public virtual void test_pv01()
{
ScenarioMarketData md = IborCapFloorTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
VolatilityIborCapFloorTradePricer pricer = VolatilityIborCapFloorTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivityRates(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(IborCapFloorTradeCalculations.DEFAULT.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(IborCapFloorTradeCalculations.DEFAULT.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = IborCapFloorTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
VolatilityIborCapFloorTradePricer pricer = VolatilityIborCapFloorTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider, VOLS);
assertEquals(IborCapFloorTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(IborCapFloorTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(IborCapFloorTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="tradePricer"> the pricer for <seealso cref="ResolvedIborCapFloorTrade"/> </param>
internal IborCapFloorMeasureCalculations(VolatilityIborCapFloorTradePricer tradePricer)
{
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
/// <summary>
/// Creates an instance.
/// <para>
/// In most cases, applications should use the <seealso cref="#DEFAULT"/> instance.
///
/// </para>
/// </summary>
/// <param name="tradePricer"> the pricer for <seealso cref="ResolvedIborCapFloorTrade"/> </param>
public IborCapFloorTradeCalculations(VolatilityIborCapFloorTradePricer tradePricer)
{
this.calc = new IborCapFloorMeasureCalculations(tradePricer);
}
