//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = IborFutureTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingIborFutureTradePricer pricer = DiscountingIborFutureTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, SETTLEMENT_PRICE);
double expectedParSpread = pricer.parSpread(RTRADE, provider, SETTLEMENT_PRICE);
assertEquals(IborFutureTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(IborFutureTradeCalculations.DEFAULT.parSpread(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)));
}
// par spread for one scenario
internal double parSpread(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)
{
double settlementPrice = this.settlementPrice(trade, ratesProvider);
return(tradePricer.parSpread(trade, ratesProvider, settlementPrice));
}