public void test_presentValue() { MultiCurrencyAmount pvSensiTrade = PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS); CurrencyAmount pvSensiProduct = PRICER_PRODUCT.presentValue(OPTION_PRODUCT, RATES_PROVIDER, VOLS); CurrencyAmount pvSensiPremium = PRICER_PAYMENT.presentValue(PREMIUM, RATES_PROVIDER); assertEquals(pvSensiTrade, MultiCurrencyAmount.of(pvSensiProduct, pvSensiPremium)); }
public void test_presentValue() { MultiCurrencyAmount pv1 = TRADE_PRICER.presentValue(CMS_TRADE_PREMIUM, RATES_PROVIDER); MultiCurrencyAmount pv2 = TRADE_PRICER.presentValue(CMS_TRADE, RATES_PROVIDER); MultiCurrencyAmount pvProd1 = PRODUCT_PRICER.presentValue(CMS_ONE_LEG, RATES_PROVIDER); MultiCurrencyAmount pvProd2 = PRODUCT_PRICER.presentValue(CMS_TWO_LEGS, RATES_PROVIDER); CurrencyAmount pvPrem = PREMIUM_PRICER.presentValue(PREMIUM, RATES_PROVIDER); assertEquals(pv1, pvProd1.plus(pvPrem)); assertEquals(pv2, pvProd2); }
public void test_presentValueSensitivity() { PointSensitivities pvSensiTrade = PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS); PointSensitivities pvSensiProduct = PRICER_PRODUCT.presentValueSensitivityRates(OPTION_PRODUCT, RATES_PROVIDER, VOLS); PointSensitivities pvSensiPremium = PRICER_PAYMENT.presentValueSensitivity(PREMIUM, RATES_PROVIDER).build(); assertEquals(pvSensiTrade, pvSensiProduct.combinedWith(pvSensiPremium)); }
public void test_presentValueSensitivity() { PointSensitivities pt1 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE_PREMIUM, RATES_PROVIDER); PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE, RATES_PROVIDER); PointSensitivityBuilder ptProd1 = PRODUCT_PRICER.presentValueSensitivity(CMS_ONE_LEG, RATES_PROVIDER); PointSensitivityBuilder ptProd2 = PRODUCT_PRICER.presentValueSensitivity(CMS_TWO_LEGS, RATES_PROVIDER); PointSensitivityBuilder ptPrem = PREMIUM_PRICER.presentValueSensitivity(PREMIUM, RATES_PROVIDER); assertEquals(pt1, ptProd1.combinedWith(ptPrem).build()); assertEquals(pt2, ptProd2.build()); }
public void test_presentValue_noExcoupon() { CurrencyAmount computed = PRICER.presentValue(PRODUCT_NO_EXCOUPON, PROVIDER); ExpandedFixedCouponBond expanded = PRODUCT.expand(); CurrencyAmount expected = PRICER_NOMINAL.presentValue(expanded.getNominalPayment(), DSC_FACTORS_ISSUER); int size = expanded.getPeriodicPayments().size(); double pvcCupon = 0d; for (int i = 2; i < size; ++i) { FixedCouponBondPaymentPeriod payment = expanded.getPeriodicPayments().get(i); pvcCupon += PRICER_COUPON.presentValue( payment, IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER)); } expected = expected.plus(pvcCupon); assertEquals(computed.getCurrency(), EUR); assertEquals(computed.getAmount(), expected.getAmount(), NOTIONAL * TOL); }