public virtual void present_value_payer_receiver_parity()
{
CurrencyAmount pvLongPay = PRICER_SWAPTION_BLACK.presentValue(SWAPTION_LONG_PAY, MULTI_USD, BLACK_VOLS_USD_STD);
CurrencyAmount pvShortRec = PRICER_SWAPTION_BLACK.presentValue(SWAPTION_SHORT_REC, MULTI_USD, BLACK_VOLS_USD_STD);
MultiCurrencyAmount pvSwapPay = PRICER_SWAP.presentValue(RSWAP_PAY, MULTI_USD);
assertEquals(pvLongPay.Amount + pvShortRec.Amount, pvSwapPay.getAmount(USD).Amount, TOLERANCE_PV);
}
public virtual void test_presentValue_atMaturity()
{
CurrencyAmount computedRec = PRICER.presentValue(SWAPTION_REC_LONG, RATES_PROVIDER_AT_MATURITY, HW_PROVIDER_AT_MATURITY);
CurrencyAmount computedPay = PRICER.presentValue(SWAPTION_PAY_SHORT, RATES_PROVIDER_AT_MATURITY, HW_PROVIDER_AT_MATURITY);
double swapPv = SWAP_PRICER.presentValue(RSWAP_REC, RATES_PROVIDER_AT_MATURITY).getAmount(EUR).Amount;
assertEquals(computedRec.Amount, swapPv, NOTIONAL * TOL);
assertEquals(computedPay.Amount, 0d, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
public virtual void calibration_present_value()
{
RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES, REF_DATA);
ImmutableList <CurveDefinition> definitions = CURVE_GROUP_CONFIG.CurveDefinitions;
// Test PV Dsc
ImmutableList <CurveNode> dscNodes = definitions.get(0).Nodes;
IList <ResolvedTrade> dscTrades = new List <ResolvedTrade>();
for (int i = 0; i < dscNodes.size(); i++)
{
dscTrades.Add(dscNodes.get(i).resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// OIS
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)dscTrades[i]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
// Test PV Fwd3
ImmutableList <CurveNode> fwd3Nodes = definitions.get(1).Nodes;
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.size(); i++)
{
fwd3Trades.Add(fwd3Nodes.get(i).resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// IRS
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
// Test PV Fwd6
ImmutableList <CurveNode> fwd6Nodes = definitions.get(2).Nodes;
IList <ResolvedTrade> fwd6Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd6Nodes.size(); i++)
{
fwd6Trades.Add(fwd6Nodes.get(i).resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// IRS
for (int i = 0; i < FWD6_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd6Trades[i]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
}
//-------------------------------------------------------------------------
public virtual void calibration_present_value()
{
RatesProvider result2 = CALIBRATOR.calibrate(CURVE_GROUP_DEFN, ALL_QUOTES, REF_DATA);
// Test PV
CurveNode[] fwd3Nodes = CURVES_NODES[0][0];
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.Length; i++)
{
fwd3Trades.Add(fwd3Nodes[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Fixing
CurrencyAmount pvFixing2 = FIXING_PRICER.presentValue(((ResolvedIborFixingDepositTrade)fwd3Trades[0]).Product, result2);
assertEquals(pvFixing2.Amount, 0.0, TOLERANCE_PV);
// FRA
for (int i = 0; i < FWD3_NB_FRA_NODES; i++)
{
CurrencyAmount pvFra2 = FRA_PRICER.presentValue(((ResolvedFraTrade)fwd3Trades[i + 1]), result2);
assertEquals(pvFra2.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs2 = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i + 1 + FWD3_NB_FRA_NODES]).Product, result2);
assertEquals(pvIrs2.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
}
//-------------------------------------------------------------------------
public virtual void calibration_test()
{
RatesProvider result2 = CALIBRATOR.calibrate(CURVE_GROUP_DEFN, ALL_QUOTES, REF_DATA);
// pv test
CurveNode[] fwd3Nodes = CURVES_NODES[0][0];
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.Length; i++)
{
fwd3Trades.Add(fwd3Nodes[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
for (int i = 0; i < FWD6_NB_NODES; i++)
{
MultiCurrencyAmount pvIrs2 = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i]).Product, result2);
assertEquals(pvIrs2.getAmount(GBP).Amount, 0.0, TOLERANCE_PV);
}
// regression test for curve
DiscountFactors dsc = result2.discountFactors(GBP);
double prevDsc = 0d;
for (int i = 0; i < 121; ++i)
{
double time = ((double)i);
double curDsc = dsc.discountFactor(time);
if (i > 59)
{
double fwd = prevDsc / curDsc - 1d;
assertEquals(fwd, 0.042, 2d * ONE_BP);
}
assertEquals(curDsc, DSC_EXP.get(i), ONE_PC);
prevDsc = curDsc;
}
}
private void assertPresentValue(RatesProvider result)
{
// Test PV USD;
IList <ResolvedTrade> usdTrades = new List <ResolvedTrade>();
for (int i = 0; i < USD_DSC_NODES.Length; i++)
{
usdTrades.Add(USD_DSC_NODES[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Depo
for (int i = 0; i < USD_DSC_NB_DEPO_NODES; i++)
{
CurrencyAmount pvDep = DEPO_PRICER.presentValue(((ResolvedTermDepositTrade)usdTrades[i]).Product, result);
assertEquals(pvDep.Amount, 0.0, TOLERANCE_PV);
}
// OIS
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++)
{
MultiCurrencyAmount pvOis = SWAP_PRICER.presentValue(((ResolvedSwapTrade)usdTrades[USD_DSC_NB_DEPO_NODES + i]).Product, result);
assertEquals(pvOis.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
// Test PV EUR;
IList <ResolvedTrade> eurTrades = new List <ResolvedTrade>();
for (int i = 0; i < EUR_DSC_NODES.Length; i++)
{
eurTrades.Add(EUR_DSC_NODES[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Depo
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++)
{
MultiCurrencyAmount pvFx = FX_PRICER.presentValue(((ResolvedFxSwapTrade)eurTrades[i]).Product, result);
assertEquals(pvFx.convertedTo(USD, result).Amount, 0.0, TOLERANCE_PV);
}
}
private void assertResult(RatesProvider result)
{
// Test PV Dsc
CurveNode[] dscNodes = CURVES_NODES[0][0];
IList <ResolvedTrade> dscTrades = new List <ResolvedTrade>();
for (int i = 0; i < dscNodes.Length; i++)
{
dscTrades.Add(dscNodes[i].resolvedTrade(1d, ALL_QUOTES_BD, REF_DATA));
}
// Depo
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
CurrencyAmount pvIrs = DEPO_PRICER.presentValue(((ResolvedTermDepositTrade)dscTrades[i]).Product, result);
assertEquals(pvIrs.Amount, 0.0, TOLERANCE_PV);
}
// OIS
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)dscTrades[DSC_NB_DEPO_NODES + i]).Product, result);
assertEquals(pvIrs.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
// Test PV Fwd3
CurveNode[] fwd3Nodes = CURVES_NODES[1][0];
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.Length; i++)
{
fwd3Trades.Add(fwd3Nodes[i].resolvedTrade(1d, ALL_QUOTES_BD, REF_DATA));
}
// Fixing
CurrencyAmount pvFixing = FIXING_PRICER.presentValue(((ResolvedIborFixingDepositTrade)fwd3Trades[0]).Product, result);
assertEquals(pvFixing.Amount, 0.0, TOLERANCE_PV);
// FRA
for (int i = 0; i < FWD3_NB_FRA_NODES; i++)
{
CurrencyAmount pvFra = FRA_PRICER.presentValue(((ResolvedFraTrade)fwd3Trades[i + 1]), result);
assertEquals(pvFra.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i + 1 + FWD3_NB_FRA_NODES]).Product, result);
assertEquals(pvIrs.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
}
private void assertPresentValue(RatesProvider result)
{
// Test PV Dsc
CurveNode[] dscNodes = CURVES_NODES[0][0];
IList <ResolvedTrade> dscTrades = new List <ResolvedTrade>();
for (int i = 0; i < dscNodes.Length; i++)
{
dscTrades.Add(dscNodes[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Depo
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
CurrencyAmount pvIrs = DEPO_PRICER.presentValue(((ResolvedTermDepositTrade)dscTrades[i]).Product, result);
assertEquals(pvIrs.Amount, 0.0, TOLERANCE_PV);
}
// OIS
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)dscTrades[DSC_NB_DEPO_NODES + i]).Product, result);
assertEquals(pvIrs.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
// Test PV Infaltion swaps
CurveNode[] cpiNodes = CURVES_NODES[1][0];
IList <ResolvedTrade> cpiTrades = new List <ResolvedTrade>();
for (int i = 0; i < cpiNodes.Length; i++)
{
cpiTrades.Add(cpiNodes[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// ZC swaps
for (int i = 0; i < CPI_NB_NODES; i++)
{
MultiCurrencyAmount pvInfl = SWAP_PRICER.presentValue(((ResolvedSwapTrade)cpiTrades[i]).Product, result);
assertEquals(pvInfl.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
}
private void calibration_market_quote_sensitivity_check(System.Func <MarketData, RatesProvider> calibrator, double shift)
{
double notional = 100_000_000.0;
double spread = 0.0050;
SwapTrade trade = FixedIborSwapConventions.USD_FIXED_1Y_LIBOR_3M.createTrade(VAL_DATE, Period.ofMonths(8), Tenor.TENOR_7Y, BuySell.BUY, notional, spread, REF_DATA);
RatesProvider result = calibrator(ALL_QUOTES);
ResolvedSwap product = trade.Product.resolve(REF_DATA);
PointSensitivityBuilder pts = SWAP_PRICER.presentValueSensitivity(product, result);
CurrencyParameterSensitivities ps = result.parameterSensitivity(pts.build());
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pv0 = SWAP_PRICER.presentValue(product, result).getAmount(USD).Amount;
double[] mqsDscComputed = mqs.getSensitivity(DSCON_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < DSC_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i]))] = DSC_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsDscComputed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "DSC - node " + i);
}
double[] mqsFwd3Computed = mqs.getSensitivity(FWD3_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < FWD3_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i]))] = FWD3_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsFwd3Computed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "FWD3 - node " + i);
}
}
//-----------------------------------------------------------------------
public virtual void test_VanillaFixedVsLibor3mSwap()
{
SwapLeg payLeg = fixedLeg(LocalDate.of(2014, 9, 12), LocalDate.of(2021, 9, 12), P6M, PAY, NOTIONAL, 0.015, null);
SwapLeg receiveLeg = iborLeg(LocalDate.of(2014, 9, 12), LocalDate.of(2021, 9, 12), USD_LIBOR_3M, RECEIVE, NOTIONAL, null);
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA);
// test pv
DiscountingSwapTradePricer pricer = swapPricer();
CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD);
assertEquals(pv.Amount, 7170391.798257509, TOLERANCE_PV);
// test par rate
double parRate = PRICER_PRODUCT.parRate(trade.Product, provider());
assertEquals(parRate, 0.02589471566819517, TOLERANCE_RATE);
// test par rate vs pv
ResolvedSwap swapPV0 = Swap.of(fixedLeg(LocalDate.of(2014, 9, 12), LocalDate.of(2021, 9, 12), P6M, PAY, NOTIONAL, parRate, null), receiveLeg).resolve(REF_DATA);
CurrencyAmount pv0 = PRICER_PRODUCT.presentValue(swapPV0, provider()).getAmount(USD);
assertEquals(pv0.Amount, 0, TOLERANCE_PV); // PV at par rate should be 0
}
// test diagonal part against finite difference approximation computed from pv
public virtual void swap_exampleTest()
{
LocalDate start = LocalDate.of(2014, 3, 10);
LocalDate end = LocalDate.of(2021, 3, 10);
double notional = 1.0e6;
ResolvedSwap swap = FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M.toTrade(RatesProviderDataSets.VAL_DATE_2014_01_22, start, end, BuySell.BUY, notional, 0.005).Product.resolve(REF_DATA);
DiscountingSwapProductPricer pricer = DiscountingSwapProductPricer.DEFAULT;
System.Func <ImmutableRatesProvider, CurrencyAmount> pvFunction = p => pricer.presentValue(swap, USD, p);
System.Func <ImmutableRatesProvider, CurrencyParameterSensitivities> sensiFunction = p =>
{
PointSensitivities sensi = pricer.presentValueSensitivity(swap, p).build();
return(p.parameterSensitivity(sensi));
};
CurrencyParameterSensitivities expected = sensitivityDiagonal(RatesProviderDataSets.MULTI_CPI_USD, pvFunction);
CurrencyParameterSensitivities computed = CENTRAL.calculateCrossGammaIntraCurve(RatesProviderDataSets.MULTI_CPI_USD, sensiFunction).diagonal();
assertTrue(computed.equalWithTolerance(expected, Math.Sqrt(EPS) * notional));
CurrencyParameterSensitivities computedFromCross = CENTRAL.calculateCrossGammaCrossCurve(RatesProviderDataSets.MULTI_CPI_USD, sensiFunction).diagonal();
assertTrue(computed.equalWithTolerance(computedFromCross, TOL));
}
//-------------------------------------------------------------------------
public virtual void calibration_present_value()
{
RatesProvider result = CalibrationEurStandard.calibrateEurStandard(VAL_DATE, DSC_MARKET_QUOTES, DSC_OIS_TENORS, FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES, FWD3_FRA_TENORS, FWD3_IRS_TENORS, FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES, FWD6_FRA_TENORS, FWD6_IRS_TENORS);
/* Curve Discounting/EUR-EONIA */
string[] dscIdValues = CalibrationEurStandard.dscIdValues(DSC_OIS_TENORS);
/* Curve EUR-EURIBOR-3M */
double[] fwd3MarketQuotes = CalibrationEurStandard.fwdMarketQuotes(FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES);
string[] fwd3IdValue = CalibrationEurStandard.fwdIdValue(3, FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES, FWD3_FRA_TENORS, FWD3_IRS_TENORS);
/* Curve EUR-EURIBOR-6M */
double[] fwd6MarketQuotes = CalibrationEurStandard.fwdMarketQuotes(FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES);
string[] fwd6IdValue = CalibrationEurStandard.fwdIdValue(6, FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES, FWD6_FRA_TENORS, FWD6_IRS_TENORS);
/* All quotes for the curve calibration */
MarketData allQuotes = CalibrationEurStandard.allQuotes(VAL_DATE, DSC_MARKET_QUOTES, dscIdValues, fwd3MarketQuotes, fwd3IdValue, fwd6MarketQuotes, fwd6IdValue);
/* All nodes by groups. */
RatesCurveGroupDefinition config = CalibrationEurStandard.config(DSC_OIS_TENORS, dscIdValues, FWD3_FRA_TENORS, FWD3_IRS_TENORS, fwd3IdValue, FWD6_FRA_TENORS, FWD6_IRS_TENORS, fwd6IdValue);
ImmutableList <CurveDefinition> definitions = config.CurveDefinitions;
// Test PV Dsc
ImmutableList <CurveNode> dscNodes = definitions.get(0).Nodes;
IList <ResolvedTrade> dscTrades = new List <ResolvedTrade>();
for (int i = 0; i < dscNodes.size(); i++)
{
dscTrades.Add(dscNodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
// OIS
for (int i = 0; i < DSC_MARKET_QUOTES.Length; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)dscTrades[i]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
// Test PV Fwd3
ImmutableList <CurveNode> fwd3Nodes = definitions.get(1).Nodes;
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.size(); i++)
{
fwd3Trades.Add(fwd3Nodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
// FRA
for (int i = 0; i < FWD3_FRA_QUOTES.Length; i++)
{
CurrencyAmount pvFra = PRICER_FRA.presentValue(((ResolvedFraTrade)fwd3Trades[i + 1]).Product, result);
assertEquals(pvFra.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < FWD3_IRS_QUOTES.Length; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i + 1 + FWD3_FRA_QUOTES.Length]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
// Test PV Fwd6
ImmutableList <CurveNode> fwd6Nodes = definitions.get(2).Nodes;
IList <ResolvedTrade> fwd6Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd6Nodes.size(); i++)
{
fwd6Trades.Add(fwd6Nodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
// IRS
for (int i = 0; i < FWD6_IRS_QUOTES.Length; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd6Trades[i + 1 + FWD6_FRA_QUOTES.Length]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
}
private void assertPresentValue(RatesProvider result)
{
// Test PV USD;
IList <ResolvedTrade> usdTrades = new List <ResolvedTrade>();
foreach (CurveNode USD_DSC_NODE in USD_DSC_NODES)
{
usdTrades.Add(USD_DSC_NODE.resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Depo
for (int i = 0; i < 2; i++)
{
CurrencyAmount pvDep = DEPO_PRICER.presentValue(((ResolvedTermDepositTrade)usdTrades[i]).Product, result);
assertEquals(pvDep.Amount, 0.0, TOLERANCE_PV);
}
// OIS
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++)
{
MultiCurrencyAmount pvOis = SWAP_PRICER.presentValue(((ResolvedSwapTrade)usdTrades[2 + i]).Product, result);
assertEquals(pvOis.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
// Test PV USD Fwd3
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < USD_FWD3_NB_NODES; i++)
{
fwd3Trades.Add(USD_FWD3_NODES[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Fixing
CurrencyAmount pvFixing = FIXING_PRICER.presentValue(((ResolvedIborFixingDepositTrade)fwd3Trades[0]).Product, result);
assertEquals(pvFixing.Amount, 0.0, TOLERANCE_PV);
// FRA
for (int i = 0; i < USD_FWD3_NB_FRA_NODES; i++)
{
CurrencyAmount pvFra = FRA_PRICER.presentValue(((ResolvedFraTrade)fwd3Trades[i + 1]), result);
assertEquals(pvFra.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < USD_FWD3_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i + 1 + USD_FWD3_NB_FRA_NODES]).Product, result);
assertEquals(pvIrs.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
// Test DSC EUR;
IList <ResolvedTrade> eurTrades = new List <ResolvedTrade>();
foreach (CurveNode EUR_DSC_NODE in EUR_DSC_NODES)
{
eurTrades.Add(EUR_DSC_NODE.resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// FX
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++)
{
MultiCurrencyAmount pvFx = FX_PRICER.presentValue(((ResolvedFxSwapTrade)eurTrades[i]).Product, result);
assertEquals(pvFx.convertedTo(USD, result).Amount, 0.0, TOLERANCE_PV);
}
// XCCY
for (int i = 0; i < EUR_DSC_NB_XCCY_NODES; i++)
{
MultiCurrencyAmount pvFx = SWAP_PRICER.presentValue(((ResolvedSwapTrade)eurTrades[EUR_DSC_NB_FX_NODES + i]).Product, result);
assertEquals(pvFx.convertedTo(USD, result).Amount, 0.0, TOLERANCE_PV);
}
// Test PV EUR Fwd3
IList <ResolvedTrade> eurFwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < EUR_FWD3_NB_NODES; i++)
{
eurFwd3Trades.Add(EUR_FWD3_NODES[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Fixing
CurrencyAmount eurPvFixing = FIXING_PRICER.presentValue(((ResolvedIborFixingDepositTrade)eurFwd3Trades[0]).Product, result);
assertEquals(eurPvFixing.Amount, 0.0, TOLERANCE_PV);
// FRA
for (int i = 0; i < EUR_FWD3_NB_FRA_NODES; i++)
{
CurrencyAmount pvFra = FRA_PRICER.presentValue(((ResolvedFraTrade)eurFwd3Trades[i + 1]), result);
assertEquals(pvFra.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < EUR_FWD3_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)eurFwd3Trades[i + 1 + EUR_FWD3_NB_FRA_NODES]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
}