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_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_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_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)); }