@Test
public void testNormalBucketedZeroDelta() {
Result<BucketedCurveSensitivities> result =
_functionRunner.runFunction(
ARGS,
createSuppliedData(),
new Function<Environment, Result<BucketedCurveSensitivities>>() {
@Override
public Result<BucketedCurveSensitivities> apply(Environment env) {
return _normalIRFutureOptionFn.calculateBucketedZeroIRDelta(
env, _irFutureOptionTrade);
}
});
assertSuccess(result);
}
@Test
public void testNormalPrice() {
Result<Double> result =
_functionRunner.runFunction(
ARGS,
createSuppliedData(),
new Function<Environment, Result<Double>>() {
@Override
public Result<Double> apply(Environment env) {
return _normalIRFutureOptionFn.calculateModelPrice(env, _irFutureOptionTrade);
}
});
assertSuccess(result);
Double price = result.getValue();
assertThat(price, is(closeTo(0.072284344, STD_TOLERANCE_PV)));
}
@Test
public void testNormalPresentValue() {
Result<MultipleCurrencyAmount> result =
_functionRunner.runFunction(
ARGS,
createSuppliedData(),
new Function<Environment, Result<MultipleCurrencyAmount>>() {
@Override
public Result<MultipleCurrencyAmount> apply(Environment env) {
return _normalIRFutureOptionFn.calculatePV(env, _irFutureOptionTrade);
}
});
assertSuccess(result);
MultipleCurrencyAmount mca = result.getValue();
assertThat(
mca.getCurrencyAmount(Currency.USD).getAmount(),
is(closeTo(-902.7156551, STD_TOLERANCE_PV)));
}
