@Override
 public double estimatedIndex(MarketBundle market) {
   double estimatedIndexMonth0 = market.getPriceIndex(getPriceIndex(), _referenceEndTime[0]);
   double estimatedIndexMonth1 = market.getPriceIndex(getPriceIndex(), _referenceEndTime[1]);
   double estimatedIndex = _weight * estimatedIndexMonth0 + (1 - _weight) * estimatedIndexMonth1;
   return estimatedIndex;
 }
 @Test
 /** Tests the present value. */
 public void presentValue() {
   CurrencyAmount pv = METHOD.presentValue(ZERO_COUPON_1, MARKET);
   double df =
       MARKET
           .getCurve(ZERO_COUPON_1.getCurrency())
           .getDiscountFactor(ZERO_COUPON_1.getPaymentTime());
   double indexMonth0 =
       MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_1.getReferenceEndTime()[0]);
   double indexMonth1 =
       MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_1.getReferenceEndTime()[1]);
   double finalIndex =
       ZERO_COUPON_1_DEFINITION.getWeight() * indexMonth0
           + (1 - ZERO_COUPON_1_DEFINITION.getWeight()) * indexMonth1;
   double pvExpected = (finalIndex / INDEX_MAY_2008_INT - 1) * df * NOTIONAL;
   assertEquals("Zero-coupon inflation: Present value", pvExpected, pv.getAmount(), 1.0E-2);
 }
 @Test
 /** Tests the present value for curves with seasonal adjustment. */
 public void presentValueSeasonality() {
   MarketBundle marketSeason = MarketDataSets.createMarket2(PRICING_DATE);
   int tenorYear = 5;
   double notional = 100000000;
   ZonedDateTime settleDate =
       ScheduleCalculator.getAdjustedDate(PRICING_DATE, USDLIBOR3M.getSpotLag(), CALENDAR_USD);
   ZonedDateTime paymentDate =
       ScheduleCalculator.getAdjustedDate(
           settleDate,
           Period.ofYears(tenorYear),
           BUSINESS_DAY,
           CALENDAR_USD,
           USDLIBOR3M.isEndOfMonth());
   double weightSettle =
       1.0
           - (settleDate.getDayOfMonth() - 1.0)
               / settleDate.getMonthOfYear().getLastDayOfMonth(settleDate.isLeapYear());
   double indexStart = weightSettle * 225.964 + (1 - weightSettle) * 225.722;
   CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition =
       CouponInflationZeroCouponInterpolationDefinition.from(
           settleDate, paymentDate, notional, PRICE_INDEX_US, indexStart, MONTH_LAG, false);
   CouponInflationZeroCouponInterpolation zeroCouponUsd =
       zeroCouponUsdDefinition.toDerivative(PRICING_DATE, "not used");
   CurrencyAmount pvInflation = METHOD.presentValue(zeroCouponUsd, marketSeason);
   double df =
       MARKET
           .getCurve(zeroCouponUsd.getCurrency())
           .getDiscountFactor(zeroCouponUsd.getPaymentTime());
   double indexMonth0 =
       marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
   double indexMonth1 =
       marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
   double finalIndex =
       zeroCouponUsdDefinition.getWeight() * indexMonth0
           + (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
   double pvExpected = (finalIndex / indexStart - 1) * df * notional;
   assertEquals(
       "PV in market with seasonal adjustment", pvExpected, pvInflation.getAmount(), 1E-2);
 }
 @Test
 /** Test the present value curves sensitivity. */
 public void presentValueCurveSensitivity() {
   final PresentValueCurveSensitivityMarket pvs =
       METHOD.presentValueCurveSensitivity(ZERO_COUPON_1, MARKET);
   pvs.clean();
   final double deltaTolerancePrice = 1.0E+1;
   // Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance
   // increased to cope with numerical imprecision of finite difference.
   final double deltaShift = 1.0E-6;
   // 2. Discounting curve sensitivity
   final double[] nodeTimesDisc = new double[] {ZERO_COUPON_1.getPaymentTime()};
   final double[] sensiDisc =
       SensitivityFiniteDifferenceMarket.curveSensitivity(
           ZERO_COUPON_1,
           MARKET,
           ZERO_COUPON_1.getCurrency(),
           nodeTimesDisc,
           deltaShift,
           METHOD,
           FiniteDifferenceType.CENTRAL);
   assertEquals("Sensitivity finite difference method: number of node", 1, sensiDisc.length);
   final List<DoublesPair> sensiPvDisc =
       pvs.getYieldCurveSensitivities()
           .get(MARKET.getCurve(ZERO_COUPON_1.getCurrency()).getName());
   for (int loopnode = 0; loopnode < sensiDisc.length; loopnode++) {
     final DoublesPair pairPv = sensiPvDisc.get(loopnode);
     assertEquals(
         "Sensitivity coupon pv to forward curve: Node " + loopnode,
         nodeTimesDisc[loopnode],
         pairPv.getFirst(),
         1E-8);
     assertEquals(
         "Sensitivity finite difference method: node sensitivity",
         pairPv.second,
         sensiDisc[loopnode],
         deltaTolerancePrice);
   }
   // 3. Price index curve sensitivity
   final double[] nodeTimesPrice = ZERO_COUPON_1.getReferenceEndTime();
   final double[] sensiPrice =
       SensitivityFiniteDifferenceMarket.curveSensitivity(
           ZERO_COUPON_1,
           MARKET,
           ZERO_COUPON_1.getPriceIndex(),
           nodeTimesPrice,
           deltaShift,
           METHOD,
           FiniteDifferenceType.CENTRAL);
   assertEquals("Sensitivity finite difference method: number of node", 2, sensiPrice.length);
   final List<DoublesPair> sensiPvPrice =
       pvs.getPriceCurveSensitivities()
           .get(MARKET.getCurve(ZERO_COUPON_1.getPriceIndex()).getCurve().getName());
   for (int loopnode = 0; loopnode < sensiPrice.length; loopnode++) {
     final DoublesPair pairPv = sensiPvPrice.get(loopnode);
     assertEquals(
         "Sensitivity coupon pv to forward curve: Node " + loopnode,
         nodeTimesPrice[loopnode],
         pairPv.getFirst(),
         1E-8);
     assertEquals(
         "Sensitivity finite difference method: node sensitivity",
         pairPv.second,
         sensiPrice[loopnode],
         deltaTolerancePrice);
   }
 }