@Test public void parSpreadMarketQuoteDiscountingCalculator() { final double psmq = SWAP_MULTI_LEG.accept(PSMQDC, MULTICURVES); final double pv = -MULTICURVES .getFxRates() .convert( SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency()) .getAmount(); final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES); assertEquals( "SwapMultileg: parSpreadMarketQuoteDiscountingCalculator", psmq, pv / pvbp, TOLERANCE_RATE); }
@Test public void presentValueDiscountingCalculator() { final MultipleCurrencyAmount pvSwap = SWAP_MULTI_LEG.accept(PVDC, MULTICURVES); MultipleCurrencyAmount pvLegs = MultipleCurrencyAmount.of(EUR, 0.0); for (int loopleg = 0; loopleg < NB_LEGS; loopleg++) { pvLegs = pvLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVDC, MULTICURVES)); } assertEquals( "SwapMultileg: presentValueDiscountingCalculator", pvSwap.getAmount(EUR), pvLegs.getAmount(EUR), TOLERANCE_PV); }
@Test public void parSpreadMarketQuoteCurveSensitivityDiscountingCalculator() { final double pv = MULTICURVES .getFxRates() .convert( SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency()) .getAmount(); final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES); final MulticurveSensitivity pvcs = SWAP_MULTI_LEG .accept(PVCSDC, MULTICURVES) .converted(EUR, MULTICURVES.getFxRates()) .getSensitivity(EUR); final MulticurveSensitivity pvbpcs = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSCSC, MULTICURVES); final MulticurveSensitivity psmqcsExpected = pvcs.multipliedBy(-1.0d / pvbp).plus(pvbpcs.multipliedBy(pv / (pvbp * pvbp))).cleaned(); final MulticurveSensitivity psmqcs = SWAP_MULTI_LEG.accept(PSMQCSDC, MULTICURVES).cleaned(); AssertSensitivityObjects.assertEquals( "SwapMultileg: presentValueCurveSensitivityDiscountingCalculator", psmqcs, psmqcsExpected, TOLERANCE_RATE_DELTA); }
@Test public void presentValueCurveSensitivityDiscountingCalculator() { final MultipleCurrencyMulticurveSensitivity pvcsSwap = SWAP_MULTI_LEG.accept(PVCSDC, MULTICURVES); MultipleCurrencyMulticurveSensitivity pvcsLegs = SWAP_MULTI_LEG.getLegs()[0].accept(PVCSDC, MULTICURVES); for (int loopleg = 1; loopleg < NB_LEGS; loopleg++) { pvcsLegs = pvcsLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVCSDC, MULTICURVES)); } AssertSensitivityObjects.assertEquals( "SwapMultileg: presentValueCurveSensitivityDiscountingCalculator", pvcsLegs, pvcsSwap, TOLERANCE_PV_DELTA); }