/** Tests the present value computation. */
public void presentValueTips1() {
final InflationProviderDiscount marketUSGovt = new InflationProviderDiscount();
marketUSGovt.setCurve(
BOND_SECURITY_TIPS_1.getCurrency(),
MARKET.getCurve(BOND_SECURITY_TIPS_1.getIssuerEntity()));
marketUSGovt.setCurve(PRICE_INDEX_USCPI, MARKET.getCurve(PRICE_INDEX_USCPI));
final MultiCurrencyAmount pvNominal =
METHOD_INFLATION_ZC_INTERPOLATION.presentValue(
(CouponInflationZeroCouponInterpolationGearing)
BOND_SECURITY_TIPS_1.getNominal().getNthPayment(0),
marketUSGovt);
MultiCurrencyAmount pvCoupon = MultiCurrencyAmount.of(BOND_SECURITY_TIPS_1.getCurrency(), 0.0);
for (int loopcpn = 0;
loopcpn < BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments();
loopcpn++) {
pvCoupon =
pvCoupon.plus(
BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUSGovt));
}
final MultiCurrencyAmount pvExpected = pvNominal.plus(pvCoupon);
final MultiCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_TIPS_1, MARKET);
assertEquals(
"Inflation Capital Indexed bond: present value",
pvExpected.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(),
pv.getAmount(BOND_SECURITY_TIPS_1.getCurrency()).getAmount(),
1.0E-2);
}
@Test
/** Tests the present value. */
public void presentValueNoNotional() {
final MultipleCurrencyAmount pv = METHOD.presentValue(ZERO_COUPON_CAP, BLACK_INFLATION);
final double timeToMaturity =
ZERO_COUPON_CAP.getReferenceEndTime() - ZERO_COUPON_CAP.getLastKnownFixingTime();
final double df =
MARKET
.getCurve(ZERO_COUPON_CAP.getCurrency())
.getDiscountFactor(ZERO_COUPON_CAP.getPaymentTime());
final double finalIndex =
MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_CAP.getReferenceEndTime());
final double forward = finalIndex / INDEX_1MAY_2008;
final EuropeanVanillaOption option =
new EuropeanVanillaOption(
Math.pow(1 + ZERO_COUPON_CAP.getStrike(), ZERO_COUPON_CAP.getMaturity()),
timeToMaturity,
ZERO_COUPON_CAP.isCap());
final double volatility =
BLACK_INFLATION
.getBlackParameters()
.getVolatility(ZERO_COUPON_CAP.getReferenceEndTime(), ZERO_COUPON_CAP.getStrike());
final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
final double pvExpected =
df
* func.evaluate(dataBlack)
* ZERO_COUPON_CAP.getNotional()
* ZERO_COUPON_CAP.getPaymentYearFraction();
assertEquals(
"Zero-coupon inflation DiscountingMethod: Present value",
pvExpected,
pv.getAmount(ZERO_COUPON_CAP.getCurrency()),
TOLERANCE_PV);
}
