//------------------------------------------------------------------------- //JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes: //ORIGINAL LINE: @Test public void test_presentValue() public virtual void test_presentValue() { ScenarioMarketData md = DsfTradeCalculationFunctionTest.marketData(); RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); DiscountingDsfTradePricer pricer = DiscountingDsfTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, REF_PRICE); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, REF_PRICE); assertEquals(DsfTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv))); assertEquals(DsfTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure))); }
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes: //ORIGINAL LINE: @Test public void test_pv01() public virtual void test_pv01() { ScenarioMarketData md = DsfTradeCalculationFunctionTest.marketData(); RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); DiscountingDsfTradePricer pricer = DiscountingDsfTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4); assertEquals(DsfTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal))); assertEquals(DsfTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))); }
/// <summary> /// Creates an instance. /// <para> /// In most cases, applications should use the <seealso cref="#DEFAULT"/> instance. /// /// </para> /// </summary> /// <param name="tradePricer"> the pricer for <seealso cref="ResolvedDsfTrade"/> </param> public DsfTradeCalculations(DiscountingDsfTradePricer tradePricer) { this.calc = new DsfMeasureCalculations(tradePricer); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="tradePricer"> the pricer for <seealso cref="ResolvedDsfTrade"/> </param> internal DsfMeasureCalculations(DiscountingDsfTradePricer tradePricer) { this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer"); }