Package com.opengamma.analytics.financial.interestrate.cash.derivative

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.Cash

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  /**
   * Tests present value.
   */
  public void presentValueBetweenTradeAndSettle() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, PROVIDER);
    final double dfEnd = PROVIDER.getDiscountFactor(EUR, deposit.getEndTime());
    final double dfStart = PROVIDER.getDiscountFactor(EUR, deposit.getStartTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd - NOTIONAL * dfStart;
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests present value.
   */
  public void presentValueSettle() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, PROVIDER);
    final double dfEnd = PROVIDER.getDiscountFactor(EUR, deposit.getEndTime());
    final double dfStart = PROVIDER.getDiscountFactor(EUR, deposit.getStartTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd - NOTIONAL * dfStart;
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests present value.
   */
  public void presentValueBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, PROVIDER);
    final double dfEnd = PROVIDER.getDiscountFactor(EUR, deposit.getEndTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd;
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests present value.
   */
  public void presentValueMaturity() {
    final ZonedDateTime referenceDate = END_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, PROVIDER);
    final double pvExpected = NOTIONAL + deposit.getInterestAmount();
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests present value curve sensitivity when the valuation date is on trade date.
   */
  public void presentValueCurveSensitivityTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PV_C.calculateSensitivity(deposit, PROVIDER, PROVIDER.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PV_FDC.calculateSensitivity(deposit, PROVIDER);
    AssertSensivityObjects.assertEquals("CashDiscountingProviderMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }
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  /**
   * Tests present value curve sensitivity when the valuation date is between settle date and maturity.
   */
  public void presentValueCurveSensitivityBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PV_C.calculateSensitivity(deposit, PROVIDER, PROVIDER.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PV_FDC.calculateSensitivity(deposit, PROVIDER);
    AssertSensivityObjects.assertEquals("CashDiscountingProviderMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }
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  /**
   * Tests parRate when the present is before the deposit start date.
   */
  public void parRateBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parRate = METHOD_DEPOSIT.parRate(deposit, PROVIDER);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, parRate, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER);
    assertEquals("DepositDefinition: par rate", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests parRate method vs calculator.
   */
  public void parRateMethodVsCalculator() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parRateMethod = METHOD_DEPOSIT.parRate(deposit, PROVIDER);
    final double parRateCalculator = deposit.accept(PRDC, PROVIDER);
    assertEquals("DepositDefinition: par rate", parRateMethod, parRateCalculator, TOLERANCE_RATE);
  }
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  /**
   * Tests parSpread when the present is before the deposit start date.
   */
  public void parSpreadBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, PROVIDER);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE + parSpread, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER);
    assertEquals("DepositDefinition: par spread", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests parSpread when the present date is on the start date.
   */
  public void parSpreadOnStart() {
    final ZonedDateTime referenceDate = DEPOSIT_DEFINITION.getStartDate();
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, PROVIDER);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE + parSpread, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER);
    assertEquals("DepositDefinition: present value", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.cash.derivative.Cash

  • com.opengamma.analytics.example.curveconstruction.CashExample
  • com.opengamma.analytics.example.curveconstruction.CurveConstructionExample
  • com.opengamma.analytics.financial.instrument.cash.CashDefinition
  • com.opengamma.analytics.financial.instrument.cash.definition.CashDefinitionTest
  • com.opengamma.analytics.financial.interestrate.cash.method.CashDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.cash.provider.CashDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.LastTimeCalculatorTest
  • com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderDataBundleTest
  • com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderFunctionTest
  • com.opengamma.analytics.financial.interestrate.ParRateCalculatorTest
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