/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.bond;
import static org.testng.Assert.assertEquals;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.data.scenario.CurrencyScenarioArray;
import com.opengamma.strata.data.scenario.MultiCurrencyScenarioArray;
import com.opengamma.strata.data.scenario.ScenarioArray;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer;
import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider;
import com.opengamma.strata.product.bond.ResolvedFixedCouponBondTrade;
/**
* Test {@link FixedCouponBondTradeCalculations}.
*/
@Test
public class FixedCouponBondTradeCalculationsTest {
private static final ResolvedFixedCouponBondTrade RTRADE = FixedCouponBondTradeCalculationFunctionTest.RTRADE;
private static final LegalEntityDiscountingMarketDataLookup LOOKUP = FixedCouponBondTradeCalculationFunctionTest.LOOKUP;
//-------------------------------------------------------------------------
public void test_presentValue() {
ScenarioMarketData md = FixedCouponBondTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider.getValuationDate());
assertEquals(
FixedCouponBondTradeCalculations.DEFAULT.presentValue(RTRADE, LOOKUP, md),
CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(
FixedCouponBondTradeCalculations.DEFAULT.currencyExposure(RTRADE, LOOKUP, md),
MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(
FixedCouponBondTradeCalculations.DEFAULT.currentCash(RTRADE, LOOKUP, md),
CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
public void test_pv01() {
ScenarioMarketData md = FixedCouponBondTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(
FixedCouponBondTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, LOOKUP, md),
MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(
FixedCouponBondTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, LOOKUP, md),
ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
}