@Test
/** Tests the present value: Method vs Calculator. */
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD.presentValue(ZERO_COUPON_CAP, BLACK_INFLATION);
final MultipleCurrencyAmount pvCalculator = ZERO_COUPON_CAP.accept(PVIC, BLACK_INFLATION);
assertEquals("Zero-coupon inflation DiscountingMethod: Present value", pvMethod, pvCalculator);
}
@Test
public void presentValueMarketSensitivityMethodVsCalculator() {
final MultipleCurrencyInflationSensitivity pvcisMethod =
METHOD.presentValueCurveSensitivity(ZERO_COUPON_CAP, BLACK_INFLATION);
final MultipleCurrencyInflationSensitivity pvcisCalculator =
ZERO_COUPON_CAP.accept(PVCSDC, BLACK_INFLATION);
AssertSensivityObjects.assertEquals(
"Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity",
pvcisMethod,
pvcisCalculator,
TOLERANCE_PV_DELTA);
}
@Test
/** Tests the present value. */
public void presentValueNoNotional() {
final MultipleCurrencyAmount pv = METHOD.presentValue(ZERO_COUPON_CAP, BLACK_INFLATION);
final double timeToMaturity =
ZERO_COUPON_CAP.getReferenceEndTime() - ZERO_COUPON_CAP.getLastKnownFixingTime();
final double df =
MARKET
.getCurve(ZERO_COUPON_CAP.getCurrency())
.getDiscountFactor(ZERO_COUPON_CAP.getPaymentTime());
final double finalIndex =
MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_CAP.getReferenceEndTime());
final double forward = finalIndex / INDEX_1MAY_2008;
final EuropeanVanillaOption option =
new EuropeanVanillaOption(
Math.pow(1 + ZERO_COUPON_CAP.getStrike(), ZERO_COUPON_CAP.getMaturity()),
timeToMaturity,
ZERO_COUPON_CAP.isCap());
final double volatility =
BLACK_INFLATION
.getBlackParameters()
.getVolatility(ZERO_COUPON_CAP.getReferenceEndTime(), ZERO_COUPON_CAP.getStrike());
final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
final double pvExpected =
df
* func.evaluate(dataBlack)
* ZERO_COUPON_CAP.getNotional()
* ZERO_COUPON_CAP.getPaymentYearFraction();
assertEquals(
"Zero-coupon inflation DiscountingMethod: Present value",
pvExpected,
pv.getAmount(ZERO_COUPON_CAP.getCurrency()),
TOLERANCE_PV);
}
