//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = IborFutureTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingIborFutureTradePricer pricer = DiscountingIborFutureTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, SETTLEMENT_PRICE);
double expectedParSpread = pricer.parSpread(RTRADE, provider, SETTLEMENT_PRICE);
assertEquals(IborFutureTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(IborFutureTradeCalculations.DEFAULT.parSpread(RTRADE, RATES_LOOKUP, md), DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)));
}
public virtual void test_pv01()
{
ScenarioMarketData md = IborFutureTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingIborFutureTradePricer pricer = DiscountingIborFutureTradePricer.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(IborFutureTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(IborFutureTradeCalculations.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="ResolvedIborFutureTrade"/> </param>
public IborFutureTradeCalculations(DiscountingIborFutureTradePricer tradePricer)
{
this.calc = new IborFutureMeasureCalculations(tradePricer);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="tradePricer"> the pricer for <seealso cref="ResolvedIborFutureTrade"/> </param>
internal IborFutureMeasureCalculations(DiscountingIborFutureTradePricer tradePricer)
{
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
