//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
BondFutureOptionTradeCalculationFunction <BondFutureOptionTrade> function = BondFutureOptionTradeCalculationFunction.TRADE;
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(QUOTE_ID, REPO_CURVE_ID, ISSUER_CURVE_ID, VOLS_ID));
assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of());
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY);
}
public virtual void test_simpleMeasures()
{
BondFutureOptionTradeCalculationFunction <BondFutureOptionTrade> function = BondFutureOptionTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
BlackBondFutureOptionMarginedTradePricer pricer = BlackBondFutureOptionMarginedTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS, SETTLE_PRICE);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS, SETTLE_PRICE);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, 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.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_pv01()
{
BondFutureOptionTradeCalculationFunction <BondFutureOptionTrade> function = BondFutureOptionTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
BlackBondFutureOptionMarginedTradePricer pricer = BlackBondFutureOptionMarginedTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivityRates(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.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))));
}
