public virtual void test_convexityAdjustment()
{
double computed = PRICER.convexityAdjustment(FUTURE, RATE_PROVIDER, HW_PROVIDER);
double priceHw = PRICER.price(FUTURE, RATE_PROVIDER, HW_PROVIDER);
double priceDsc = PRICER_DSC.price(FUTURE, RATE_PROVIDER); // no convexity adjustment
assertEquals(priceDsc + computed, priceHw, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_price()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
when(mockIbor.rate(FUTURE.IborRate.Observation)).thenReturn(RATE);
assertEquals(PRICER.price(FUTURE, prov), 1.0 - RATE, TOLERANCE_PRICE);
}
//-------------------------------------------------------------------------
// calculate the price of the underlying future
private double futurePrice(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider)
{
ResolvedIborFuture future = futureOption.UnderlyingFuture;
return(futurePricer.price(future, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the Ibor future trade.
/// <para>
/// The price of the trade is the price on the valuation date.
/// The price is calculated using the discounting model.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the price of the trade, in decimal form </returns>
public virtual double price(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)
{
return(productPricer.price(trade.Product, ratesProvider));
}
