@Test
 /** Test the present value using the method with the direct formula with extrapolation. */
 public void presentValueAboveCutOff() {
   CurrencyAmount methodPrice = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
   final double df =
       CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_HIGH_LONG.getPaymentTime());
   final double forward = CAP_HIGH_LONG.accept(PRC, CURVES);
   final double maturity =
       CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime();
   final DoublesPair expiryMaturity = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), maturity);
   final double alpha = SABR_PARAMETERS.getAlpha(expiryMaturity);
   final double beta = SABR_PARAMETERS.getBeta(expiryMaturity);
   final double rho = SABR_PARAMETERS.getRho(expiryMaturity);
   final double nu = SABR_PARAMETERS.getNu(expiryMaturity);
   final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
   final SABRExtrapolationRightFunction sabrExtrapolation =
       new SABRExtrapolationRightFunction(
           forward, sabrParam, CUT_OFF_STRIKE, CAP_HIGH_LONG.getFixingTime(), MU);
   final EuropeanVanillaOption option =
       new EuropeanVanillaOption(
           CAP_HIGH_LONG.getStrike(), CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.isCap());
   final double expectedPrice =
       sabrExtrapolation.price(option)
           * CAP_HIGH_LONG.getNotional()
           * CAP_HIGH_LONG.getPaymentYearFraction()
           * df;
   assertEquals(
       "Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
   methodPrice = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
   assertEquals(
       "Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
 }
  @Test(enabled = false)
  /** Tests of performance. "enabled = false" for the standard testing. */
  public void performance() {
    long startTime, endTime;
    final int nbTest = 1000;
    CurrencyAmount pvPayerLongExplicit = CurrencyAmount.of(CUR, 0.0);
    CurrencyAmount pvPayerLongIntegration = CurrencyAmount.of(CUR, 0.0);
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvPayerLongExplicit = METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
    }
    endTime = System.currentTimeMillis();
    System.out.println(
        nbTest + " pv swaption Hull-White approximation method: " + (endTime - startTime) + " ms");
    // Performance note: HW price: 8-Jul-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 330 ms for
    // 10000 swaptions.
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      METHOD_HW_APPROXIMATION.presentValueHullWhiteSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
    }
    endTime = System.currentTimeMillis();
    System.out.println(
        nbTest
            + " HW sensitivity swaption Hull-White approximation method: "
            + (endTime - startTime)
            + " ms");
    // Performance note: HW parameters sensitivity: 8-Jul-11: On Mac Pro 3.2 GHz Quad-Core Intel
    // Xeon: 525 ms for 10000 swaptions.
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      METHOD_HW_APPROXIMATION.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
    }
    endTime = System.currentTimeMillis();
    System.out.println(
        nbTest
            + " curve sensitivity swaption Hull-White approximation method: "
            + (endTime - startTime)
            + " ms");
    // Performance note: HW curve sensitivity: 8-Jul-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon:
    // 550 ms for 10000 swaptions.
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvPayerLongIntegration = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
    }
    endTime = System.currentTimeMillis();
    System.out.println(
        nbTest
            + " cash swaption Hull-White numerical integration method: "
            + (endTime - startTime)
            + " ms");
    // Performance note: HW numerical integration: 8-Jul-11: On Mac Pro 3.2 GHz Quad-Core Intel
    // Xeon: 1300 ms for 10000 swaptions.

    double difference = 0.0;
    difference = pvPayerLongExplicit.getAmount() - pvPayerLongIntegration.getAmount();
    System.out.println("Difference: " + difference);
  }
 @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
 /** Test the present value using the method with the direct formula with extrapolation. */
 public void presentValueLongShortParityAboveCutOff() {
   final CurrencyAmount priceLong = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
   final CurrencyAmount priceShort = METHOD.presentValue(CAP_HIGH_SHORT, SABR_BUNDLE);
   assertEquals(
       "Cap/floor: SABR with extrapolation pricing: long/short parity",
       priceLong.getAmount(),
       -priceShort.getAmount(),
       1E-2);
 }
 @Test
 /** Tests long/short parity. */
 public void longShortParity() {
   CurrencyAmount pvLong = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
   CurrencyAmount pvShort = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_HW);
   assertEquals(
       "Swaption cash - Hull-White - present value - long/short parity",
       pvLong.getAmount(),
       -pvShort.getAmount(),
       1E-2);
 }
 @Test
 /** Test the present value by approximation vs by numerical integration. */
 public void approximationNumericalIntegration() {
   CurrencyAmount pvApproximation =
       METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
   CurrencyAmount pvNI = METHOD_G2PP_NI.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
   assertEquals(
       "Swaption physical - G2++ - present value - approximation vs Numerical integration",
       pvApproximation.getAmount(),
       pvNI.getAmount(),
       2.0E+3);
 }
 @Test
 /** Test the cap/floor/forward parity above the cut-off strike. */
 public void presentValueCapFloorParityAboveCutOff() {
   final CurrencyAmount priceCap = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
   final CurrencyAmount priceFloor = METHOD.presentValue(FLOOR_HIGH_SHORT, SABR_BUNDLE);
   final double priceCouponStrike = COUPON_STRIKE_HIGH.accept(PVC, CURVES);
   final double priceCouponIbor = COUPON_IBOR.accept(PVC, CURVES);
   assertEquals(
       "Cap/floor: SABR with extrapolation pricing: cap/floor parity",
       priceCouponIbor - priceCouponStrike,
       priceCap.getAmount() + priceFloor.getAmount(),
       1E-2);
 }
 @Test
 /** Tests payer/receiver/swap parity. */
 public void payerReceiverParity() {
   CurrencyAmount pvReceiverLong =
       METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_RECEIVER_LONG, BUNDLE_G2PP);
   CurrencyAmount pvPayerShort =
       METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_G2PP);
   double pvSwap = PVC.visit(SWAP_RECEIVER, CURVES);
   assertEquals(
       "Swaption physical - G2++ - present value - payer/receiver/swap parity",
       pvReceiverLong.getAmount() + pvPayerShort.getAmount(),
       pvSwap,
       1E-2);
 }
 @Override
 protected Set<ComputedValue> getResult(
     final ForexDerivative fxOption,
     final SmileDeltaTermStructureDataBundle data,
     final FunctionInputs inputs,
     final ComputationTarget target) {
   final MultipleCurrencyAmount result = CALCULATOR.visit(fxOption, data);
   final int n = result.size();
   final Currency[] keys = new Currency[n];
   final double[] values = new double[n];
   int i = 0;
   for (final CurrencyAmount ca : result) {
     keys[i] = ca.getCurrency();
     values[i++] = ca.getAmount();
   }
   final ValueProperties properties =
       createValueProperties()
           .with(ValuePropertyNames.PAY_CURVE, getPutCurveName())
           .with(ValuePropertyNames.RECEIVE_CURVE, getCallCurveName())
           .with(ValuePropertyNames.SURFACE, getSurfaceName())
           .get();
   final ValueSpecification spec =
       new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties);
   return Collections.singleton(
       new ComputedValue(spec, new CurrencyLabelledMatrix1D(keys, values)));
 }
 @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);
 }
 @Test
 /** Tests long/short parity. */
 public void scaling() {
   double scale = 12.3;
   SwapFixedIborDefinition scaledSwapDefinition =
       SwapFixedIborDefinition.from(
           SETTLEMENT_DATE, CMS_INDEX, scale * NOTIONAL, RATE, FIXED_IS_PAYER);
   SwaptionCashFixedIborDefinition scaledSwaptionDefinition =
       SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, scaledSwapDefinition, IS_LONG);
   SwaptionCashFixedIbor scaledSwaption =
       scaledSwaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
   CurrencyAmount pvOriginal = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
   CurrencyAmount pvScaled = METHOD_HW_INTEGRATION.presentValue(scaledSwaption, BUNDLE_HW);
   assertEquals(
       "Swaption cash - Hull-White - present value - scaling",
       scale * pvOriginal.getAmount(),
       pvScaled.getAmount(),
       1E-1);
 }
 @Override
 public Set<ComputedValue> execute(
     final FunctionExecutionContext executionContext,
     final FunctionInputs inputs,
     final ComputationTarget target,
     final Set<ValueRequirement> desiredValues) {
   final FXFutureSecurity security = (FXFutureSecurity) target.getSecurity();
   final Clock snapshotClock = executionContext.getValuationClock();
   final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
   final Currency payCurrency = security.getNumerator();
   final Object payCurveObject =
       inputs.getValue(
           YieldCurveFunction.getCurveRequirement(payCurrency, _payCurveName, null, null));
   if (payCurveObject == null) {
     throw new OpenGammaRuntimeException("Could not get " + _payCurveName + " curve");
   }
   final Currency receiveCurrency = security.getDenominator();
   final Object receiveCurveObject =
       inputs.getValue(
           YieldCurveFunction.getCurveRequirement(receiveCurrency, _receiveCurveName, null, null));
   if (receiveCurveObject == null) {
     throw new OpenGammaRuntimeException("Could not get " + _receiveCurveName + " curve");
   }
   // TODO: The convention is only looked up here so that we can convert the spot rate; would be
   // better to request the spot rate using the correct currency pair in the first place
   final CurrencyPairs currencyPairs =
       OpenGammaExecutionContext.getCurrencyPairsSource(executionContext)
           .getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
   final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
   final Currency currencyBase = currencyPair.getBase();
   final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
   if (spotObject == null) {
     throw new OpenGammaRuntimeException("Could not get market data for spot rate");
   }
   double spot = (Double) spotObject;
   if (!receiveCurrency.equals(currencyBase) && receiveCurrency.equals(security.getCurrency())) {
     spot = 1. / spot;
   }
   final YieldAndDiscountCurve payCurve = (YieldAndDiscountCurve) payCurveObject;
   final YieldAndDiscountCurve receiveCurve = (YieldAndDiscountCurve) receiveCurveObject;
   final SimpleFXFutureDataBundle data =
       new SimpleFXFutureDataBundle(payCurve, receiveCurve, spot);
   final SimpleInstrument instrument = security.accept(CONVERTER).toDerivative(now);
   final CurrencyAmount pv = instrument.accept(CALCULATOR, data);
   final ValueProperties properties =
       createValueProperties()
           .with(ValuePropertyNames.PAY_CURVE, _payCurveName)
           .with(ValuePropertyNames.RECEIVE_CURVE, _receiveCurveName)
           .with(ValuePropertyNames.CURRENCY, pv.getCurrency().getCode())
           .get();
   final ValueSpecification spec =
       new ValueSpecification(
           ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties);
   return Collections.singleton(new ComputedValue(spec, pv.getAmount()));
 }
 @Test
 /** Tests the present value: Method vs Calculator */
 public void presentValueMethodVsCalculator() {
   final CurrencyAmount pvMethod = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
   final double pvCalculator = BILL_IAM_SEC.accept(PVC, CURVE_BUNDLE);
   assertEquals(
       "Bill Security: discounting method - present value",
       pvMethod.getAmount(),
       pvCalculator,
       TOLERANCE_PV);
 }
 @Test(enabled = true)
 /** Test the present value vs a hard-coded value. */
 public void presentValue() {
   CurrencyAmount pv = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
   double pvExpected = 4893110.87;
   assertEquals(
       "Swaption physical - G2++ - present value - hard coded value",
       pvExpected,
       pv.getAmount(),
       1E-2);
 }
 @Test
 /** Tests the present value against explicit computation. */
 public void presentValue() {
   final CurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
   final double pvExpected =
       NOTIONAL
           * CURVE_BUNDLE.getCurve(NAME_CURVES[1]).getDiscountFactor(BILL_IAM_SEC.getEndTime());
   assertEquals(
       "Bill Security: discounting method - present value",
       pvExpected,
       pvComputed.getAmount(),
       TOLERANCE_PV);
 }
 @Test
 public void priceFromCurves() {
   final double priceComputed = METHOD_SECURITY.priceFromCurves(BILL_IAM_SEC, CURVE_BUNDLE);
   final CurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
   final double priceExpected =
       pvComputed.getAmount()
           / (NOTIONAL
               * CURVE_BUNDLE
                   .getCurve(NAME_CURVES[0])
                   .getDiscountFactor(BILL_IAM_SEC.getSettlementTime()));
   assertEquals(
       "Bill Security: discounting method - price", priceExpected, priceComputed, TOLERANCE_PRICE);
 }
Пример #17
0
 public static CurrencyLabelledMatrix1D getMultipleCurrencyAmountAsMatrix(
     final MultipleCurrencyAmount mca) {
   ArgumentChecker.notNull(mca, "multiple currency amount");
   final int n = mca.size();
   final Currency[] keys = new Currency[n];
   final double[] values = new double[n];
   int i = 0;
   for (final CurrencyAmount ca : mca) {
     keys[i] = ca.getCurrency();
     values[i++] = ca.getAmount();
   }
   return new CurrencyLabelledMatrix1D(keys, values);
 }
 @Test
 /** Tests long/short parity. */
 public void longShortParity() {
   CurrencyAmount pvPayerLong =
       METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
   CurrencyAmount pvPayerShort =
       METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_G2PP);
   assertEquals(
       "Swaption physical - G2++ - present value - long/short parity",
       pvPayerLong.getAmount(),
       -pvPayerShort.getAmount(),
       1E-2);
   CurrencyAmount pvReceiverLong =
       METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_RECEIVER_LONG, BUNDLE_G2PP);
   CurrencyAmount pvReceiverShort =
       METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_RECEIVER_SHORT, BUNDLE_G2PP);
   assertEquals(
       "Swaption physical - G2++ - present value - long/short parity",
       pvReceiverLong.getAmount(),
       -pvReceiverShort.getAmount(),
       1E-2);
 }
 @Test
 /** Test the present value using the method with the direct formula with extrapolation. */
 public void presentValueMethodVsCalculator() {
   final SABRInterestRateDataBundle sabrExtraBundle =
       new SABRInterestRateDataBundle(SABR_PARAMETERS, CURVES);
   final CurrencyAmount pvMethod = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
   final PresentValueSABRExtrapolationCalculator pvc =
       new PresentValueSABRExtrapolationCalculator(CUT_OFF_STRIKE, MU);
   final double pvCalculator = CAP_LONG.accept(pvc, sabrExtraBundle);
   assertEquals(
       "Cap/floor: SABR with extrapolation pricing - Method vs Calculator",
       pvMethod.getAmount(),
       pvCalculator,
       1E-2);
 }
 @Test
 public void testPayCashFlowsNoNetting() {
   for (final InstrumentDefinition<?> definition : NO_NETTING_PAY_INSTRUMENTS) {
     final TreeMap<LocalDate, MultipleCurrencyAmount> pay =
         new TreeMap<LocalDate, MultipleCurrencyAmount>(definition.accept(PAY_CASH_FLOWS));
     final TreeMap<LocalDate, MultipleCurrencyAmount> netted =
         new TreeMap<LocalDate, MultipleCurrencyAmount>(definition.accept(VISITOR));
     assertEquals(pay.size(), netted.size());
     assertEquals(pay.keySet(), netted.keySet());
     final Iterator<Map.Entry<LocalDate, MultipleCurrencyAmount>> nettedIterator =
         netted.entrySet().iterator();
     for (final Map.Entry<LocalDate, MultipleCurrencyAmount> payEntry : pay.entrySet()) {
       final Map.Entry<LocalDate, MultipleCurrencyAmount> nettedEntry = nettedIterator.next();
       assertEquals(payEntry.getKey(), nettedEntry.getKey());
       assertEquals(payEntry.getValue().size(), nettedEntry.getValue().size());
       final Iterator<CurrencyAmount> nettedMCAIterator = nettedEntry.getValue().iterator();
       for (final CurrencyAmount payCA : payEntry.getValue()) {
         final CurrencyAmount nettedCA = nettedMCAIterator.next();
         assertEquals(payCA.getCurrency(), nettedCA.getCurrency());
         assertEquals(payCA.getAmount(), -nettedCA.getAmount());
       }
     }
   }
 }
 @Test
 public void presentValueFromYield() {
   final CurrencyAmount pvComputed =
       METHOD_SECURITY.presentValueFromYield(BILL_IAM_SEC, YIELD, CURVE_BUNDLE);
   final double price = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, YIELD);
   final double pvExpected =
       NOTIONAL
           * price
           * CURVE_BUNDLE
               .getCurve(NAME_CURVES[0])
               .getDiscountFactor(BILL_IAM_SEC.getSettlementTime());
   assertEquals(
       "Bill Security: discounting method - present value",
       pvExpected,
       pvComputed.getAmount(),
       TOLERANCE_PV);
 }
Пример #22
0
 @Test
 /** Check the conversion of a multiple currency amount. */
 public void convert() {
   final FXMatrix fxMatrix = new FXMatrix();
   fxMatrix.addCurrency(EUR, USD, EUR_USD);
   fxMatrix.addCurrency(GBP, EUR, GBP_EUR);
   final double amountGBP = 1.0;
   final double amountEUR = 2.0;
   final double amountUSD = 3.0;
   MultipleCurrencyAmount amount = MultipleCurrencyAmount.of(GBP, amountGBP);
   amount = amount.plus(EUR, amountEUR);
   amount = amount.plus(USD, amountUSD);
   final CurrencyAmount totalUSDCalculated = fxMatrix.convert(amount, USD);
   final double totalUSDExpected = amountUSD + amountEUR * EUR_USD + amountGBP * GBP_EUR * EUR_USD;
   assertEquals("FXMatrix - convert", totalUSDExpected, totalUSDCalculated.getAmount(), 1.0E-10);
   assertEquals("FXMatrix - convert", USD, totalUSDCalculated.getCurrency());
 }
 @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
 /** Compare approximate formula with numerical integration. */
 public void comparison() {
   double bp1 = 10000;
   CurrencyAmount pvPayerLongExplicit =
       METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
   CurrencyAmount pvPayerLongIntegration =
       METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
   assertEquals(
       "Swaption cash - Hull-White - present value - explicit/numerical integration",
       pvPayerLongExplicit.getAmount() / NOTIONAL * bp1,
       pvPayerLongIntegration.getAmount() / NOTIONAL * bp1,
       3.0E-1);
   CurrencyAmount pvPayerShortExplicit =
       METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_HW);
   CurrencyAmount pvPayerShortIntegration =
       METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_HW);
   assertEquals(
       "Swaption cash - Hull-White - present value - explicit/numerical integration",
       pvPayerShortExplicit.getAmount() / NOTIONAL * bp1,
       pvPayerShortIntegration.getAmount() / NOTIONAL * bp1,
       3.0E-1);
   CurrencyAmount pvReceiverLongExplicit =
       METHOD_HW_APPROXIMATION.presentValue(SWAPTION_RECEIVER_LONG, BUNDLE_HW);
   CurrencyAmount pvReceiverLongIntegration =
       METHOD_HW_INTEGRATION.presentValue(SWAPTION_RECEIVER_LONG, BUNDLE_HW);
   assertEquals(
       "Swaption cash - Hull-White - present value - explicit/numerical integration",
       pvReceiverLongExplicit.getAmount() / NOTIONAL * bp1,
       pvReceiverLongIntegration.getAmount() / NOTIONAL * bp1,
       5.0E-1);
   CurrencyAmount pvReceiverShortExplicit =
       METHOD_HW_APPROXIMATION.presentValue(SWAPTION_RECEIVER_SHORT, BUNDLE_HW);
   CurrencyAmount pvReceiverShortIntegration =
       METHOD_HW_INTEGRATION.presentValue(SWAPTION_RECEIVER_SHORT, BUNDLE_HW);
   assertEquals(
       "Swaption cash - Hull-White - present value - explicit/numerical integration",
       pvReceiverShortExplicit.getAmount() / NOTIONAL * bp1,
       pvReceiverShortIntegration.getAmount() / NOTIONAL * bp1,
       5.0E-1);
 }
 @Override
 protected Set<ComputedValue> getResult(
     final InstrumentDerivative fxDigital,
     final ForexOptionDataBundle<?> data,
     final ComputationTarget target,
     final Set<ValueRequirement> desiredValues,
     final FunctionInputs inputs,
     final ValueSpecification spec,
     final FunctionExecutionContext executionContext) {
   final String spreadName =
       Iterables.getOnlyElement(desiredValues)
           .getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
   final double spread = Double.parseDouble(spreadName);
   final PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator calculator =
       new PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator(spread);
   final PresentValueForexBlackVolatilitySensitivity result = fxDigital.accept(calculator, data);
   final CurrencyAmount vegaValue = result.toSingleValue();
   return Collections.singleton(new ComputedValue(spec, vegaValue.getAmount()));
 }
 @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(enabled = false)
 /**
  * Test the present value vs a external system. "enabled = false" for the standard testing: the
  * external system is using a TimeCalculator with ACT/365.
  */
 public void presentValueExternal() {
   G2ppPiecewiseConstantParameters parametersCst = G2ppTestsDataSet.createG2ppCstParameters();
   final YieldAndDiscountCurve curve5 = new YieldCurve(ConstantDoublesCurve.from(0.05));
   final YieldCurveBundle curves = new YieldCurveBundle();
   curves.setCurve(FUNDING_CURVE_NAME, curve5);
   curves.setCurve(FORWARD_CURVE_NAME, curve5);
   G2ppPiecewiseConstantDataBundle bundleCst =
       new G2ppPiecewiseConstantDataBundle(parametersCst, curves);
   CurrencyAmount pv = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleCst);
   double pvExternal = 6885626.28245924; // ! TimeCalculator with ACT/365
   assertEquals(
       "Swaption physical - G2++ - present value - external system",
       pvExternal,
       pv.getAmount(),
       1E-2);
 }
 @Test
 /**
  * Test the present value SABR parameters sensitivity against a finite difference computation;
  * strike above the cut-off strike.
  */
 public void testPresentValueSABRSensitivityAboveCutOff() {
   final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
   final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
   final SABRInterestRateDataBundle sabrBundle =
       new SABRInterestRateDataBundle(sabrParameter, curves);
   final CurrencyAmount pv = METHOD.presentValue(CAP_HIGH_LONG, sabrBundle);
   final PresentValueSABRSensitivityDataBundle pvsCapLong =
       METHOD.presentValueSABRSensitivity(CAP_HIGH_LONG, sabrBundle);
   PresentValueSABRSensitivityDataBundle pvsCapShort =
       METHOD.presentValueSABRSensitivity(CAP_HIGH_SHORT, sabrBundle);
   // Long/short parity
   pvsCapShort = pvsCapShort.multiplyBy(-1.0);
   assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
   // SABR sensitivity vs finite difference
   final double shift = 0.0001;
   final double shiftAlpha = 0.00001;
   final DoublesPair expectedExpiryTenor =
       new DoublesPair(
           CAP_HIGH_LONG.getFixingTime(),
           CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());
   // Alpha sensitivity vs finite difference computation
   final SABRInterestRateParameters sabrParameterAlphaBumped =
       TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
   final SABRInterestRateDataBundle sabrBundleAlphaBumped =
       new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
   final CurrencyAmount pvLongPayerAlphaBumped =
       METHOD.presentValue(CAP_HIGH_LONG, sabrBundleAlphaBumped);
   final double expectedAlphaSensi =
       (pvLongPayerAlphaBumped.getAmount() - pv.getAmount()) / shiftAlpha;
   assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
   assertEquals(
       "Alpha sensitivity expiry/tenor",
       pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
       true);
   assertEquals(
       "Alpha sensitivity value",
       expectedAlphaSensi,
       pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor),
       1.0E-0);
   // Rho sensitivity vs finite difference computation
   final SABRInterestRateParameters sabrParameterRhoBumped =
       TestsDataSetsSABR.createSABR1RhoBumped();
   final SABRInterestRateDataBundle sabrBundleRhoBumped =
       new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
   final CurrencyAmount pvLongPayerRhoBumped =
       METHOD.presentValue(CAP_HIGH_LONG, sabrBundleRhoBumped);
   final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount() - pv.getAmount()) / shift;
   assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
   assertEquals(
       "Rho sensitivity expiry/tenor",
       pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor),
       true);
   assertEquals(
       "Rho sensitivity value",
       pvsCapLong.getRho().getMap().get(expectedExpiryTenor),
       expectedRhoSensi,
       1.0E-1);
   // Alpha sensitivity vs finite difference computation
   final SABRInterestRateParameters sabrParameterNuBumped =
       TestsDataSetsSABR.createSABR1NuBumped();
   final SABRInterestRateDataBundle sabrBundleNuBumped =
       new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
   final CurrencyAmount pvLongPayerNuBumped =
       METHOD.presentValue(CAP_HIGH_LONG, sabrBundleNuBumped);
   final double expectedNuSensi = (pvLongPayerNuBumped.getAmount() - pv.getAmount()) / shift;
   assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
   assertEquals(
       "Nu sensitivity expiry/tenor",
       pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor),
       true);
   assertEquals(
       "Nu sensitivity value",
       pvsCapLong.getNu().getMap().get(expectedExpiryTenor),
       expectedNuSensi,
       2.0E-1);
 }