/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.capfloor;
import static org.testng.Assert.assertEquals;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
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.measure.rate.RatesMarketDataLookup;
import com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities;
import com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.capfloor.ResolvedIborCapFloorTrade;
/**
* Test {@link IborCapFloorTradeCalculations}.
*/
@Test
public class IborCapFloorTradeCalculationsTest {
private static final ResolvedIborCapFloorTrade RTRADE = IborCapFloorTradeCalculationFunctionTest.RTRADE;
private static final RatesMarketDataLookup RATES_LOOKUP = IborCapFloorTradeCalculationFunctionTest.RATES_LOOKUP;
private static final IborCapFloorMarketDataLookup SWAPTION_LOOKUP = IborCapFloorTradeCalculationFunctionTest.SWAPTION_LOOKUP;
private static final IborCapletFloorletVolatilities VOLS = IborCapFloorTradeCalculationFunctionTest.VOLS;
//-------------------------------------------------------------------------
public void test_presentValue() {
ScenarioMarketData md = IborCapFloorTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
VolatilityIborCapFloorTradePricer pricer = VolatilityIborCapFloorTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider, VOLS);
assertEquals(
IborCapFloorTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md),
MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(
IborCapFloorTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md),
MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(
IborCapFloorTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md),
MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
public void test_pv01() {
ScenarioMarketData md = IborCapFloorTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
VolatilityIborCapFloorTradePricer pricer = VolatilityIborCapFloorTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivityRates(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(
IborCapFloorTradeCalculations.DEFAULT.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md),
MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(
IborCapFloorTradeCalculations.DEFAULT.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md),
ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
}