//-------------------------------------------------------------------------
public virtual void test_price()
{
double computed = FUTURE_PRICER.price(FUTURE_PRODUCT, PROVIDER);
double dirtyPrice = BOND_PRICER.dirtyPriceFromCurves(BOND, PROVIDER, FUTURE_PRODUCT.LastDeliveryDate);
double expected = BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.LastDeliveryDate, dirtyPrice) / CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the bond future product.
/// <para>
/// The price of the product is the price on the valuation date.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for bond futures. This is coherent with the pricing of <seealso cref="FixedCouponBond"/>.
/// For example, a price of 99.32% is represented in Strata by 0.9932.
///
/// </para>
/// </summary>
/// <param name="future"> the future </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <returns> the price of the product, in decimal form </returns>
public double price(ResolvedBondFuture future, LegalEntityDiscountingProvider discountingProvider)
{
ImmutableList <ResolvedFixedCouponBond> basket = future.DeliveryBasket;
int size = basket.size();
double[] priceBonds = new double[size];
for (int i = 0; i < size; ++i)
{
ResolvedFixedCouponBond bond = basket.get(i);
double dirtyPrice = bondPricer.dirtyPriceFromCurves(bond, discountingProvider, future.LastDeliveryDate);
priceBonds[i] = bondPricer.cleanPriceFromDirtyPrice(bond, future.LastDeliveryDate, dirtyPrice) / future.ConversionFactors.get(i);
}
return(Doubles.min(priceBonds));
}
public virtual void test_dirtyPriceFromCleanPrice_cleanPriceFromDirtyPrice()
{
double dirtyPrice = PRICER.dirtyPriceFromCurves(PRODUCT, PROVIDER, REF_DATA);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE, REF_DATA);
double cleanPrice = PRICER.cleanPriceFromDirtyPrice(PRODUCT, settlement, dirtyPrice);
double accruedInterest = PRICER.accruedInterest(PRODUCT, settlement);
assertEquals(cleanPrice, dirtyPrice - accruedInterest / NOTIONAL, NOTIONAL * TOL);
double dirtyPriceRe = PRICER.dirtyPriceFromCleanPrice(PRODUCT, settlement, cleanPrice);
assertEquals(dirtyPriceRe, dirtyPrice, TOL);
}