@Test
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD_CPN_IBOR.presentValue(CPN_IBOR, MULTICURVES);
final MultipleCurrencyAmount pvCalculator = CPN_IBOR.accept(PVDC, MULTICURVES);
assertEquals(
"CouponFixedDiscountingMarketMethod: present value",
pvMethod.getAmount(EUR),
pvCalculator.getAmount(EUR),
TOLERANCE_PV);
}
@Test
public void presentValueMarketSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod =
METHOD_CPN_IBOR.presentValueCurveSensitivity(CPN_IBOR, MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator =
CPN_IBOR.accept(PVCSDC, MULTICURVES);
AssertSensivityObjects.assertEquals(
"CouponFixedDiscountingMarketMethod: presentValueMarketSensitivity",
pvcsMethod,
pvcsCalculator,
TOLERANCE_PV_DELTA);
}
@Test
/** Test the cap/floor/forward parity above the cut-off strike. */
public void presentValueCapFloorParityAboveCutOff() {
final CurrencyAmount priceCap = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
final CurrencyAmount priceFloor = METHOD.presentValue(FLOOR_HIGH_SHORT, SABR_BUNDLE);
final double priceCouponStrike = COUPON_STRIKE_HIGH.accept(PVC, CURVES);
final double priceCouponIbor = COUPON_IBOR.accept(PVC, CURVES);
assertEquals(
"Cap/floor: SABR with extrapolation pricing: cap/floor parity",
priceCouponIbor - priceCouponStrike,
priceCap.getAmount() + priceFloor.getAmount(),
1E-2);
}