public void test_currentCash_valuationAtSettlement() { CurrencyAmount ccComputed = TRADE_PRICER.currentCash(TRADE, SETTLEMENT); assertEquals(ccComputed, UPFRONT_PAYMENT.getValue()); }
public void test_currentCash_valuationAtPayment() { LocalDate paymentDate = LocalDate.of(2016, 10, 12); CurrencyAmount ccComputed = TRADE_PRICER.currentCash(TRADE, paymentDate); assertEquals(ccComputed, CurrencyAmount.zero(EUR)); }
public void test_currentCash_valuationAtMaturity() { LocalDate paymentDate = LocalDate.of(2025, 4, 14); CurrencyAmount ccComputed = TRADE_PRICER.currentCash(TRADE, paymentDate); assertEquals(ccComputed, CurrencyAmount.of(EUR, NOTIONAL * QUANTITY)); }
public void test_currentCash_zero() { CurrencyAmount ccComputed = TRADE_PRICER.currentCash(TRADE, VAL_DATE); assertEquals(ccComputed, CurrencyAmount.zero(EUR)); }
public void test_currentCash_valuationAtMaturity_noExcoupon() { LocalDate startDate = LocalDate.of(2024, 10, 14); LocalDate paymentDate = LocalDate.of(2025, 4, 14); double yc = DAY_COUNT.relativeYearFraction(startDate, paymentDate); CurrencyAmount ccComputed = TRADE_PRICER.currentCash(TRADE_NO_EXCOUPON, paymentDate); assertEquals(ccComputed, CurrencyAmount.of(EUR, NOTIONAL * (1d + yc * FIXED_RATE) * QUANTITY)); }
public void test_currentCash_valuationAtPayment_noExcoupon() { LocalDate startDate = LocalDate.of(2016, 4, 12); LocalDate paymentDate = LocalDate.of(2016, 10, 12); double yc = DAY_COUNT.relativeYearFraction(startDate, paymentDate); CurrencyAmount ccComputed = TRADE_PRICER.currentCash(TRADE_NO_EXCOUPON, paymentDate); assertEquals(ccComputed, CurrencyAmount.of(EUR, FIXED_RATE * NOTIONAL * yc * QUANTITY)); }