public void test_presentValue() {
MultiCurrencyAmount pvSensiTrade =
PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiProduct =
PRICER_PRODUCT.presentValue(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiPremium = PRICER_PAYMENT.presentValue(PREMIUM, RATES_PROVIDER);
assertEquals(pvSensiTrade, MultiCurrencyAmount.of(pvSensiProduct, pvSensiPremium));
}
public void test_presentValue() {
MultiCurrencyAmount pv1 = TRADE_PRICER.presentValue(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount pv2 = TRADE_PRICER.presentValue(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount pvProd1 = PRODUCT_PRICER.presentValue(CMS_ONE_LEG, RATES_PROVIDER);
MultiCurrencyAmount pvProd2 = PRODUCT_PRICER.presentValue(CMS_TWO_LEGS, RATES_PROVIDER);
CurrencyAmount pvPrem = PREMIUM_PRICER.presentValue(PREMIUM, RATES_PROVIDER);
assertEquals(pv1, pvProd1.plus(pvPrem));
assertEquals(pv2, pvProd2);
}
public void test_presentValueSensitivity() {
PointSensitivities pvSensiTrade =
PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct =
PRICER_PRODUCT.presentValueSensitivityRates(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiPremium =
PRICER_PAYMENT.presentValueSensitivity(PREMIUM, RATES_PROVIDER).build();
assertEquals(pvSensiTrade, pvSensiProduct.combinedWith(pvSensiPremium));
}
public void test_presentValueSensitivity() {
PointSensitivities pt1 =
TRADE_PRICER.presentValueSensitivity(CMS_TRADE_PREMIUM, RATES_PROVIDER);
PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE, RATES_PROVIDER);
PointSensitivityBuilder ptProd1 =
PRODUCT_PRICER.presentValueSensitivity(CMS_ONE_LEG, RATES_PROVIDER);
PointSensitivityBuilder ptProd2 =
PRODUCT_PRICER.presentValueSensitivity(CMS_TWO_LEGS, RATES_PROVIDER);
PointSensitivityBuilder ptPrem =
PREMIUM_PRICER.presentValueSensitivity(PREMIUM, RATES_PROVIDER);
assertEquals(pt1, ptProd1.combinedWith(ptPrem).build());
assertEquals(pt2, ptProd2.build());
}
public void test_presentValue_noExcoupon() {
CurrencyAmount computed = PRICER.presentValue(PRODUCT_NO_EXCOUPON, PROVIDER);
ExpandedFixedCouponBond expanded = PRODUCT.expand();
CurrencyAmount expected =
PRICER_NOMINAL.presentValue(expanded.getNominalPayment(), DSC_FACTORS_ISSUER);
int size = expanded.getPeriodicPayments().size();
double pvcCupon = 0d;
for (int i = 2; i < size; ++i) {
FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i);
pvcCupon +=
PRICER_COUPON.presentValue(
payment, IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
}
expected = expected.plus(pvcCupon);
assertEquals(computed.getCurrency(), EUR);
assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL);
}
