public virtual void test_pv01() { ScenarioMarketData md = CapitalIndexedBondTradeCalculationFunctionTest.marketData(); RatesProvider ratesProvider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); LegalEntityDiscountingProvider ledProvider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingCapitalIndexedBondTradePricer pricer = DiscountingCapitalIndexedBondTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, ratesProvider, ledProvider); CurrencyParameterSensitivities pvParamSens = ledProvider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4); assertEquals(CapitalIndexedBondTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, RATES_LOOKUP, LED_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal))); assertEquals(CapitalIndexedBondTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, RATES_LOOKUP, LED_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))); }
//------------------------------------------------------------------------- public virtual void test_presentValue() { ScenarioMarketData md = CapitalIndexedBondTradeCalculationFunctionTest.marketData(); RatesProvider ratesProvider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); LegalEntityDiscountingProvider ledProvider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingCapitalIndexedBondTradePricer pricer = DiscountingCapitalIndexedBondTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, ratesProvider, ledProvider); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, ratesProvider, ledProvider); CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, ratesProvider); assertEquals(CapitalIndexedBondTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, LED_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv))); assertEquals(CapitalIndexedBondTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, LED_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure))); assertEquals(CapitalIndexedBondTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, LED_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash))); }