Exemplo n.º 1
0
        public virtual void test_simpleMeasures()
        {
            CapitalIndexedBondTradeCalculationFunction <CapitalIndexedBondTrade> function = CapitalIndexedBondTradeCalculationFunction.TRADE;
            ScenarioMarketData                       md                       = marketData();
            RatesProvider                            ratesProvider            = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
            LegalEntityDiscountingProvider           ledProvider              = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
            DiscountingCapitalIndexedBondTradePricer pricer                   = DiscountingCapitalIndexedBondTradePricer.DEFAULT;
            CurrencyAmount                           expectedPv               = pricer.presentValue(RTRADE, ratesProvider, ledProvider);
            MultiCurrencyAmount                      expectedCurrencyExposure = pricer.currencyExposure(RTRADE, ratesProvider, ledProvider);
            CurrencyAmount                           expectedCurrentCash      = pricer.currentCash(RTRADE, ratesProvider);

            ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET);

            assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
        }
Exemplo n.º 2
0
        public virtual void test_pv01()
        {
            CapitalIndexedBondTradeCalculationFunction <CapitalIndexedBondTrade> function = CapitalIndexedBondTradeCalculationFunction.TRADE;
            ScenarioMarketData                       md                      = marketData();
            RatesProvider                            ratesProvider           = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
            LegalEntityDiscountingProvider           ledProvider             = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
            DiscountingCapitalIndexedBondTradePricer pricer                  = DiscountingCapitalIndexedBondTradePricer.DEFAULT;
            PointSensitivities                       pvPointSens             = pricer.presentValueSensitivity(RTRADE, ratesProvider, ledProvider);
            CurrencyParameterSensitivities           pvParamSens             = ledProvider.parameterSensitivity(pvPointSens);
            MultiCurrencyAmount                      expectedPv01Cal         = pvParamSens.total().multipliedBy(1e-4);
            CurrencyParameterSensitivities           expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);

            ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED);

            assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))));
        }