public void test_currencyExposure() { MultiCurrencyAmount computed = PRICER.currencyExposure(TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER); PointSensitivities point = PRICER.presentValueSensitivity( TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER); MultiCurrencyAmount expected = RATES_PROVIDER.currencyExposure(point).plus( PRICER.presentValue(TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER)); assertEquals(computed.getAmounts().size(), 1); assertEquals(computed.getAmount(USD).getAmount(), expected.getAmount(USD).getAmount(), NOTIONAL * QUANTITY * TOL); }
public void test_presentValueSensitivity_late() { PointSensitivities point = PRICER.presentValueSensitivity(TRADE_LATE, RATES_PROVIDER, ISSUER_RATES_PROVIDER); CurrencyParameterSensitivities computed = ISSUER_RATES_PROVIDER.parameterSensitivity(point) .combinedWith(RATES_PROVIDER.parameterSensitivity(point)); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p -> PRICER.presentValue(TRADE_LATE, p, ISSUER_RATES_PROVIDER)).combinedWith( FD_CAL.sensitivity(ISSUER_RATES_PROVIDER, p -> PRICER.presentValue(TRADE_LATE, RATES_PROVIDER, p))); assertTrue(computed.equalWithTolerance(expected, NOTIONAL * QUANTITY * EPS)); }
public void test_presentValueSensitivity_standard() { PointSensitivities point = PRICER.presentValueSensitivity(TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER); CurrencyParameterSensitivities computed = ISSUER_RATES_PROVIDER.parameterSensitivity(point) .combinedWith(RATES_PROVIDER.parameterSensitivity(point)); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p -> PRICER.presentValue(TRADE_STANDARD, p, ISSUER_RATES_PROVIDER)).combinedWith( FD_CAL.sensitivity(ISSUER_RATES_PROVIDER, p -> PRICER.presentValue(TRADE_STANDARD, RATES_PROVIDER, p))); assertTrue(computed.equalWithTolerance(expected, NOTIONAL * QUANTITY * EPS)); }
public void test_presentValueSensitivity_fixed() { PointSensitivities point = PRICER.presentValueSensitivity(TRADE_ILF_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER); CurrencyParameterSensitivities computed = ISSUER_RATES_PROVIDER.parameterSensitivity(point) .combinedWith(RATES_PROVIDER.parameterSensitivity(point)); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p -> PRICER.presentValue(TRADE_ILF_STANDARD, p, ISSUER_RATES_PROVIDER)).combinedWith(FD_CAL .sensitivity(ISSUER_RATES_PROVIDER, p -> PRICER.presentValue(TRADE_ILF_STANDARD, RATES_PROVIDER, p))); assertTrue(computed.equalWithTolerance(expected, NOTIONAL * QUANTITY * EPS)); }
public void test_presentValueSensitivity_position() { PointSensitivities point = PRICER.presentValueSensitivity(POSITION, RATES_PROVIDER, ISSUER_RATES_PROVIDER); CurrencyParameterSensitivities computed = ISSUER_RATES_PROVIDER.parameterSensitivity(point) .combinedWith(RATES_PROVIDER.parameterSensitivity(point)); CurrencyParameterSensitivities fdRates = FD_CAL.sensitivity(RATES_PROVIDER, p -> PRICER.presentValue(POSITION, p, ISSUER_RATES_PROVIDER)); CurrencyParameterSensitivities fdPrice = FD_CAL.sensitivity(ISSUER_RATES_PROVIDER, p -> PRICER.presentValue(POSITION, RATES_PROVIDER, p)); CurrencyParameterSensitivities expected = fdRates.combinedWith(fdPrice); assertTrue(computed.equalWithTolerance(expected, NOTIONAL * QUANTITY * EPS)); }