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

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

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  /**
   * Tests parSpread when the present date is after the start: .
   */
  public void parSpreadAfterStart() {
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(DEPOSIT_DEFINITION.getStartDate(), 1, TARGET);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, PROVIDER); // Spread will be -(1/delta+rate), as there is no initial amount
    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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  /**
   * Tests parSpread.
   */
  public void parSpreadMethodVsCalculator() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parSpreadMethod = METHOD_DEPOSIT.parSpread(deposit, PROVIDER);
    final double parSpreadCalculator = deposit.accept(PSMQDC, PROVIDER);
    assertEquals("DepositDefinition: present value", parSpreadMethod, parSpreadCalculator, TOLERANCE_RATE);
  }
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  /**
   * Tests parSpread curve sensitivity.
   */
  public void parSpreadCurveSensitivity() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final SimpleParameterSensitivity pspsDepositExact = PS_PSMQ_C.calculateSensitivity(deposit, PROVIDER, PROVIDER.getAllNames());
    final SimpleParameterSensitivity pspsDepositFD = PS_PSMQ_FDC.calculateSensitivity(deposit, PROVIDER);
    AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pspsDepositExact, pspsDepositFD, TOLERANCE_PV_DELTA);
  }
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  /**
   * Tests parSpread curve sensitivity.
   */
  public void parSpreadCurveSensitivityMethodVsCalculator() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MulticurveSensitivity pscsMethod = METHOD_DEPOSIT.parSpreadCurveSensitivity(deposit, PROVIDER);
    final MulticurveSensitivity pscsCalculator = deposit.accept(PSMQCSDC, PROVIDER);
    AssertSensivityObjects.assertEquals("CashDiscountingProviderMethod: parSpreadCurveSensitivity", pscsMethod, pscsCalculator, TOLERANCE_RATE);
  }
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  /**
   * Tests today payment amount when the present is before the deposit start date.
   */
  public void todayPaymentBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount cash = deposit.accept(TPC);
    assertEquals("DepositDefinition: today payment", 0.0, cash.getAmount(deposit.getCurrency()), TOLERANCE_PV);
    assertEquals("DepositDefinition: today payment", 1, cash.getCurrencyAmounts().length);
  }
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  /**
   * Tests today payment amount when the present is on the deposit start date.
   */
  public void todayPaymentOnStart() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount cash = deposit.accept(TPC);
    assertEquals("DepositDefinition: today payment", -NOTIONAL, cash.getAmount(deposit.getCurrency()), TOLERANCE_PV);
    assertEquals("DepositDefinition: today payment", 1, cash.getCurrencyAmounts().length);
  }
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  /**
   * Tests today payment amount when the present is on the deposit start date.
   */
  public void todayPaymentBetweenStartAndEnd() {
    final ZonedDateTime referenceDate = SPOT_DATE.plusDays(2);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount cash = deposit.accept(TPC);
    assertEquals("DepositDefinition: today payment", 0.0, cash.getAmount(deposit.getCurrency()), TOLERANCE_PV);
    assertEquals("DepositDefinition: today payment", 1, cash.getCurrencyAmounts().length);
  }
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  /**
   * Tests present value when the valuation date is on trade date.
   */
  public void presentValueTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, CURVES);
    final double dfEnd = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getEndTime());
    final double dfStart = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getStartTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd - NOTIONAL * dfStart;
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PRICE);
  }
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  /**
   * Tests today payment amount when the present is on the deposit end date.
   */
  public void todayPaymentOnEnd() {
    final ZonedDateTime referenceDate = END_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount cash = deposit.accept(TPC);
    assertEquals("DepositDefinition: today payment", NOTIONAL + deposit.getInterestAmount(), cash.getAmount(deposit.getCurrency()), TOLERANCE_PV);
    assertEquals("DepositDefinition: today payment", 1, cash.getCurrencyAmounts().length);
  }
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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, CURVES_NAME[0]);
    final CurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, CURVES);
    final double dfEnd = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getEndTime());
    final double dfStart = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getStartTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd - NOTIONAL * dfStart;
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PRICE);
  }
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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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