/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.index;
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.DoubleScenarioArray;
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.index.DiscountingIborFutureTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.index.ResolvedIborFutureTrade;
/**
* Test {@link IborFutureTradeCalculations}.
*/
@Test
public class IborFutureTradeCalculationsTest {
private static final ResolvedIborFutureTrade RTRADE = IborFutureTradeCalculationFunctionTest.RTRADE;
private static final RatesMarketDataLookup RATES_LOOKUP = IborFutureTradeCalculationFunctionTest.RATES_LOOKUP;
private static final double SETTLEMENT_PRICE = 0.9942;
//-------------------------------------------------------------------------
public void test_presentValue() {
ScenarioMarketData md = IborFutureTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingIborFutureTradePricer pricer = DiscountingIborFutureTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, SETTLEMENT_PRICE);
double expectedParSpread = pricer.parSpread(RTRADE, provider, SETTLEMENT_PRICE);
assertEquals(
IborFutureTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, md),
CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(
IborFutureTradeCalculations.DEFAULT.parSpread(RTRADE, RATES_LOOKUP, md),
DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)));
}
public void test_pv01() {
ScenarioMarketData md = IborFutureTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingIborFutureTradePricer pricer = DiscountingIborFutureTradePricer.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(
IborFutureTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, RATES_LOOKUP, md),
MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(
IborFutureTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, RATES_LOOKUP, md),
ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
}