//------------------------------------------------------------------------- public virtual void test_requirementsAndCurrency() { BondFutureOptionTradeCalculationFunction <BondFutureOptionTrade> function = BondFutureOptionTradeCalculationFunction.TRADE; ISet <Measure> measures = function.supportedMeasures(); FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA); assertThat(reqs.OutputCurrencies).containsOnly(CURRENCY); assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(QUOTE_ID, REPO_CURVE_ID, ISSUER_CURVE_ID, VOLS_ID)); assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of()); assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY); }
public virtual void test_simpleMeasures() { BondFutureOptionTradeCalculationFunction <BondFutureOptionTrade> function = BondFutureOptionTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); LegalEntityDiscountingProvider provider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); BlackBondFutureOptionMarginedTradePricer pricer = BlackBondFutureOptionMarginedTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS, SETTLE_PRICE); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS, SETTLE_PRICE); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, 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.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }
public virtual void test_pv01() { BondFutureOptionTradeCalculationFunction <BondFutureOptionTrade> function = BondFutureOptionTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); LegalEntityDiscountingProvider provider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); BlackBondFutureOptionMarginedTradePricer pricer = BlackBondFutureOptionMarginedTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivityRates(RTRADE, provider, VOLS); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4); ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)))); }