//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
BulletPaymentTradeCalculationFunction function = new BulletPaymentTradeCalculationFunction();
ISet <Measure> measures = function.supportedMeasures();
FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA);
assertThat(reqs.OutputCurrencies).containsOnly(CURRENCY);
assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(DISCOUNT_CURVE_ID));
assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of());
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY);
}
public virtual void test_simpleMeasures()
{
BulletPaymentTradeCalculationFunction function = new BulletPaymentTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingPaymentPricer pricer = DiscountingPaymentPricer.DEFAULT;
Payment payment = RTRADE.Product.Payment;
CurrencyAmount expectedPv = pricer.presentValue(payment, provider);
CashFlows expectedCashFlows = pricer.cashFlows(payment, provider);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CASH_FLOWS, 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.CASH_FLOWS, Result.success(ScenarioArray.of(ImmutableList.of(expectedCashFlows)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_pv01()
{
BulletPaymentTradeCalculationFunction function = new BulletPaymentTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingPaymentPricer pricer = DiscountingPaymentPricer.DEFAULT;
Payment payment = RTRADE.Product.Payment;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(payment, provider).build();
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01 = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedBucketedPv01 = 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(expectedPv01)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedBucketedPv01))));
}
