//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the Ibor future trade from the current price.
/// <para>
/// The present value of the product is the value on the valuation date.
/// </para>
/// <para>
/// The calculation is performed against a reference price. The reference price
/// must be the last settlement price used for margining, except on the trade date,
/// when it must be the trade price.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="currentPrice"> the current price, in decimal form </param>
/// <param name="referencePrice"> the reference price to margin against, typically the last settlement price, in decimal form </param>
/// <returns> the present value </returns>
internal virtual CurrencyAmount presentValue(ResolvedIborFutureTrade trade, double currentPrice, double referencePrice)
{
ResolvedIborFuture future = trade.Product;
double priceIndex = productPricer.marginIndex(future, currentPrice);
double referenceIndex = productPricer.marginIndex(future, referencePrice);
double pv = (priceIndex - referenceIndex) * trade.Quantity;
return(CurrencyAmount.of(future.Currency, pv));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
double currentPrice = 0.995;
double referencePrice = 0.9925;
double currentPriceIndex = PRICER_PRODUCT.marginIndex(FUTURE_TRADE.Product, currentPrice);
double referencePriceIndex = PRICER_PRODUCT.marginIndex(FUTURE_TRADE.Product, referencePrice);
double presentValueExpected = (currentPriceIndex - referencePriceIndex) * FUTURE_TRADE.Quantity;
CurrencyAmount presentValueComputed = PRICER_TRADE.presentValue(FUTURE_TRADE, currentPrice, referencePrice);
assertEquals(presentValueComputed.Amount, presentValueExpected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_marginIndex()
{
double notional = FUTURE.Notional;
double accrualFactor = FUTURE.AccrualFactor;
double price = 0.99;
double marginIndexExpected = price * notional * accrualFactor;
double marginIndexComputed = PRICER.marginIndex(FUTURE, price);
assertEquals(marginIndexComputed, marginIndexExpected);
}
