Package com.opengamma.analytics.util.amount

Examples of com.opengamma.analytics.util.amount.StringAmount

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  @Test
  /**
   * Tests the present value curve sensitivity to parallel curve movements of fixed coupons.
   */
  public void presentValueParallelCurveSensitivity() {
    final StringAmount pvpcsComputed = METHOD.presentValueParallelCurveSensitivity(CPN_PAY, YC_BUNDLE);
    final double pvpcsExpected = -CPN_PAY.getPaymentTime() * CPN_PAY.getAmount() * YC_BUNDLE.getCurve(CURVES_NAME[0]).getDiscountFactor(CPN_PAY.getPaymentTime());
    assertEquals("CouponFixed: Present value parallel curve sensitivity by discounting", 1, pvpcsComputed.getMap().size());
    assertEquals("CouponFixed: Present value parallel curve sensitivity by discounting", pvpcsExpected, pvpcsComputed.getMap().get(CURVES_NAME[0]), 1.0E-2);
  }
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  @Test
  /**
   * Tests the present value curve sensitivity to parallel curve movements of fixed coupons.
   */
  public void presentValueParallelCurveSensitivityMethodVsCalculator() {
    final StringAmount pvpcsMethod = METHOD.presentValueParallelCurveSensitivity(CPN_PAY, YC_BUNDLE);
    final StringAmount pvpcsCalculator = CPN_PAY.accept(PVPCSC, YC_BUNDLE);
    assertTrue("CouponFixed: Present value parallel curve sensitivity by discounting", StringAmount.compare(pvpcsMethod, pvpcsCalculator, 1.0E-5));
  }
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  @Test
  /**
   * Tests the present value curve sensitivity to parallel curve movements of fixed payments.
   */
  public void presentValueParallelCurveSensitivity() {
    final StringAmount pvpcsComputed = METHOD.presentValueParallelCurveSensitivity(PAYMENT, YC_BUNDLE);
    final double pvpcsExpected = -PAYMENT.getPaymentTime() * PAYMENT.getAmount() * YC_BUNDLE.getCurve(CURVES_NAME[0]).getDiscountFactor(PAYMENT.getPaymentTime());
    assertEquals("CouponFixed: Present value parallel curve sensitivity by discounting", 1, pvpcsComputed.getMap().size());
    assertEquals("CouponFixed: Present value parallel curve sensitivity by discounting", pvpcsExpected, pvpcsComputed.getMap().get(CURVES_NAME[0]), 1.0E-2);
  }
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  @Test
  /**
   * Tests the present value curve sensitivity to parallel curve movements of fixed payments.
   */
  public void presentValueParallelCurveSensitivityMethodVsCalculator() {
    final StringAmount pvpcsMethod = METHOD.presentValueParallelCurveSensitivity(PAYMENT, YC_BUNDLE);
    final StringAmount pvpcsCalculator = PAYMENT.accept(PVPCSC, YC_BUNDLE);
    assertTrue("CouponFixed: Present value parallel curve sensitivity by discounting", StringAmount.compare(pvpcsMethod, pvpcsCalculator, 1.0E-5));
  }
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Related Classes of com.opengamma.analytics.util.amount.StringAmount

  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponFixedDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.PaymentFixedDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.PresentValueParallelCurveSensitivityCalculator
  • com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueParallelCurveSensitivityDiscountingCalculator
  • com.opengamma.analytics.util.amount.StringAmountTest
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