@Test
public void presentValueApproximation() {
CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
CurrencyAmount pvApproximation = METHOD_APP.presentValue(CPN_CMS, BUNDLE_HW);
assertEquals(
"Coupon CMS - Hull-White - present value - approximation",
pvApproximation.getAmount(),
pvNumericalIntegration.getAmount(),
TOLERANCE_PRICE_APP);
}
@Test
public void presentValueNumericalIntegration() {
CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
double pvPrevious = 1124760.482; // From previous run
assertEquals(
"Coupon CMS - Hull-White - present value - numerical integration",
pvPrevious,
pvNumericalIntegration.getAmount(),
TOLERANCE_PRICE);
// Comparison with non-adjusted figures: to have the right order of magnitude
CurrencyAmount pvDiscounting = METHOD_DSC.presentValue(CPN_CMS, BUNDLE_HW);
assertEquals(
"Coupon CMS - Hull-White - present value - numerical integration",
1.0,
pvDiscounting.getAmount() / pvNumericalIntegration.getAmount(),
0.20);
}
