(bucketedComputed.get(0).equalWithTolerance(expectedPv01CalBucketed, 1.0e-10));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01CalibratedSum(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, discountingProvider);
return(discountingProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT));
}
