public virtual void test_pv01() { ScenarioMarketData md = SwaptionTradeCalculationFunctionTest.marketData(); RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); VolatilitySwaptionTradePricer pricer = VolatilitySwaptionTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivityRatesStickyStrike(RTRADE, provider, VOLS); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4); assertEquals(SwaptionTradeCalculations.DEFAULT.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal))); assertEquals(SwaptionTradeCalculations.DEFAULT.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))); }
//------------------------------------------------------------------------- public virtual void test_presentValue() { ScenarioMarketData md = SwaptionTradeCalculationFunctionTest.marketData(); RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); VolatilitySwaptionTradePricer pricer = VolatilitySwaptionTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS); CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider.ValuationDate); assertEquals(SwaptionTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv))); assertEquals(SwaptionTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure))); assertEquals(SwaptionTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash))); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="tradePricer"> the pricer for <seealso cref="ResolvedSwaptionTrade"/> </param> /// <param name="sabrTradePricer"> the pricer for <seealso cref="ResolvedSwaptionTrade"/> SABR </param> internal SwaptionMeasureCalculations(VolatilitySwaptionTradePricer tradePricer, SabrSwaptionTradePricer sabrTradePricer) { this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer"); this.sabrTradePricer = ArgChecker.notNull(sabrTradePricer, "sabrTradePricer"); }
/// <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="ResolvedSwaptionTrade"/> </param> /// <param name="sabrTradePricer"> the pricer for <seealso cref="ResolvedSwaptionTrade"/> SABR </param> public SwaptionTradeCalculations(VolatilitySwaptionTradePricer tradePricer, SabrSwaptionTradePricer sabrTradePricer) { this.calc = new SwaptionMeasureCalculations(tradePricer, sabrTradePricer); }