public virtual void test_explainPresentValue_paymentDateInPast()
{
SimpleRatesProvider prov = createProvider(NOTIONAL_EXCHANGE_REC_GBP);
prov.ValuationDate = VAL_DATE.plusYears(1);
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
ExplainMapBuilder builder = ExplainMap.builder();
test.explainPresentValue(NOTIONAL_EXCHANGE_REC_GBP, prov, builder);
ExplainMap explain = builder.build();
Currency currency = NOTIONAL_EXCHANGE_REC_GBP.Currency;
CurrencyAmount notional = NOTIONAL_EXCHANGE_REC_GBP.PaymentAmount;
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "NotionalExchange");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), NOTIONAL_EXCHANGE_REC_GBP.PaymentDate);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), currency);
assertEquals(explain.get(ExplainKey.TRADE_NOTIONAL).get().Currency, currency);
assertEquals(explain.get(ExplainKey.TRADE_NOTIONAL).get().Amount, notional.Amount, TOLERANCE);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Currency, currency);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Amount, 0d, TOLERANCE);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Currency, currency);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Amount, 0d * DISCOUNT_FACTOR, TOLERANCE);
}
public virtual void test_currentCash_zero()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
double computed = test.currentCash(NOTIONAL_EXCHANGE_REC_GBP, prov);
assertEquals(computed, 0d);
}
public virtual void test_forecastValue()
{
SimpleRatesProvider prov = createProvider(NOTIONAL_EXCHANGE_REC_GBP);
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
double calculated = test.forecastValue(NOTIONAL_EXCHANGE_REC_GBP, prov);
assertEquals(calculated, NOTIONAL_EXCHANGE_REC_GBP.PaymentAmount.Amount, 0d);
}
public virtual void test_currentCash_onPayment()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(NOTIONAL_EXCHANGE_REC_GBP.PaymentDate).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
double notional = NOTIONAL_EXCHANGE_REC_GBP.PaymentAmount.Amount;
double computed = test.currentCash(NOTIONAL_EXCHANGE_REC_GBP, prov);
assertEquals(computed, notional);
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
MultiCurrencyAmount computed = test.currencyExposure(NOTIONAL_EXCHANGE_REC_GBP, prov);
PointSensitivities point = test.presentValueSensitivity(NOTIONAL_EXCHANGE_REC_GBP, prov).build();
MultiCurrencyAmount expected = prov.currencyExposure(point).plus(CurrencyAmount.of(NOTIONAL_EXCHANGE_REC_GBP.Currency, test.presentValue(NOTIONAL_EXCHANGE_REC_GBP, prov)));
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
SimpleRatesProvider prov = createProvider(NOTIONAL_EXCHANGE_REC_GBP);
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
PointSensitivities senseComputed = test.presentValueSensitivity(NOTIONAL_EXCHANGE_REC_GBP, prov).build();
double eps = 1.0e-7;
PointSensitivities senseExpected = PointSensitivities.of(dscSensitivityFD(prov, NOTIONAL_EXCHANGE_REC_GBP, eps));
assertTrue(senseComputed.equalWithTolerance(senseExpected, NOTIONAL_EXCHANGE_REC_GBP.PaymentAmount.Amount * eps));
}
private IList <ZeroRateSensitivity> dscSensitivityFD(RatesProvider provider, NotionalExchange @event, double eps)
{
Currency currency = @event.Currency;
LocalDate paymentDate = @event.PaymentDate;
double discountFactor = provider.discountFactor(currency, paymentDate);
double paymentTime = DAY_COUNT.relativeYearFraction(VAL_DATE, paymentDate);
RatesProvider provUp = mock(typeof(RatesProvider));
RatesProvider provDw = mock(typeof(RatesProvider));
when(provUp.ValuationDate).thenReturn(VAL_DATE);
when(provUp.discountFactor(currency, paymentDate)).thenReturn(discountFactor * Math.Exp(-eps * paymentTime));
when(provDw.ValuationDate).thenReturn(VAL_DATE);
when(provDw.discountFactor(currency, paymentDate)).thenReturn(discountFactor * Math.Exp(eps * paymentTime));
DiscountingNotionalExchangePricer pricer = DiscountingNotionalExchangePricer.DEFAULT;
double pvUp = pricer.presentValue(@event, provUp);
double pvDw = pricer.presentValue(@event, provDw);
double res = 0.5 * (pvUp - pvDw) / eps;
IList <ZeroRateSensitivity> zeroRateSensi = new List <ZeroRateSensitivity>();
zeroRateSensi.Add(ZeroRateSensitivity.of(currency, paymentTime, res));
return(zeroRateSensi);
}
