int periodsPerYear) { CurrencyAmount pv = presentValueFromCleanPriceWithZSpread( trade, ratesProvider,
public void test_presentValueWithZSpread_coherency_exCoupon() { CurrencyAmount pvFromCleanPrice = PRICER.presentValueFromCleanPriceWithZSpread(TRADE_EX_COUPON_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, CLEAN_REAL_FROM_CURVES_ZSPREAD, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyAmount pvFromCurves = PRICER.presentValueWithZSpread( TRADE_EX_COUPON_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); assertEquals(pvFromCleanPrice.getAmount(), pvFromCurves.getAmount(), NOTIONAL * TOL); }
public void test_presentValueWithZSpread_coherency_standard() { CurrencyAmount pvFromCleanPrice = PRICER.presentValueFromCleanPriceWithZSpread(TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, CLEAN_REAL_FROM_CURVES_ZSPREAD, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyAmount pvFromCurves = PRICER.presentValueWithZSpread( TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); assertEquals(pvFromCleanPrice.getAmount(), pvFromCurves.getAmount(), NOTIONAL * TOL); }
public void test_presentValueSensitivityFromCleanPriceWithZSpread_standard() { PointSensitivities point = PRICER.presentValueSensitivityFromCleanPriceWithZSpread( TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, CONTINUOUS, 0); CurrencyParameterSensitivities computed = ISSUER_RATES_PROVIDER.parameterSensitivity(point) .combinedWith(RATES_PROVIDER.parameterSensitivity(point)); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p -> PRICER.presentValueFromCleanPriceWithZSpread( TRADE_STANDARD, p, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, CONTINUOUS, 0)) .combinedWith(FD_CAL.sensitivity(ISSUER_RATES_PROVIDER, p -> PRICER.presentValueFromCleanPriceWithZSpread( TRADE_STANDARD, RATES_PROVIDER, p, REF_DATA, TRADE_PRICE, Z_SPREAD, CONTINUOUS, 0))); assertTrue(computed.equalWithTolerance(expected, NOTIONAL * QUANTITY * EPS)); }
public void test_presentValueSensitivityFromCleanPriceWithZSpread_early() { PointSensitivities point = PRICER.presentValueSensitivityFromCleanPriceWithZSpread(TRADE_EARLY, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyParameterSensitivities computed = ISSUER_RATES_PROVIDER.parameterSensitivity(point) .combinedWith(RATES_PROVIDER.parameterSensitivity(point)); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p -> PRICER.presentValueFromCleanPriceWithZSpread( TRADE_EARLY, p, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR)) .combinedWith(FD_CAL.sensitivity(ISSUER_RATES_PROVIDER, p -> PRICER.presentValueFromCleanPriceWithZSpread( TRADE_EARLY, RATES_PROVIDER, p, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR))); assertTrue(computed.equalWithTolerance(expected, NOTIONAL * QUANTITY * EPS)); }
public void test_presentValueSensitivityFromCleanPriceWithZSpread_late() { PointSensitivities point = PRICER.presentValueSensitivityFromCleanPriceWithZSpread(TRADE_LATE, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyParameterSensitivities computed = ISSUER_RATES_PROVIDER.parameterSensitivity(point) .combinedWith(RATES_PROVIDER.parameterSensitivity(point)); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p -> PRICER.presentValueFromCleanPriceWithZSpread( TRADE_LATE, p, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR)) .combinedWith(FD_CAL.sensitivity(ISSUER_RATES_PROVIDER, p -> PRICER.presentValueFromCleanPriceWithZSpread( TRADE_LATE, RATES_PROVIDER, p, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR))); assertTrue(computed.equalWithTolerance(expected, NOTIONAL * QUANTITY * EPS)); }
public void test_presentValueSensitivityFromCleanPriceWithZSpread_early_exCoupon() { PointSensitivities point = PRICER.presentValueSensitivityFromCleanPriceWithZSpread(TRADE_EX_COUPON_EARLY, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyParameterSensitivities computed = ISSUER_RATES_PROVIDER.parameterSensitivity(point) .combinedWith(RATES_PROVIDER.parameterSensitivity(point)); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p -> PRICER.presentValueFromCleanPriceWithZSpread( TRADE_EX_COUPON_EARLY, p, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR)) .combinedWith(FD_CAL.sensitivity(ISSUER_RATES_PROVIDER, p -> PRICER.presentValueFromCleanPriceWithZSpread( TRADE_EX_COUPON_EARLY, RATES_PROVIDER, p, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR))); assertTrue(computed.equalWithTolerance(expected, NOTIONAL * QUANTITY * EPS)); }
public void test_currencyExposureFromCleanPriceWithZSpread() { MultiCurrencyAmount computed = PRICER.currencyExposureFromCleanPriceWithZSpread( TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); PointSensitivities point = PRICER.presentValueSensitivityFromCleanPriceWithZSpread( TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); MultiCurrencyAmount expected = RATES_PROVIDER.currencyExposure(point).plus( PRICER.presentValueFromCleanPriceWithZSpread(TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR)); assertEquals(computed.getAmounts().size(), 1); assertEquals(computed.getAmount(USD).getAmount(), expected.getAmount(USD).getAmount(), NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPriceWithZSpread_standard() { CurrencyAmount computed = PRICER.presentValueFromCleanPriceWithZSpread(TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyAmount netAmount = PRICER.netAmount(TRADE_STANDARD, RATES_PROVIDER); double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPriceWithZSpread_early_exCoupon() { CurrencyAmount computed = PRICER.presentValueFromCleanPriceWithZSpread( TRADE_EX_COUPON_EARLY, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, CONTINUOUS, 0); CurrencyAmount netAmount = PRICER.netAmount(TRADE_EX_COUPON_EARLY, RATES_PROVIDER); double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_EARLY); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT_EX_COUPON, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPriceWithZSpread_early() { CurrencyAmount computed = PRICER.presentValueFromCleanPriceWithZSpread( TRADE_EARLY, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, CONTINUOUS, 0); CurrencyAmount netAmount = PRICER.netAmount(TRADE_EARLY, RATES_PROVIDER); CapitalIndexedBondPaymentPeriod period = PRODUCT.resolve(REF_DATA).getPeriodicPayments().get(16); double pvDiff = PERIOD_PRICER.presentValueWithZSpread( period, RATES_PROVIDER, ISSUER_DISCOUNT_FACTORS, Z_SPREAD, CONTINUOUS, 0) * QUANTITY; double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_EARLY); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = -pvDiff + QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPriceWithZSpread_late() { CurrencyAmount computed = PRICER.presentValueFromCleanPriceWithZSpread( TRADE_LATE, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, CONTINUOUS, 0); CurrencyAmount netAmount = PRICER.netAmount(TRADE_LATE, RATES_PROVIDER); CapitalIndexedBondPaymentPeriod period = PRODUCT.resolve(REF_DATA).getPeriodicPayments().get(17); double pvDiff = PERIOD_PRICER.presentValueWithZSpread( period, RATES_PROVIDER, ISSUER_DISCOUNT_FACTORS, Z_SPREAD, CONTINUOUS, 0) * QUANTITY; double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_LATE); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = pvDiff + QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }