@Test
 /** Tests the present value with an explicit computation. */
 public void presentValue() {
   double strikeM = STRIKE * (1 - STANDARD_SPREAD);
   double strikeP = STRIKE * (1 + STANDARD_SPREAD);
   Forex forexM =
       new Forex(
           FOREX.getPaymentCurrency1().withAmount(1.0),
           FOREX.getPaymentCurrency2().withAmount(-strikeM));
   Forex forexP =
       new Forex(
           FOREX.getPaymentCurrency1().withAmount(1.0),
           FOREX.getPaymentCurrency2().withAmount(-strikeP));
   ForexOptionVanilla vanillaM =
       new ForexOptionVanilla(forexM, FOREX_CALL_OPTION.getExpirationTime(), IS_CALL, IS_LONG);
   ForexOptionVanilla vanillaP =
       new ForexOptionVanilla(forexP, FOREX_CALL_OPTION.getExpirationTime(), IS_CALL, IS_LONG);
   MultipleCurrencyAmount pvP = METHOD_VANILLA_BLACK.presentValue(vanillaP, SMILE_BUNDLE);
   MultipleCurrencyAmount pvM = METHOD_VANILLA_BLACK.presentValue(vanillaM, SMILE_BUNDLE);
   MultipleCurrencyAmount pvExpected =
       pvM.plus(pvP.multipliedBy(-1.0))
           .multipliedBy(
               1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
   MultipleCurrencyAmount pvComputed =
       METHOD_DIGITAL_SPREAD.presentValue(FOREX_CALL_OPTION, SMILE_BUNDLE);
   assertEquals(
       "Forex Digital option: call spread method - present value",
       pvExpected.getAmount(USD),
       pvComputed.getAmount(USD),
       TOLERANCE_PRICE);
 }
 @Test
 /** Tests the currency exposure with an explicit computation. */
 public void currencyExposure() {
   double spread = 0.0001; // Relative spread.
   double strikeM = STRIKE * (1 - spread);
   double strikeP = STRIKE * (1 + spread);
   Forex forexM =
       new Forex(
           FOREX.getPaymentCurrency1().withAmount(1.0),
           FOREX.getPaymentCurrency2().withAmount(-strikeM));
   Forex forexP =
       new Forex(
           FOREX.getPaymentCurrency1().withAmount(1.0),
           FOREX.getPaymentCurrency2().withAmount(-strikeP));
   ForexOptionVanilla vanillaM =
       new ForexOptionVanilla(forexM, FOREX_CALL_OPTION.getExpirationTime(), IS_CALL, IS_LONG);
   ForexOptionVanilla vanillaP =
       new ForexOptionVanilla(forexP, FOREX_CALL_OPTION.getExpirationTime(), IS_CALL, IS_LONG);
   MultipleCurrencyAmount ceP = METHOD_VANILLA_BLACK.currencyExposure(vanillaP, SMILE_BUNDLE);
   MultipleCurrencyAmount ceM = METHOD_VANILLA_BLACK.currencyExposure(vanillaM, SMILE_BUNDLE);
   MultipleCurrencyAmount ceExpected =
       ceM.plus(ceP.multipliedBy(-1.0))
           .multipliedBy(
               1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
   MultipleCurrencyAmount ceComputed =
       METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_CALL_OPTION, SMILE_BUNDLE);
   assertEquals(
       "Forex Digital option: call spread method - currency exposure",
       ceExpected.getAmount(USD),
       ceComputed.getAmount(USD),
       TOLERANCE_PRICE);
   assertEquals(
       "Forex Digital option: call spread method - currency exposure",
       ceExpected.getAmount(EUR),
       ceComputed.getAmount(EUR),
       TOLERANCE_PRICE);
 }
コード例 #3
0
 @Test
 public void testMultipleCashFlowsNoNetting() {
   for (final InstrumentDefinition<?> definition : NO_NETTING_MULTIPLE_CASHFLOWS) {
     final TreeMap<LocalDate, MultipleCurrencyAmount> pay =
         new TreeMap<LocalDate, MultipleCurrencyAmount>(
             definition.accept(PAY_CASH_FLOWS, IBOR_FIXING_SERIES));
     final TreeMap<LocalDate, MultipleCurrencyAmount> receive =
         new TreeMap<LocalDate, MultipleCurrencyAmount>(
             definition.accept(RECEIVE_CASH_FLOWS, IBOR_FIXING_SERIES));
     final TreeMap<LocalDate, MultipleCurrencyAmount> netted =
         new TreeMap<LocalDate, MultipleCurrencyAmount>(
             definition.accept(VISITOR, IBOR_FIXING_SERIES));
     final Set<LocalDate> combinedDates = new HashSet<LocalDate>();
     combinedDates.addAll(pay.keySet());
     combinedDates.addAll(receive.keySet());
     assertEquals(combinedDates.size(), netted.size());
     for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : netted.entrySet()) {
       final LocalDate date = entry.getKey();
       final MultipleCurrencyAmount payAmount = pay.get(date);
       final MultipleCurrencyAmount receiveAmount = receive.get(date);
       MultipleCurrencyAmount combinedAmountForDate = null;
       if (payAmount != null) {
         combinedAmountForDate = payAmount.multipliedBy(-1);
         if (receiveAmount != null) {
           combinedAmountForDate = combinedAmountForDate.plus(receiveAmount);
         }
       } else {
         if (receiveAmount != null) {
           combinedAmountForDate = receiveAmount;
         }
       }
       assertNotNull(combinedAmountForDate);
       assertEquals(combinedAmountForDate, entry.getValue());
     }
   }
 }