コード例 #1
0
        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)));
        }
コード例 #2
0
        //-------------------------------------------------------------------------
        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)));
        }