//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
double currentPrice = 0.995;
double referencePrice = 0.9925;
double currentPriceIndex = PRICER_PRODUCT.marginIndex(FUTURE_TRADE.Product, currentPrice);
double referencePriceIndex = PRICER_PRODUCT.marginIndex(FUTURE_TRADE.Product, referencePrice);
double presentValueExpected = (currentPriceIndex - referencePriceIndex) * FUTURE_TRADE.Quantity;
CurrencyAmount presentValueComputed = PRICER_TRADE.presentValue(FUTURE_TRADE, currentPrice, referencePrice);
assertEquals(presentValueComputed.Amount, presentValueExpected, TOLERANCE_PV);
}
public virtual void test_presentValue_on_trade_date()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
prov.ValuationDate = FUTURE_TRADE.TradedPrice.get().TradeDate;
when(mockIbor.rate(FUTURE.IborRate.Observation)).thenReturn(RATE);
double lastClosingPrice = 1.025;
DiscountingIborFutureTradePricer pricerFn = DiscountingIborFutureTradePricer.DEFAULT;
double expected = ((1.0 - RATE) - FUTURE_TRADE.TradedPrice.get().Price) * FUTURE.AccrualFactor * FUTURE.Notional * FUTURE_TRADE.Quantity;
CurrencyAmount computed = pricerFn.presentValue(FUTURE_TRADE, prov, lastClosingPrice);
assertEquals(computed.Amount, expected, TOLERANCE_PV);
assertEquals(computed.Currency, FUTURE.Currency);
}
