public virtual void test_of_constant_interface()
{
IsdaCreditDiscountFactors test = (IsdaCreditDiscountFactors)CreditDiscountFactors.of(USD, VALUATION, CONST_CURVE);
assertEquals(test.Currency, USD);
assertEquals(test.Curve, CONST_CURVE);
assertEquals(test.DayCount, ACT_365L);
assertEquals(test.ParameterCount, 1);
assertEquals(test.getParameter(0), RATE_SINGLE);
assertEquals(test.ParameterKeys, DoubleArray.of(TIME_SINGLE));
assertEquals(test.getParameterMetadata(0), SimpleCurveParameterMetadata.of(METADATA.XValueType, TIME_SINGLE));
assertEquals(test.ValuationDate, VALUATION);
assertEquals(test.findData(CONST_CURVE.Name), CONST_CURVE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
assertEquals(test.toDiscountFactors(), ZeroRateDiscountFactors.of(USD, VALUATION, CONST_CURVE));
assertEquals(test.IsdaCompliant, true);
}
public virtual void test_of()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
assertEquals(test.Currency, USD);
assertEquals(test.Curve, CURVE);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.ParameterCount, RATE.size());
assertEquals(test.getParameter(3), RATE.get(3));
assertEquals(test.getParameter(1), RATE.get(1));
assertEquals(test.ParameterKeys, TIME);
assertEquals(test.getParameterMetadata(4), SimpleCurveParameterMetadata.of(METADATA.XValueType, TIME.get(4)));
assertEquals(test.getParameterMetadata(6), SimpleCurveParameterMetadata.of(METADATA.XValueType, TIME.get(6)));
assertEquals(test.ValuationDate, VALUATION);
assertEquals(test.findData(CURVE.Name), CURVE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
assertEquals(test.toDiscountFactors(), ZeroRateDiscountFactors.of(USD, VALUATION, CURVE));
assertEquals(test.IsdaCompliant, true);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount computed = PRICER.presentValue(TRADE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
CurrencyAmount expected = PRICER_PRODUCT.presentValue(PRODUCT, RATES_PROVIDER, VALUATION_DATE, PriceType.CLEAN, REF_DATA).plus(PRICER_PAYMENT.presentValue(UPFRONT, YIELD_CRVE.toDiscountFactors()));
CurrencyAmount computedMf = PRICER_MF.presentValue(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
CurrencyAmount expectedMf = PRICER_PRODUCT_MF.presentValue(PRODUCT, RATES_PROVIDER, VALUATION_DATE, PriceType.CLEAN, REF_DATA);
assertEquals(computed.Amount, expected.Amount, TOL);
assertEquals(computedMf.Amount, expectedMf.Amount, TOL);
}