public virtual void test_simpleMeasures() { BillTradeCalculationFunction <BillTrade> function = BillTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingBillTradePricer pricer = DiscountingBillTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider); CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, VALUATION_DATE); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, 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.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }
public virtual void test_pv01_quote() { BillTradeCalculationFunction <BillTrade> function = BillTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingBillTradePricer pricer = DiscountingBillTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4); MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total(); ISet <Measure> measures = ImmutableSet.of(Measures.PV01_MARKET_QUOTE_SUM, Measures.PV01_MARKET_QUOTE_BUCKETED); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_MARKET_QUOTE_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_MARKET_QUOTE_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)))); }