@Test(enabled = false)
/** Tests the clean, dirty and yield vs external hard-coded values. */
public void priceYieldExternalValues1() {
final double m1 = 1000000; // Notional of the external figures.
final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 16); // Spot 18-Aug-2011
final InflationIssuerProviderDiscount market =
MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
final double cleanRealPrice = 1.00;
final BondCapitalIndexedSecurity<Coupon> bond_110817 =
BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
final double referenceIndexExpected = 225.83129;
final MultiCurrencyAmount netAmountSettle =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
final double referenceIndexComputed =
netAmountSettle.getAmount(bond_110817.getCurrency()).getAmount()
* BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue()
/ bond_110817.getSettlement().getNotional();
assertEquals(
"Inflation Capital Indexed bond: index",
referenceIndexExpected,
referenceIndexComputed,
1.0E-5);
final double indexRatioExpected = 1.13782;
final MultiCurrencyAmount indexRatioCalculated =
bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
assertEquals(
"Inflation Capital Indexed bond: indexRatio",
indexRatioExpected,
indexRatioCalculated.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount()
/ NOTIONAL_TIPS_1,
1.0E-5);
final double yieldExpected = 1.999644 / 100.0;
final double dirtyRealPriceComputed =
METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
final double yieldComputed =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
final double accruedExpected = 2102.49;
final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
final double accruedReal = bond_110817.getAccruedInterest();
assertEquals(
"Inflation Capital Indexed bond: accrued",
accruedRealExpected,
accruedReal / NOTIONAL_TIPS_1,
1.0E-8);
final double netAmountExpected = 1139922.49; // For 1m; uses the rounding rules.
final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
assertEquals(
"Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
final MultiCurrencyAmount netAmount =
METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
assertEquals(
"Inflation Capital Indexed bond: net amount",
netAmountExpected,
netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()).getAmount() * m1 / NOTIONAL_TIPS_1,
2.0E+0); // The difference is due to rounding.
}
/** Tests the clean real price from the dirty real price. */
public void yieldRealFromDirtyRealTips1() {
final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03};
final double[] dirtyRealPrice = new double[yield.length];
final double[] yieldComputed = new double[yield.length];
for (int loopyield = 0; loopyield < yield.length; loopyield++) {
dirtyRealPrice[loopyield] =
METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]);
yieldComputed[loopyield] =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(
BOND_SECURITY_TIPS_1, dirtyRealPrice[loopyield]);
assertEquals(
"Inflation Capital Indexed bond: yield " + loopyield,
yield[loopyield],
yieldComputed[loopyield],
1.0E-8);
}
}
