Package com.opengamma.analytics.financial.interestrate.future.calculator

Examples of com.opengamma.analytics.financial.interestrate.future.calculator.PresentValueFromFuturePriceCalculator

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  /** Tests the present value method for bond futures transactions. */
  public void presentValueFromPrice() {
    final double quotedPrice = 1.05;
    final MultipleCurrencyAmount presentValueMethod = METHOD_HW.presentValueFromPrice(BOND_FUTURE_DERIV, quotedPrice);
    assertEquals("Bond future transaction Method: present value from price", (quotedPrice - REF_PRICE) * NOTIONAL, presentValueMethod.getAmount(USD));
    final PresentValueFromFuturePriceCalculator calculator = PresentValueFromFuturePriceCalculator.getInstance();
    final double presentValueCalculator = BOND_FUTURE_DERIV.accept(calculator, quotedPrice);
    assertEquals("Bond future transaction Method: present value from price", presentValueMethod.getAmount(USD), presentValueCalculator);
  }
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  /** Tests the present value method for bond futures transactions. */
  public void presentValueFromPrice() {
    final double quotedPrice = 1.05;
    final CurrencyAmount presentValueMethod = METHOD_HW.presentValueFromPrice(BOND_FUTURE_DERIV, quotedPrice);
    assertEquals("Bond future transaction Method: present value from price", (quotedPrice - REF_PRICE) * NOTIONAL, presentValueMethod.getAmount());
    final PresentValueFromFuturePriceCalculator calculator = PresentValueFromFuturePriceCalculator.getInstance();
    final double presentValueCalculator = BOND_FUTURE_DERIV.accept(calculator, quotedPrice);
    assertEquals("Bond future transaction Method: present value from price", presentValueMethod.getAmount(), presentValueCalculator);
  }
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   */
  public void presentValueFromPrice() {
    final double quotedPrice = 1.05;
    final CurrencyAmount presentValueMethod = METHOD.presentValueFromPrice(BOND_FUTURE_DERIV, quotedPrice);
    assertEquals("Bond future Method: present value from price", (quotedPrice - REF_PRICE) * NOTIONAL, presentValueMethod.getAmount());
    final PresentValueFromFuturePriceCalculator calculator = PresentValueFromFuturePriceCalculator.getInstance();
    final double presentValueCalculator = BOND_FUTURE_DERIV.accept(calculator, quotedPrice);
    assertEquals("Bond future Method: present value from price", presentValueMethod.getAmount(), presentValueCalculator);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.future.calculator.PresentValueFromFuturePriceCalculator

  • com.opengamma.analytics.financial.interestrate.future.method.BondFutureDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.future.method.BondFutureHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.BondFutureHullWhiteMethodTest
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