Examples of com.opengamma.util.money.CurrencyAmount

com.opengamma.util.money.CurrencyAmount
oracle.com/cd/E19957-01/806-3568/ncg_goldberg.html">inexact due to the conflict between binary and decimal arithmetic. As such, there is the potential for data loss at the margins. For example, adding the {@code double} values {@code 0.1d} and {@code 0.2d}results in {@code 0.30000000000000004} rather than {@code 0.3}. As can be seen, the level of error is small, hence providing this class is used appropriately, the use of {@code double} is acceptable.For example, using this class to provide a meaningful result type after calculations have completed would be an appropriate use.
This class is immutable and thread-safe.

  /**
   * Tests the method against the present value calculator.
   */
  public void presentValueCouponMethodSpecificVsGeneric() {
    final double pvSpecific = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, SABR_BUNDLE).getAmount();
    final CurrencyAmount pvGeneric = METHOD_GENERIC.presentValue(CMS_COUPON, SABR_BUNDLE);
    assertEquals("Coupon CMS SABR extrapolation: method : Specific vs Generic", pvSpecific, pvGeneric.getAmount(), TOLERANCE_PRICE);
  }

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    final double volatility = smileMulticurves.getVolatility(optionForex.getCurrency1(), optionForex.getCurrency2(), expiryTime, strike, forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, dfDelivery, volatility);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, expiryTime, !optionForex.isCall());
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
    final double price = func.evaluate(dataBlack) * Math.abs(optionForex.getUnderlyingNDF().getNotionalCurrency1()) * (optionForex.isLong() ? 1.0 : -1.0);
    final CurrencyAmount priceCurrency = CurrencyAmount.of(optionForex.getCurrency2(), price);
    return MultipleCurrencyAmount.of(priceCurrency);
  }

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    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, pvbp * discountFactorSettle, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(SWAPTION_LONG_REC);
    final double pvExpected = func.evaluate(dataBlack);
    assertEquals("Swaption Black method: present value", 1, pvMethod.size());
    final CurrencyAmount ca = pvMethod.getCurrencyAmounts()[0];
    assertEquals("Swaption Black method: present value", SWAPTION_LONG_REC.getCurrency(), ca.getCurrency());
    assertEquals("Swaption Black method: present value", pvExpected, ca.getAmount(), TOLERANCE_PRICE);
  }

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    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = smileMulticurves.getVolatility(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, dfDomestic, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(optionForex);
    final double price = func.evaluate(dataBlack) * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final CurrencyAmount priceCurrency = CurrencyAmount.of(optionForex.getUnderlyingForex().getCurrency2(), price);
    return MultipleCurrencyAmount.of(priceCurrency);
  }

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  /**
   * Tests the present value with default method and with method without extrapolation.
   */
  public void presentValueConstructor() {
    final CapFloorCMSSpreadSABRBinormalMethod methodDefault = new CapFloorCMSSpreadSABRBinormalMethod(CORRELATION_FUNCTION, METHOD_CMS_CAP, METHOD_CMS_COUPON);
    final CurrencyAmount pvDefault = methodDefault.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CapFloorCMSSpreadSABRBinormalMethod methodNoExtrapolation = new CapFloorCMSSpreadSABRBinormalMethod(CORRELATION_FUNCTION, METHOD_CMS_CAP, METHOD_CMS_COUPON);
    final CurrencyAmount pvNoExtrapolation = methodNoExtrapolation.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    assertEquals("CMS spread: price with constant correlation", pvDefault.getAmount(), pvNoExtrapolation.getAmount(), TOLERANCE_PRICE);
  }

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  @Test
  /**
   * Tests the present value with right extrapolation against a hard-coded price.
   */
  public void presentValueRightExtrapolation() {
    final CurrencyAmount pvExtrapolation = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final double pvHardCoded = 107629.349;
    assertEquals("CMS spread: price with constant correlation", pvHardCoded, pvExtrapolation.getAmount(), TOLERANCE_PRICE);
  }

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   */
  public void presentValueLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        IS_CAP, FUNDING_CURVE_NAME);
    final CurrencyAmount pvCapLong = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvCapShort = METHOD_CMS_SPREAD.presentValue(cmsCapSpreadShort, SABR_BUNDLE);
    assertEquals("CMS spread: Long/Short parity", pvCapLong.getAmount(), -pvCapShort.getAmount(), TOLERANCE_PRICE);
    final CurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvCapShortExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(cmsCapSpreadShort, SABR_BUNDLE);
    assertEquals("CMS spread: Long/Short parity", pvCapLongExtra.getAmount(), -pvCapShortExtra.getAmount(), TOLERANCE_PRICE);


    final CapFloorCMSSpread cmsFloorSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        !IS_CAP, FUNDING_CURVE_NAME);
    final CurrencyAmount pvFloorLong = METHOD_CMS_SPREAD.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorShort = METHOD_CMS_SPREAD.presentValue(cmsFloorSpreadShort, SABR_BUNDLE);
    assertEquals("CMS spread: Long/Short parity", pvFloorLong.getAmount(), -pvFloorShort.getAmount(), TOLERANCE_PRICE);
    final CurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorShortExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(cmsFloorSpreadShort, SABR_BUNDLE);
    assertEquals("CMS spread: Long/Short parity", pvFloorLongExtra.getAmount(), -pvFloorShortExtra.getAmount(), TOLERANCE_PRICE);
  }

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  public void presentValueCapFloorParity() {
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    // No extrapolation
    final CurrencyAmount pvCapLong = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorLong = METHOD_CMS_SPREAD.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final Double pvCMS1 = cms1.accept(PVC_SABR, SABR_BUNDLE);
    final Double pvCMS2 = cms2.accept(PVC_SABR, SABR_BUNDLE);
    final Double pvStrike = cpnStrike.accept(PVC_SABR, SABR_BUNDLE);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1 - pvCMS2 - pvStrike, pvCapLong.getAmount() - pvFloorLong.getAmount(), TOLERANCE_PRICE);
    // Extrapolation
    final CurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final Double pvCMS1Extra = cms1.accept(PVC_SABR_EXTRA, SABR_BUNDLE);
    final Double pvCMS2Extra = cms2.accept(PVC_SABR_EXTRA, SABR_BUNDLE);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1Extra - pvCMS2Extra - pvStrike, pvCapLongExtra.getAmount() - pvFloorLongExtra.getAmount(), TOLERANCE_PRICE);
  }

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  @Test
  /**
   * Tests the present value. Method vs Calculator.
   */
  public void presentValueMethodVsCalculator() {
    final CurrencyAmount pvMethod = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_CORRELATION_BUNDLE);
    final double pvCalculator = CMS_CAP_SPREAD.accept(PVC_SABR, SABR_CORRELATION_BUNDLE);
    assertEquals("CMS spread: present value Method vs Calculator", pvMethod.getAmount(), pvCalculator, TOLERANCE_PRICE);
    // Extrapolation
    final CurrencyAmount pvExtraMethod = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_CORRELATION_BUNDLE);
    final double pvExtraCalculator = CMS_CAP_SPREAD.accept(PVC_SABR_EXTRA, SABR_CORRELATION_BUNDLE);
    assertEquals("CMS spread: present value Method vs Calculator", pvExtraMethod.getAmount(), pvExtraCalculator, TOLERANCE_PRICE);
  }

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   * @param optionDigital The option.
   * @param smileMulticurves The curve and smile data.
   * @return The gamma.
   */
  public double gammaRelative(final ForexOptionDigital optionDigital, final BlackForexSmileProviderInterface smileMulticurves) {
    final CurrencyAmount gamma = gamma(optionDigital, smileMulticurves);
    return gamma.getAmount() / Math.abs(optionDigital.getUnderlyingForex().getPaymentCurrency2().getAmount());
  }

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