//-------------------------------------------------------------------------
public virtual void calibration_present_value()
{
RatesProvider result2 = CALIBRATOR.calibrate(CURVE_GROUP_DEFN, ALL_QUOTES, REF_DATA);
// Test PV
CurveNode[] fwd3Nodes = CURVES_NODES[0][0];
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.Length; i++)
{
fwd3Trades.Add(fwd3Nodes[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Fixing
CurrencyAmount pvFixing2 = FIXING_PRICER.presentValue(((ResolvedIborFixingDepositTrade)fwd3Trades[0]).Product, result2);
assertEquals(pvFixing2.Amount, 0.0, TOLERANCE_PV);
// FRA
for (int i = 0; i < FWD3_NB_FRA_NODES; i++)
{
CurrencyAmount pvFra2 = FRA_PRICER.presentValue(((ResolvedFraTrade)fwd3Trades[i + 1]), result2);
assertEquals(pvFra2.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs2 = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i + 1 + FWD3_NB_FRA_NODES]).Product, result2);
assertEquals(pvIrs2.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
}
private void assertResult(RatesProvider result)
{
// Test PV Dsc
CurveNode[] dscNodes = CURVES_NODES[0][0];
IList <ResolvedTrade> dscTrades = new List <ResolvedTrade>();
for (int i = 0; i < dscNodes.Length; i++)
{
dscTrades.Add(dscNodes[i].resolvedTrade(1d, ALL_QUOTES_BD, REF_DATA));
}
// Depo
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
CurrencyAmount pvIrs = DEPO_PRICER.presentValue(((ResolvedTermDepositTrade)dscTrades[i]).Product, result);
assertEquals(pvIrs.Amount, 0.0, TOLERANCE_PV);
}
// OIS
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)dscTrades[DSC_NB_DEPO_NODES + i]).Product, result);
assertEquals(pvIrs.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
// Test PV Fwd3
CurveNode[] fwd3Nodes = CURVES_NODES[1][0];
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.Length; i++)
{
fwd3Trades.Add(fwd3Nodes[i].resolvedTrade(1d, ALL_QUOTES_BD, REF_DATA));
}
// Fixing
CurrencyAmount pvFixing = FIXING_PRICER.presentValue(((ResolvedIborFixingDepositTrade)fwd3Trades[0]).Product, result);
assertEquals(pvFixing.Amount, 0.0, TOLERANCE_PV);
// FRA
for (int i = 0; i < FWD3_NB_FRA_NODES; i++)
{
CurrencyAmount pvFra = FRA_PRICER.presentValue(((ResolvedFraTrade)fwd3Trades[i + 1]), result);
assertEquals(pvFra.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i + 1 + FWD3_NB_FRA_NODES]).Product, result);
assertEquals(pvIrs.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
}
public virtual void test_simpleMeasures()
{
FraTradeCalculationFunction function = new FraTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingFraTradePricer pricer = DiscountingFraTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
ExplainMap expectedExplainPv = pricer.explainPresentValue(RTRADE, provider);
double expectedParRate = pricer.parRate(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
CashFlows expectedCashFlows = pricer.cashFlows(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.EXPLAIN_PRESENT_VALUE, Measures.PAR_RATE, Measures.PAR_SPREAD, Measures.CASH_FLOWS, 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.EXPLAIN_PRESENT_VALUE, Result.success(ScenarioArray.of(ImmutableList.of(expectedExplainPv)))).containsEntry(Measures.PAR_RATE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParRate)))).containsEntry(Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.CASH_FLOWS, Result.success(ScenarioArray.of(ImmutableList.of(expectedCashFlows)))).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));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.presentValue(trade, ratesProvider));
}
private void assertPresentValue(RatesProvider result)
{
// Test PV USD;
IList <ResolvedTrade> usdTrades = new List <ResolvedTrade>();
foreach (CurveNode USD_DSC_NODE in USD_DSC_NODES)
{
usdTrades.Add(USD_DSC_NODE.resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Depo
for (int i = 0; i < 2; i++)
{
CurrencyAmount pvDep = DEPO_PRICER.presentValue(((ResolvedTermDepositTrade)usdTrades[i]).Product, result);
assertEquals(pvDep.Amount, 0.0, TOLERANCE_PV);
}
// OIS
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++)
{
MultiCurrencyAmount pvOis = SWAP_PRICER.presentValue(((ResolvedSwapTrade)usdTrades[2 + i]).Product, result);
assertEquals(pvOis.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
// Test PV USD Fwd3
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < USD_FWD3_NB_NODES; i++)
{
fwd3Trades.Add(USD_FWD3_NODES[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Fixing
CurrencyAmount pvFixing = FIXING_PRICER.presentValue(((ResolvedIborFixingDepositTrade)fwd3Trades[0]).Product, result);
assertEquals(pvFixing.Amount, 0.0, TOLERANCE_PV);
// FRA
for (int i = 0; i < USD_FWD3_NB_FRA_NODES; i++)
{
CurrencyAmount pvFra = FRA_PRICER.presentValue(((ResolvedFraTrade)fwd3Trades[i + 1]), result);
assertEquals(pvFra.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < USD_FWD3_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i + 1 + USD_FWD3_NB_FRA_NODES]).Product, result);
assertEquals(pvIrs.getAmount(USD).Amount, 0.0, TOLERANCE_PV);
}
// Test DSC EUR;
IList <ResolvedTrade> eurTrades = new List <ResolvedTrade>();
foreach (CurveNode EUR_DSC_NODE in EUR_DSC_NODES)
{
eurTrades.Add(EUR_DSC_NODE.resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// FX
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++)
{
MultiCurrencyAmount pvFx = FX_PRICER.presentValue(((ResolvedFxSwapTrade)eurTrades[i]).Product, result);
assertEquals(pvFx.convertedTo(USD, result).Amount, 0.0, TOLERANCE_PV);
}
// XCCY
for (int i = 0; i < EUR_DSC_NB_XCCY_NODES; i++)
{
MultiCurrencyAmount pvFx = SWAP_PRICER.presentValue(((ResolvedSwapTrade)eurTrades[EUR_DSC_NB_FX_NODES + i]).Product, result);
assertEquals(pvFx.convertedTo(USD, result).Amount, 0.0, TOLERANCE_PV);
}
// Test PV EUR Fwd3
IList <ResolvedTrade> eurFwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < EUR_FWD3_NB_NODES; i++)
{
eurFwd3Trades.Add(EUR_FWD3_NODES[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Fixing
CurrencyAmount eurPvFixing = FIXING_PRICER.presentValue(((ResolvedIborFixingDepositTrade)eurFwd3Trades[0]).Product, result);
assertEquals(eurPvFixing.Amount, 0.0, TOLERANCE_PV);
// FRA
for (int i = 0; i < EUR_FWD3_NB_FRA_NODES; i++)
{
CurrencyAmount pvFra = FRA_PRICER.presentValue(((ResolvedFraTrade)eurFwd3Trades[i + 1]), result);
assertEquals(pvFra.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < EUR_FWD3_NB_IRS_NODES; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)eurFwd3Trades[i + 1 + EUR_FWD3_NB_FRA_NODES]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
}
