コード例 #1
0
/** Test. */
@Test
public class GeneratorBillTest {

  private static final Currency EUR = Currency.EUR;
  private static final HolidayCalendar CALENDAR = HolidayCalendars.SAT_SUN;

  private static final DayCount ACT360 = DayCounts.ACT_360;
  private static final int SETTLEMENT_DAYS = 2;
  private static final YieldConvention YIELD_CONVENTION =
      YieldConventionFactory.INSTANCE.getYieldConvention("INTEREST@MTY");

  private static final String ISSUER_BEL = "BELGIUM GOVT";
  private static final ZonedDateTime END_DATE = DateUtils.getUTCDate(2012, 9, 20);
  private static final double NOTIONAL = 1000;
  private static final BillSecurityDefinition BILL_BEL_SEC_DEFINITION =
      new BillSecurityDefinition(
          EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS, CALENDAR, YIELD_CONVENTION, ACT360, ISSUER_BEL);

  private static final String GENERATOR_BILL_NAME = "BE0312683528";
  private static final GeneratorBill GENERATOR_BILL =
      new GeneratorBill(GENERATOR_BILL_NAME, BILL_BEL_SEC_DEFINITION);

  private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 8, 21);

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void nullName() {
    new GeneratorBill(null, BILL_BEL_SEC_DEFINITION);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void nullUnderlying() {
    new GeneratorBill(GENERATOR_BILL_NAME, null);
  }

  @Test
  public void generateInstrument() {
    final double marketQuote = -0.0001;
    final double notional = 123000;
    final double quantity = 123;
    final GeneratorAttributeET attribute = new GeneratorAttributeET(false);
    final BillTransactionDefinition billGenerated =
        GENERATOR_BILL.generateInstrument(REFERENCE_DATE, marketQuote, notional, attribute);
    final ZonedDateTime dettleDate =
        ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, SETTLEMENT_DAYS, CALENDAR);
    final BillTransactionDefinition billExpected =
        BillTransactionDefinition.fromYield(
            BILL_BEL_SEC_DEFINITION, quantity, dettleDate, marketQuote, CALENDAR);
    assertEquals("Bill Generator: generate instrument", billExpected, billGenerated);
  }
}
/** Tests the present value of Capital inflation indexed bonds. */
@Test
public class BondCapitalIndexedSecurityDiscountingMethodTest {

  private static final InflationIssuerProviderDiscount MARKET =
      MulticurveProviderDiscountDataSets.createMarket1();
  private static final IndexPrice[] PRICE_INDEXES =
      MulticurveProviderDiscountDataSets.getPriceIndexes();
  private static final IndexPrice PRICE_INDEX_UKRPI = PRICE_INDEXES[1];
  private static final IndexPrice PRICE_INDEX_USCPI = PRICE_INDEXES[2];
  private static final IndexPrice PRICE_INDEX_AUDCPI = PRICE_INDEXES[3];
  private static final String[] ISSUER_NAMES = MulticurveProviderDiscountDataSets.getIssuerNames();
  private static final String ISSUER_US_GOVT = ISSUER_NAMES[0];
  private static final String ISSUER_UK_GOVT = ISSUER_NAMES[1];
  private static final String ISSUER_AUD_GOVT = ISSUER_NAMES[3];

  private static final double SHIFT_FD = 1.0E-9;
  private static final double TOLERANCE_PV_DELTA = 1.0E+2;
  private static final double TOLERANCE_SENSI_DELTA = 1.0E-6;

  private static final ZonedDateTime PRICING_DATE = DateUtils.getUTCDate(2011, 8, 8);
  private static final BondCapitalIndexedSecurityDiscountingMethod METHOD_BOND_INFLATION =
      new BondCapitalIndexedSecurityDiscountingMethod();
  private static final CouponInflationZeroCouponMonthlyGearingDiscountingMethod
      METHOD_INFLATION_ZC_MONTHLY = new CouponInflationZeroCouponMonthlyGearingDiscountingMethod();
  private static final CouponInflationZeroCouponInterpolationGearingDiscountingMethod
      METHOD_INFLATION_ZC_INTERPOLATION =
          new CouponInflationZeroCouponInterpolationGearingDiscountingMethod();
  private static final PresentValueDiscountingInflationCalculator PVDIC =
      PresentValueDiscountingInflationCalculator.getInstance();
  private static final NetAmountInflationCalculator NADIC =
      NetAmountInflationCalculator.getInstance();
  private static final PresentValueDiscountingInflationIssuerCalculator PVDIIC =
      PresentValueDiscountingInflationIssuerCalculator.getInstance();
  private static final ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator
      PS_PV_FDC =
          new ParameterSensitivityInflationMulticurveDiscountInterpolatedFDCalculator(
              PVDIC, SHIFT_FD);
  private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDC =
      PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
  private static final ParameterSensitivityInflationParameterCalculator<
          ParameterInflationProviderInterface>
      PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDC);

  // Treasury Indexed Bonds CAIN 3% Index-linked Treasury Stock 2025 - AU0000XCLWP8
  private static final HolidayCalendar CALENDAR_AUD = HolidayCalendars.SAT_SUN;
  private static final BusinessDayConvention BUSINESS_DAY_AUD = BusinessDayConventions.FOLLOWING;
  private static final DayCount DAY_COUNT_CAIN = DayCounts.ACT_ACT_ISDA;
  private static final boolean IS_EOM_CAIN = false;
  private static final ZonedDateTime START_DATE_CAIN = DateUtils.getUTCDate(2009, 9, 30);
  private static final ZonedDateTime FIRST_COUPON_DATE_CAIN = DateUtils.getUTCDate(2009, 12, 20);
  private static final ZonedDateTime MATURITY_DATE_CAIN = DateUtils.getUTCDate(2025, 12, 20);
  private static final YieldConvention YIELD_CONVENTION_CAIN =
      YieldConventionFactory.INSTANCE.getYieldConvention("UK:BUMP/DMO METHOD"); // To check
  private static final int MONTH_LAG_CAIN = 6;
  private static final double INDEX_START_CAIN = 173.60; // November 2001
  private static final double NOTIONAL_CAIN = 1.00;
  private static final double REAL_RATE_CAIN = 0.03;
  private static final Period COUPON_PERIOD_CAIN = Period.ofMonths(3);
  private static final int SETTLEMENT_DAYS_CAIN = 2;
  // TODO: ex-coupon 7 days
  private static final BondCapitalIndexedSecurityDefinition<
          CouponInflationZeroCouponMonthlyGearingDefinition>
      BOND_SECURITY_CAIN_DEFINITION =
          BondCapitalIndexedSecurityDefinition.fromMonthly(
              PRICE_INDEX_AUDCPI,
              MONTH_LAG_CAIN,
              START_DATE_CAIN,
              INDEX_START_CAIN,
              FIRST_COUPON_DATE_CAIN,
              MATURITY_DATE_CAIN,
              COUPON_PERIOD_CAIN,
              NOTIONAL_CAIN,
              REAL_RATE_CAIN,
              BUSINESS_DAY_AUD,
              SETTLEMENT_DAYS_CAIN,
              CALENDAR_AUD,
              DAY_COUNT_CAIN,
              YIELD_CONVENTION_CAIN,
              IS_EOM_CAIN,
              ISSUER_AUD_GOVT);
  private static final DoubleTimeSeries<ZonedDateTime> AUD_CPI =
      MulticurveProviderDiscountDataSets.audCPIFrom2009();
  private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_CAIN =
      BOND_SECURITY_CAIN_DEFINITION.toDerivative(PRICING_DATE, AUD_CPI);

  /** Tests the present value computation. */
  public void presentValueCAIN() {
    final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount();
    marketUKGovt.setCurve(
        BOND_SECURITY_CAIN.getCurrency(), MARKET.getCurve(BOND_SECURITY_CAIN.getIssuerEntity()));
    marketUKGovt.setCurve(PRICE_INDEX_AUDCPI, MARKET.getCurve(PRICE_INDEX_AUDCPI));
    final MultiCurrencyAmount pvNominal =
        METHOD_INFLATION_ZC_MONTHLY.presentValue(
            (CouponInflationZeroCouponMonthlyGearing)
                BOND_SECURITY_CAIN.getNominal().getNthPayment(0),
            marketUKGovt);
    MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_CAIN.getCurrency(), 0.0);
    for (int loopcpn = 0;
        loopcpn < BOND_SECURITY_CAIN.getCoupon().getNumberOfPayments();
        loopcpn++) {
      pvCoupon =
          pvCoupon.plus(
              BOND_SECURITY_CAIN.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt));
    }
    final MultiCurrencyAmount pvExpectd = pvNominal.plus(pvCoupon);
    final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_CAIN, MARKET);
    assertEquals(
        "Inflation Capital Indexed bond: present value",
        pvExpectd.getAmount(BOND_SECURITY_CAIN.getCurrency()).getAmount(),
        pv.getAmount(BOND_SECURITY_CAIN.getCurrency()).getAmount(),
        1.0E-2);
  }

  /** Tests the present value Method vs Calculator. */
  public void presentValueMethodVsCalculatorCAIN() {
    final MultiCurrencyAmount pvMethod =
        METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_CAIN, MARKET);
    final MultiCurrencyAmount pvCalculator = BOND_SECURITY_CAIN.accept(PVDIIC, MARKET);
    assertEquals("Inflation Capital Indexed bond: present value", pvMethod, pvCalculator);
  }

  /** Test the present value parameter curves sensitivity. */
  public void presentValueParameterCurveSensitivityCAIN() {

    final MultipleCurrencyParameterSensitivity pvicsFD =
        PS_PV_FDC.calculateSensitivity(
            BOND_SECURITY_CAIN.getCoupon(), MARKET.getInflationProvider());
    final MultipleCurrencyParameterSensitivity pvicsExact =
        PSC.calculateSensitivity(
            BOND_SECURITY_CAIN.getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames());

    AssertSensitivityObjects.assertEquals(
        "Bond capital indexed security: presentValueParameterCurveSensitivity ",
        pvicsExact,
        pvicsFD,
        TOLERANCE_SENSI_DELTA);
  }

  /** Test the present value curves sensitivity. */
  public void presentValueCurveSensitivityCAIN() {
    MulticurveProviderInterface multicurveDecorated =
        new MulticurveProviderDiscountingDecoratedIssuer(
            MARKET.getIssuerProvider(),
            BOND_SECURITY_CAIN.getCurrency(),
            BOND_SECURITY_CAIN.getIssuerEntity());
    InflationProviderInterface creditDiscounting =
        new InflationProviderDecoratedMulticurve(
            MARKET.getInflationProvider(), multicurveDecorated);
    final MultipleCurrencyInflationSensitivity sensitivityNominal =
        BOND_SECURITY_CAIN.getNominal().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity sensitivityCoupon =
        BOND_SECURITY_CAIN.getCoupon().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity pvcisCalculated =
        sensitivityNominal.plus(sensitivityCoupon);

    final MultipleCurrencyInflationSensitivity pvcisMethod =
        METHOD_BOND_INFLATION.presentValueCurveSensitivity(BOND_SECURITY_CAIN, MARKET);

    AssertSensitivityObjects.assertEquals(
        "Bond capital indexed security: presentValueCurveSensitivity ",
        pvcisCalculated,
        pvcisMethod,
        TOLERANCE_PV_DELTA);
  }

  // Index-Lined Gilt 2% Index-linked Treasury Stock 2035 - GB0031790826
  private static final HolidayCalendar CALENDAR_GBP = HolidayCalendars.SAT_SUN;
  private static final BusinessDayConvention BUSINESS_DAY_GBP = BusinessDayConventions.FOLLOWING;
  private static final DayCount DAY_COUNT_GILT_1 = DayCounts.ACT_ACT_ISDA;
  private static final boolean IS_EOM_GILT_1 = false;
  private static final ZonedDateTime START_DATE_GILT_1 = DateUtils.getUTCDate(2002, 7, 11);
  private static final ZonedDateTime FIRST_COUPON_DATE_GILT_1 = DateUtils.getUTCDate(2003, 1, 26);
  private static final ZonedDateTime MATURITY_DATE_GILT_1 = DateUtils.getUTCDate(2035, 1, 26);
  private static final YieldConvention YIELD_CONVENTION_GILT_1 = SimpleYieldConvention.UK_IL_BOND;
  // YieldConventionFactory.INSTANCE.getYieldConvention("UK:BUMP/DMO METHOD"); // To check
  private static final int MONTH_LAG_GILT_1 = 8;
  private static final double INDEX_START_GILT_1 = 173.60; // November 2001
  private static final double NOTIONAL_GILT_1 = 1.00;
  private static final double REAL_RATE_GILT_1 = 0.02;
  private static final Period COUPON_PERIOD_GILT_1 = Period.ofMonths(6);
  private static final int SETTLEMENT_DAYS_GILT_1 = 2;
  // TODO: ex-coupon 7 days
  private static final BondCapitalIndexedSecurityDefinition<
          CouponInflationZeroCouponMonthlyGearingDefinition>
      BOND_SECURITY_GILT_1_DEFINITION =
          BondCapitalIndexedSecurityDefinition.fromMonthly(
              PRICE_INDEX_UKRPI,
              MONTH_LAG_GILT_1,
              START_DATE_GILT_1,
              INDEX_START_GILT_1,
              FIRST_COUPON_DATE_GILT_1,
              MATURITY_DATE_GILT_1,
              COUPON_PERIOD_GILT_1,
              NOTIONAL_GILT_1,
              REAL_RATE_GILT_1,
              BUSINESS_DAY_GBP,
              SETTLEMENT_DAYS_GILT_1,
              CALENDAR_GBP,
              DAY_COUNT_GILT_1,
              YIELD_CONVENTION_GILT_1,
              IS_EOM_GILT_1,
              ISSUER_UK_GOVT);
  private static final DoubleTimeSeries<ZonedDateTime> UK_RPI =
      MulticurveProviderDiscountDataSets.ukRpiFrom2010();
  private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_GILT_1 =
      BOND_SECURITY_GILT_1_DEFINITION.toDerivative(PRICING_DATE, UK_RPI);

  /** Tests the present value computation. */
  public void presentValueGilt1() {
    final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount();
    marketUKGovt.setCurve(
        BOND_SECURITY_GILT_1.getCurrency(),
        MARKET.getCurve(BOND_SECURITY_GILT_1.getIssuerEntity()));
    marketUKGovt.setCurve(PRICE_INDEX_UKRPI, MARKET.getCurve(PRICE_INDEX_UKRPI));
    final MultiCurrencyAmount pvNominal =
        METHOD_INFLATION_ZC_MONTHLY.presentValue(
            (CouponInflationZeroCouponMonthlyGearing)
                BOND_SECURITY_GILT_1.getNominal().getNthPayment(0),
            marketUKGovt);
    MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_GILT_1.getCurrency(), 0.0);
    for (int loopcpn = 0;
        loopcpn < BOND_SECURITY_GILT_1.getCoupon().getNumberOfPayments();
        loopcpn++) {
      pvCoupon =
          pvCoupon.plus(
              BOND_SECURITY_GILT_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt));
    }
    final MultiCurrencyAmount pvExpected = pvNominal.plus(pvCoupon);
    final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET);
    assertEquals(
        "Inflation Capital Indexed bond: present value",
        pvExpected.getAmount(BOND_SECURITY_GILT_1.getCurrency()).getAmount(),
        pv.getAmount(BOND_SECURITY_GILT_1.getCurrency()).getAmount(),
        1.0E-2);
  }

  /** Tests the present value Method vs Calculator. */
  public void presentValueMethodVsCalculator() {
    final MultiCurrencyAmount pvMethod =
        METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET);
    final MultiCurrencyAmount pvCalculator = BOND_SECURITY_GILT_1.accept(PVDIIC, MARKET);
    assertEquals("Inflation Capital Indexed bond: present value", pvMethod, pvCalculator);
  }

  // 2% 10-YEAR TREASURY INFLATION-PROTECTED SECURITIES (TIPS) Due January 15, 2016 - US912828ET33
  private static final HolidayCalendar CALENDAR_USD = HolidayCalendars.SAT_SUN;
  private static final BusinessDayConvention BUSINESS_DAY_USD = BusinessDayConventions.FOLLOWING;
  private static final DayCount DAY_COUNT_TIPS_1 = DayCounts.ACT_ACT_ICMA;
  private static final boolean IS_EOM_TIPS_1 = false;
  private static final ZonedDateTime START_DATE_TIPS_1 = DateUtils.getUTCDate(2006, 1, 15);
  private static final ZonedDateTime MATURITY_DATE_TIPS_1 = DateUtils.getUTCDate(2016, 1, 15);
  private static final YieldConvention YIELD_CONVENTION_TIPS_1 = SimpleYieldConvention.US_IL_REAL;
  private static final int MONTH_LAG_TIPS_1 = 3;
  private static final double INDEX_START_TIPS_1 = 198.47742; // Date:
  private static final double NOTIONAL_TIPS_1 = 100.00;
  private static final double REAL_RATE_TIPS_1 = 0.02;
  private static final Period COUPON_PERIOD_TIPS_1 = Period.ofMonths(6);
  private static final int SETTLEMENT_DAYS_TIPS_1 = 1;

  private static final BondCapitalIndexedSecurityDefinition<
          CouponInflationZeroCouponInterpolationGearingDefinition>
      BOND_SECURITY_TIPS_1_DEFINITION =
          BondCapitalIndexedSecurityDefinition.fromInterpolation(
              PRICE_INDEX_USCPI,
              MONTH_LAG_TIPS_1,
              START_DATE_TIPS_1,
              INDEX_START_TIPS_1,
              MATURITY_DATE_TIPS_1,
              COUPON_PERIOD_TIPS_1,
              NOTIONAL_TIPS_1,
              REAL_RATE_TIPS_1,
              BUSINESS_DAY_USD,
              SETTLEMENT_DAYS_TIPS_1,
              CALENDAR_USD,
              DAY_COUNT_TIPS_1,
              YIELD_CONVENTION_TIPS_1,
              IS_EOM_TIPS_1,
              ISSUER_US_GOVT);
  private static final DoubleTimeSeries<ZonedDateTime> US_CPI =
      MulticurveProviderDiscountDataSets.usCpiFrom2009();
  private static final BondCapitalIndexedSecurity<Coupon> BOND_SECURITY_TIPS_1 =
      BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(PRICING_DATE, US_CPI);

  /** Tests the present value computation. */
  public void presentValueTips1() {
    final InflationProviderDiscount marketUSGovt = new InflationProviderDiscount();
    marketUSGovt.setCurve(
        BOND_SECURITY_TIPS_1.getCurrency(),
        MARKET.getCurve(BOND_SECURITY_TIPS_1.getIssuerEntity()));
    marketUSGovt.setCurve(PRICE_INDEX_USCPI, MARKET.getCurve(PRICE_INDEX_USCPI));
    final MultiCurrencyAmount pvNominal =
        METHOD_INFLATION_ZC_INTERPOLATION.presentValue(
            (CouponInflationZeroCouponInterpolationGearing)
                BOND_SECURITY_TIPS_1.getNominal().getNthPayment(0),
            marketUSGovt);
    MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_TIPS_1.getCurrency(), 0.0);
    for (int loopcpn = 0;
        loopcpn < BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments();
        loopcpn++) {
      pvCoupon =
          pvCoupon.plus(
              BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUSGovt));
    }
    final MultiCurrencyAmount pvExpected = pvNominal.plus(pvCoupon);
    final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_TIPS_1, MARKET);
    assertEquals(
        "Inflation Capital Indexed bond: present value",
        pvExpected.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(),
        pv.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(),
        1.0E-2);
  }

  /** Tests the present value computation. */
  public void presentValueFromCleanPriceRealTips1() {
    final double cleanPriceReal = 1.05;
    Currency ccy = BOND_SECURITY_TIPS_1.getCurrency();
    final MultiCurrencyAmount pv =
        METHOD_BOND_INFLATION.presentValueFromCleanRealPrice(
            BOND_SECURITY_TIPS_1, MARKET, cleanPriceReal);
    MultiCurrencyAmount pvPriceReal =
        BOND_SECURITY_TIPS_1.getSettlement().accept(PVDIIC, MARKET).multipliedBy(cleanPriceReal);
    MultiCurrencyAmount pvAccrued =
        BOND_SECURITY_TIPS_1
            .getSettlement()
            .accept(PVDIC, MARKET)
            .multipliedBy(BOND_SECURITY_TIPS_1.getAccruedInterest());
    MultiCurrencyAmount pvExpected = pvPriceReal.plus(pvAccrued);
    assertEquals(
        "Inflation Capital Indexed bond: present value from clean real price",
        pvExpected.getAmount(ccy).getAmount(),
        pv.getAmount(ccy).getAmount(),
        1.0E-6);
  }

  /** Tests the present value computation. */
  public void presentValueFromCleanPriceNominalTips1() {
    final double cleanPriceNominal = 1.05;
    Currency ccy = BOND_SECURITY_TIPS_1.getCurrency();
    final MultiCurrencyAmount pv =
        METHOD_BOND_INFLATION.presentValueFromCleanNominalPrice(
            BOND_SECURITY_TIPS_1, MARKET, cleanPriceNominal);
    MultiCurrencyAmount pvAccrued =
        BOND_SECURITY_TIPS_1
            .getSettlement()
            .accept(PVDIC, MARKET)
            .multipliedBy(BOND_SECURITY_TIPS_1.getAccruedInterest());
    double pvPriceNominal =
        cleanPriceNominal
            * MARKET.getDiscountFactor(ccy, BOND_SECURITY_TIPS_1.getSettlementTime())
            * NOTIONAL_TIPS_1;
    double pvExpected = pvPriceNominal + pvAccrued.getAmount(ccy).getAmount();
    assertEquals(
        "Inflation Capital Indexed bond: present value from clean real price",
        pvExpected,
        pv.getAmount(ccy).getAmount(),
        1.0E-6);
  }

  /** Tests the clean real price from the dirty real price. */
  public void cleanNominalPriceFromDirtyNominalPriceTips1() {
    final double dirtyNominal = 1.01;
    final double cleanReal =
        METHOD_BOND_INFLATION.cleanNominalPriceFromDirtyNominalPrice(
            BOND_SECURITY_TIPS_1, dirtyNominal);
    final double indexRatio = BOND_SECURITY_TIPS_1.getIndexRatio();
    final double cleanRealExpected =
        dirtyNominal - BOND_SECURITY_TIPS_1.getAccruedInterest() / NOTIONAL_TIPS_1 * indexRatio;
    assertEquals(
        "Inflation Capital Indexed bond: clean from dirty", cleanRealExpected, cleanReal, 1.0E-8);
  }

  /** Tests the clean real price from the dirty real price. */
  public void cleanRealFromDirtyRealTips1() {
    final double dirtyReal = 1.01;
    final double cleanReal =
        METHOD_BOND_INFLATION.cleanRealPriceFromDirtyRealPrice(BOND_SECURITY_TIPS_1, dirtyReal);
    final double cleanRealExpected =
        dirtyReal - BOND_SECURITY_TIPS_1.getAccruedInterest() / NOTIONAL_TIPS_1;
    assertEquals(
        "Inflation Capital Indexed bond: clean from dirty", cleanRealExpected, cleanReal, 1.0E-8);
  }

  /** Tests the dirty real price computation from the real yield in the "US I/L real" convention. */
  public void dirtyRealPriceFromRealYieldTips1() {
    final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03};
    final int nbCoupon = BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments();
    final double[] dirtyRealPrice = new double[yield.length];
    final double[] dirtyRealPriceExpected = new double[yield.length];
    for (int loopyield = 0; loopyield < yield.length; loopyield++) {
      dirtyRealPrice[loopyield] =
          METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]);

      final double factorOnPeriod = 1 + yield[loopyield] / BOND_SECURITY_TIPS_1.getCouponPerYear();
      double pvAtFirstCoupon = 0;

      for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
        pvAtFirstCoupon +=
            ((CouponInflationGearing) BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn))
                    .getFactor()
                / BOND_SECURITY_TIPS_1.getCouponPerYear()
                / Math.pow(factorOnPeriod, loopcpn);
      }
      pvAtFirstCoupon += 1.0 / Math.pow(factorOnPeriod, nbCoupon - 1);
      dirtyRealPriceExpected[loopyield] =
          pvAtFirstCoupon
              / (1
                  + BOND_SECURITY_TIPS_1.getAccrualFactorToNextCoupon()
                      * yield[loopyield]
                      / BOND_SECURITY_TIPS_1.getCouponPerYear());
      assertEquals(
          "Inflation Capital Indexed bond: yield " + loopyield,
          dirtyRealPriceExpected[loopyield],
          dirtyRealPrice[loopyield],
          1.0E-8);
    }
  }

  /** Tests the clean real price from the dirty real price. */
  public void yieldRealFromDirtyRealTips1() {
    final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03};
    final double[] dirtyRealPrice = new double[yield.length];
    final double[] yieldComputed = new double[yield.length];
    for (int loopyield = 0; loopyield < yield.length; loopyield++) {
      dirtyRealPrice[loopyield] =
          METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]);
      yieldComputed[loopyield] =
          METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(
              BOND_SECURITY_TIPS_1, dirtyRealPrice[loopyield]);
      assertEquals(
          "Inflation Capital Indexed bond: yield " + loopyield,
          yield[loopyield],
          yieldComputed[loopyield],
          1.0E-8);
    }
  }

  @Test(enabled = false)
  /** Tests the clean, dirty and yield vs external hard-coded values. */
  public void priceYieldExternalValues1() {
    final double m1 = 1000000; // Notional of the external figures.
    final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 16); // Spot 18-Aug-2011
    final InflationIssuerProviderDiscount market =
        MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
    final double cleanRealPrice = 1.00;
    final BondCapitalIndexedSecurity<Coupon> bond_110817 =
        BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
    final double referenceIndexExpected = 225.83129;
    final MultiCurrencyAmount netAmountSettle =
        bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
    final double referenceIndexComputed =
        netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount()
            * BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue()
            / bond_110817.getSettlement().getNotional();
    assertEquals(
        "Inflation Capital Indexed bond: index",
        referenceIndexExpected,
        referenceIndexComputed,
        1.0E-5);
    final double indexRatioExpected = 1.13782;
    final MultiCurrencyAmount indexRatioCalculated =
        bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
    assertEquals(
        "Inflation Capital Indexed bond: indexRatio",
        indexRatioExpected,
        indexRatioCalculated.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount()
            / NOTIONAL_TIPS_1,
        1.0E-5);
    final double yieldExpected = 1.999644 / 100.0;
    final double dirtyRealPriceComputed =
        METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
    final double yieldComputed =
        METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
    assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
    final double accruedExpected = 2102.49;
    final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
    final double accruedReal = bond_110817.getAccruedInterest();
    assertEquals(
        "Inflation Capital Indexed bond: accrued",
        accruedRealExpected,
        accruedReal / NOTIONAL_TIPS_1,
        1.0E-8);
    final double netAmountExpected = 1139922.49; // For 1m; uses the rounding rules.
    final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
    assertEquals(
        "Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
    final MultiCurrencyAmount netAmount =
        METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
    assertEquals(
        "Inflation Capital Indexed bond: net amount",
        netAmountExpected,
        netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1,
        2.0E+0); // The difference is due to rounding.
  }

  @Test(enabled = false)
  /** Tests the clean, dirty and yield vs external hard-coded values. */
  public void priceYieldExternalValues2() {
    final double m1 = 1000000; // Notional of the external figures.
    final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 17); // Spot 18-Aug-2011
    final InflationIssuerProviderDiscount market =
        MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
    final double cleanRealPrice = 1.13 + 0.01 / 32;
    final BondCapitalIndexedSecurity<Coupon> bond_110817 =
        BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
    final double referenceIndexExpected = 225.83129;
    final MultiCurrencyAmount netAmountSettle =
        bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
    final double referenceIndexComputed =
        netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount()
            * BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue()
            / bond_110817.getSettlement().getNotional();
    assertEquals(
        "Inflation Capital Indexed bond: index",
        referenceIndexExpected,
        referenceIndexComputed,
        1.0E-5);
    final double indexRatioExpected = 1.13782;
    assertEquals(
        "Inflation Capital Indexed bond: indexRatio",
        indexRatioExpected,
        referenceIndexComputed / INDEX_START_TIPS_1,
        1.0E-5);
    final double yieldExpected = -0.892152 / 100.0;
    final double dirtyRealPriceComputed =
        METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
    final double yieldComputed =
        METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
    assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
    final double accruedExpected = 2102.49;
    final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
    final double accruedReal = bond_110817.getAccruedInterest();
    assertEquals(
        "Inflation Capital Indexed bond: accrued",
        accruedRealExpected,
        accruedReal / NOTIONAL_TIPS_1,
        1.0E-8);
    final double netAmountExpected = 1288194.66; // For 1m; uses the rounding rules.
    final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
    assertEquals(
        "Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
    final MultiCurrencyAmount netAmount =
        METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
    assertEquals(
        "Inflation Capital Indexed bond: net amount",
        netAmountExpected,
        netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1,
        2.0E+0); // The difference is due to rounding.
  }

  @Test(enabled = false)
  /** Tests the clean, dirty and yield vs external hard-coded values. */
  public void priceYieldExternalValues3() {
    final double m1 = 1000000; // Notional of the external figures.
    final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 18); // Spot 19-Aug-2011
    final InflationIssuerProviderDiscount market =
        MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
    final double cleanRealPrice = 1.00;
    final BondCapitalIndexedSecurity<Coupon> bond_110817 =
        BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
    final double referenceIndexExpected = 225.82348;
    final MultiCurrencyAmount netAmountSettle =
        bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
    final double referenceIndexComputed =
        netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount()
            * BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue()
            / bond_110817.getSettlement().getNotional();
    assertEquals(
        "Inflation Capital Indexed bond: index",
        referenceIndexExpected,
        referenceIndexComputed,
        1.0E-5);
    final double indexRatioExpected = 1.13778;
    final double yieldExpected = 1.999636 / 100.0;
    final double dirtyRealPriceComputed =
        METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
    final double yieldComputed =
        METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
    assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
    final double accruedExpected = 2164.26;
    final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
    final double accruedReal = bond_110817.getAccruedInterest();
    assertEquals(
        "Inflation Capital Indexed bond: accrued",
        accruedRealExpected,
        accruedReal / NOTIONAL_TIPS_1,
        1.0E-8);
    final double netAmountExpected = 1139944.26; // For 1m; uses the rounding rules.
    final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
    assertEquals(
        "Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
    final MultiCurrencyAmount netAmount =
        METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
    assertEquals(
        "Inflation Capital Indexed bond: net amount",
        netAmountExpected,
        netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1,
        2.0E+0); // The difference is due to rounding.
  }

  /** Test the present value parameter curves sensitivity. */
  public void presentValueParameterCurveSensitivity() {

    final MultipleCurrencyParameterSensitivity pvicsFD =
        PS_PV_FDC.calculateSensitivity(
            BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider());
    final MultipleCurrencyParameterSensitivity pvicsExact =
        PSC.calculateSensitivity(
            BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames());

    AssertSensitivityObjects.assertEquals(
        "Bond capital indexed security: presentValueParameterCurveSensitivity ",
        pvicsExact,
        pvicsFD,
        TOLERANCE_PV_DELTA);
  }

  /** Test the present value curves sensitivity. */
  public void presentValueCurveSensitivity() {
    MulticurveProviderInterface multicurveDecorated =
        new MulticurveProviderDiscountingDecoratedIssuer(
            MARKET.getIssuerProvider(),
            BOND_SECURITY_GILT_1.getCurrency(),
            BOND_SECURITY_GILT_1.getIssuerEntity());
    InflationProviderInterface inflationDecorated =
        new InflationProviderDecoratedMulticurve(
            MARKET.getInflationProvider(), multicurveDecorated);
    final MultipleCurrencyInflationSensitivity sensitivityNominal =
        BOND_SECURITY_GILT_1.getNominal().accept(PVCSDC, inflationDecorated);
    final MultipleCurrencyInflationSensitivity sensitivityCoupon =
        BOND_SECURITY_GILT_1.getCoupon().accept(PVCSDC, inflationDecorated);
    final MultipleCurrencyInflationSensitivity pvcisCalculated =
        sensitivityNominal.plus(sensitivityCoupon);
    final MultipleCurrencyInflationSensitivity pvcisMethod =
        METHOD_BOND_INFLATION.presentValueCurveSensitivity(BOND_SECURITY_GILT_1, MARKET);
    AssertSensitivityObjects.assertEquals(
        "Bond capital indexed security: presentValueCurveSensitivity ",
        pvcisCalculated,
        pvcisMethod,
        TOLERANCE_PV_DELTA);
  }
}