//-------------------------------------------------------------------------
/// <summary>
/// Calculates the future cash flow of the FRA product.
/// <para>
/// There is only one cash flow on the payment date for the FRA product.
/// The expected currency amount of the cash flow is the same as <seealso cref="#forecastValue(ResolvedFra, RatesProvider)"/>.
///
/// </para>
/// </summary>
/// <param name="fra"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the cash flows </returns>
public virtual CashFlows cashFlows(ResolvedFra fra, RatesProvider provider)
{
LocalDate paymentDate = fra.PaymentDate;
double forecastValue = forecastValue0(fra, provider);
double df = provider.discountFactor(fra.Currency, paymentDate);
CashFlow cashFlow = CashFlow.ofForecastValue(paymentDate, fra.Currency, forecastValue, df);
return(CashFlows.of(cashFlow));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the future cash flow of the payment.
/// <para>
/// The cash flow is returned, empty if the payment has already occurred.
///
/// </para>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="provider"> the provider </param>
/// <returns> the cash flow, empty if the payment has occurred </returns>
public virtual CashFlows cashFlows(Payment payment, BaseProvider provider)
{
if (provider.ValuationDate.isAfter(payment.Date))
{
return(CashFlows.NONE);
}
double df = provider.discountFactor(payment.Currency, payment.Date);
CashFlow flow = CashFlow.ofForecastValue(payment.Date, payment.Currency, payment.Amount, df);
return(CashFlows.of(flow));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = BulletPaymentTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingPaymentPricer pricer = DiscountingPaymentPricer.DEFAULT;
Payment payment = RTRADE.Product.Payment;
CurrencyAmount expectedPv = pricer.presentValue(payment, provider);
CashFlows expectedCashFlows = pricer.cashFlows(payment, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(payment, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(payment, provider);
assertEquals(BulletPaymentTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.cashFlows(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedCashFlows)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(BulletPaymentTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = SwapTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingSwapTradePricer pricer = DiscountingSwapTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
ExplainMap expectedExplainPv = pricer.explainPresentValue(RTRADE, provider);
double expectedParRate = pricer.parRate(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
CashFlows expectedCashFlows = pricer.cashFlows(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
MultiCurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
assertEquals(SwapTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(SwapTradeCalculations.DEFAULT.explainPresentValue(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedExplainPv)));
assertEquals(SwapTradeCalculations.DEFAULT.parRate(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParRate)));
assertEquals(SwapTradeCalculations.DEFAULT.parSpread(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)));
assertEquals(SwapTradeCalculations.DEFAULT.cashFlows(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedCashFlows)));
assertEquals(SwapTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(SwapTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
//-------------------------------------------------------------------------
public virtual void test_cashFlow_provider()
{
CashFlow expected = CashFlow.ofForecastValue(PAYMENT_DATE, USD, NOTIONAL_USD, DF);
assertEquals(PRICER.cashFlows(TRADE, PROVIDER), CashFlows.of(expected));
}