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.

  @Test
  /**
   * Test the cap/floor/forward parity below the cut-off strike.
   */
  public void presentValueCapFloorParityBelowCutOff() {
    final CurrencyAmount priceCap = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
    final CurrencyAmount priceFloor = METHOD.presentValue(FLOOR_SHORT, SABR_BUNDLE);
    final double priceCouponStrike = COUPON_STRIKE.accept(PVC, CURVES);
    final double priceCouponIbor = COUPON_IBOR.accept(PVC, CURVES);
    assertEquals("Cap/floor: SABR with extrapolation pricing: cap/floor parity", priceCouponIbor - priceCouponStrike, priceCap.getAmount() + priceFloor.getAmount(), 1E-2);
  }

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  @Test
  /**
   * Test the cap/floor/forward parity above the cut-off strike.
   */
  public void presentValueCapFloorParityAboveCutOff() {
    final CurrencyAmount priceCap = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
    final CurrencyAmount priceFloor = METHOD.presentValue(FLOOR_HIGH_SHORT, SABR_BUNDLE);
    final double priceCouponStrike = COUPON_STRIKE_HIGH.accept(PVC, CURVES);
    final double priceCouponIbor = COUPON_IBOR.accept(PVC, CURVES);
    assertEquals("Cap/floor: SABR with extrapolation pricing: cap/floor parity", priceCouponIbor - priceCouponStrike, priceCap.getAmount() + priceFloor.getAmount(), 1E-2);
  }

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  /**
   * Test the present value using the method with the direct formula with extrapolation.
   */
  public void presentValueMethodVsCalculator() {
    final SABRInterestRateDataBundle sabrExtraBundle = new SABRInterestRateDataBundle(SABR_PARAMETERS, CURVES);
    final CurrencyAmount pvMethod = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
    final PresentValueSABRExtrapolationCalculator pvc = new PresentValueSABRExtrapolationCalculator(CUT_OFF_STRIKE, MU);
    final double pvCalculator = CAP_LONG.accept(pvc, sabrExtraBundle);
    assertEquals("Cap/floor: SABR with extrapolation pricing - Method vs Calculator", pvMethod.getAmount(), pvCalculator, 1E-2);
  }

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  @Test
  public void presentValue() {
    final MultipleCurrencyAmount pvComputed = METHOD_CPN_IBOR_SPREAD.presentValue(CPN_IBOR_SPREAD, PROVIDER);
    final double forward = PROVIDER.getForwardRate(EURIBOR3M, CPN_IBOR_SPREAD.getFixingPeriodStartTime(), CPN_IBOR_SPREAD.getFixingPeriodEndTime(), CPN_IBOR_SPREAD.getFixingAccrualFactor());
    final double pv = NOTIONAL * CPN_IBOR_SPREAD.getPaymentYearFraction() * (forward + SPREAD) * PROVIDER.getDiscountFactor(CPN_IBOR_SPREAD.getCurrency(), CPN_IBOR_SPREAD.getPaymentTime());
    final CurrencyAmount pvExpected = CurrencyAmount.of(EURIBOR3M.getCurrency(), pv);
    assertEquals("CouponIborSpreadDiscountingMethod: present value", pvExpected.getAmount(), pvComputed.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvIbor = METHOD_CPN_IBOR.presentValue(CPN_IBOR, PROVIDER);
    final MultipleCurrencyAmount pvFixed = METHOD_FIXED.presentValue(CPN_FIXED, PROVIDER);
    assertEquals("CouponIborSpreadDiscountingMethod: present value", pvIbor.plus(pvFixed).getAmount(EUR), pvComputed.getAmount(EUR), TOLERANCE_PV);
  }

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   */
  public void testPresentValueSABRSensitivityBelowCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final CurrencyAmount pv = METHOD.presentValue(CAP_LONG, sabrBundle);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD.presentValueSABRSensitivity(CAP_LONG, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD.presentValueSABRSensitivity(CAP_SHORT, sabrBundle);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_LONG.getFixingTime(), CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
    final CurrencyAmount pvLongPayerAlphaBumped = METHOD.presentValue(CAP_LONG, sabrBundleAlphaBumped);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped.getAmount() - pv.getAmount()) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor), 2.0E-1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
    final CurrencyAmount pvLongPayerRhoBumped = METHOD.presentValue(CAP_LONG, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", pvsCapLong.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 1.0E-2);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
    final CurrencyAmount pvLongPayerNuBumped = METHOD.presentValue(CAP_LONG, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Nu sensitivity value", pvsCapLong.getNu().getMap().get(expectedExpiryTenor), expectedNuSensi, 3.0E-2);
  }

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   */
  public void testPresentValueSABRSensitivityAboveCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final CurrencyAmount pv = METHOD.presentValue(CAP_HIGH_LONG, sabrBundle);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD.presentValueSABRSensitivity(CAP_HIGH_LONG, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD.presentValueSABRSensitivity(CAP_HIGH_SHORT, sabrBundle);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
    final CurrencyAmount pvLongPayerAlphaBumped = METHOD.presentValue(CAP_HIGH_LONG, sabrBundleAlphaBumped);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped.getAmount() - pv.getAmount()) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor), 1.0E-0);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
    final CurrencyAmount pvLongPayerRhoBumped = METHOD.presentValue(CAP_HIGH_LONG, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", pvsCapLong.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 1.0E-1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
    final CurrencyAmount pvLongPayerNuBumped = METHOD.presentValue(CAP_HIGH_LONG, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Nu sensitivity value", pvsCapLong.getNu().getMap().get(expectedExpiryTenor), expectedNuSensi, 2.0E-1);
  }

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  private static final double BP1 = 1.0E-4; // 1 bp


  @Test
  public void presentValueApproximation() {
    for (int loopstrike = 0; loopstrike < NB_STRIKE; loopstrike++) {
      final CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CAP_CMS[loopstrike], BUNDLE_HW);
      final CurrencyAmount pvApproximation = METHOD_APP.presentValue(CAP_CMS[loopstrike], BUNDLE_HW);
      assertEquals("Cap floor CMS - Hull-White - present value - approximation - strike: " + STRIKE[loopstrike], pvNumericalIntegration.getAmount(), pvApproximation.getAmount(), NOTIONAL
          * ACCRUAL_FACTOR * BP1);
      // Error of less than 1.0bp in rate
    }
    //TODO: Review if error can be decreased.
  }

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    kappa /= alpha1 - alpha0;
    final ProbabilityDistribution<Double> normal = new NormalDistribution(0, 1);
    double priceExpected = pt0 / pt1 * normal.getCDF(-kappa - alpha0) - (1.0 + deltaF * STRIKE) * normal.getCDF(-kappa - alpha1);
    priceExpected *= deltaP / deltaF * ptp;
    priceExpected *= NOTIONAL;
    final CurrencyAmount priceMethod = METHOD_HW.presentValue(CAP_LONG, BUNDLE_HW);
    assertEquals("Cap/floor: Hull-White pricing", priceExpected, priceMethod.getAmount(), TOLERANCE_PV);
    assertEquals("Cap/floor: Hull-White pricing", CUR, priceMethod.getCurrency());
  }

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  //TODO: present value in arrears


  @Test
  public void presentValueLongShort() {
    final CurrencyAmount priceLong = METHOD_HW.presentValue(CAP_LONG, BUNDLE_HW);
    final CurrencyAmount priceShort = METHOD_HW.presentValue(CAP_SHORT, BUNDLE_HW);
    assertEquals("Cap/floor: Hull-White pricing", priceLong.getAmount(), -priceShort.getAmount(), TOLERANCE_PV);
  }

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   */
  public void monteCarlo() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final CurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, BUNDLE_HW);
    final CurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, CUR, CURVES_NAME[0], BUNDLE_HW);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(), pvMC.getAmount(), 4.0E+2);
    final double pvMCPreviousRun = 150060.593;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final CurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, CUR, CURVES_NAME[0], BUNDLE_HW);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvMC.getAmount(), pvShortMC.getAmount(), 1.0E-2);
  }

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