//------------------------------------------------------------------------- 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))); }
// par spread for one scenario internal double parSpread(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) { double settlementPrice = this.settlementPrice(trade, ratesProvider); return(tradePricer.parSpread(trade, ratesProvider, settlementPrice)); }