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 present value.
   */
  public void presentValueBetweenTradeAndSettle() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
    final DepositZero 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);
  }

View Full Code Here

   * Tests present value.
   */
  public void presentValueSettle() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pvMethod = 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, pvMethod.getAmount(), TOLERANCE_PRICE);
    final double pvCalculator = deposit.accept(PVC, CURVES);
    assertEquals("DepositDefinition: present value", pvMethod.getAmount(), pvCalculator, TOLERANCE_PRICE);
  }

View Full Code Here

  private static final double TOLERANCE_PRICE = 1.0E-2;
  private static final double TOLERANCE_PRICE_APP = 5.0E+0;


  @Test
  public void presentValueNumericalIntegration() {
    final CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
    final double pvPrevious = 1124760.482; // From previous run
    assertEquals("Coupon CMS - Hull-White - present value - numerical integration", pvPrevious, pvNumericalIntegration.getAmount(), TOLERANCE_PRICE);
    // Comparison with non-adjusted figures: to have the right order of magnitude
    final CurrencyAmount pvDiscounting = METHOD_DSC.presentValue(CPN_CMS, BUNDLE_HW);
    assertEquals("Coupon CMS - Hull-White - present value - numerical integration", 1.0, pvDiscounting.getAmount() / pvNumericalIntegration.getAmount(), 0.20);
  }

View Full Code Here

    assertEquals("Coupon CMS - Hull-White - present value - numerical integration", 1.0, pvDiscounting.getAmount() / pvNumericalIntegration.getAmount(), 0.20);
  }


  @Test
  public void presentValueApproximation() {
    final CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
    final CurrencyAmount pvApproximation = METHOD_APP.presentValue(CPN_CMS, BUNDLE_HW);
    assertEquals("Coupon CMS - Hull-White - present value - approximation", pvApproximation.getAmount(), pvNumericalIntegration.getAmount(), TOLERANCE_PRICE_APP);
  }

View Full Code Here

   * Tests present value.
   */
  public void presentValueBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final DepositZero 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 pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd;
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PRICE);
  }

View Full Code Here

   * Tests present value.
   */
  public void presentValueMaturity() {
    final ZonedDateTime referenceDate = END_DATE;
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, CURVES);
    final double pvExpected = NOTIONAL + deposit.getInterestAmount();
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PRICE);
  }

View Full Code Here

  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.
  }

View Full Code Here

    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final double psMethod = METHOD_DEPOSIT.parSpread(deposit, CURVES);
    final DepositZeroDefinition deposit0Definition = new DepositZeroDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, DEPOSIT_AF, new PeriodicInterestRate(RATE_FIGURE + psMethod, 1));
    final DepositZero deposit0 = deposit0Definition.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, CURVES);
    assertEquals("DepositZero: par spread", 0, pv0.getAmount(), TOLERANCE_PRICE);
    final double psCalculator = deposit.accept(PSC, CURVES);
    assertEquals("DepositZero: par rate", psMethod, psCalculator, TOLERANCE_RATE);
  }

View Full Code Here

    final Map<LocalDate, MultipleCurrencyAmount> payment = PAY_CASH.accept(VISITOR);
    assertEquals(1, payment.size());
    assertEquals(CASH_MATURITY.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
    final MultipleCurrencyAmount mca = Iterables.getOnlyElement(payment.values());
    assertEquals(1, mca.size());
    final CurrencyAmount ca = Iterables.getOnlyElement(mca);
    assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
    assertEquals(CASH_NOTIONAL * CASH_RATE * 0.5, ca.getAmount());
    assertEquals(Collections.emptyMap(), RECEIVE_CASH.accept(VISITOR));
  }

View Full Code Here

    final Map<LocalDate, MultipleCurrencyAmount> payment = PAY_FIXED_PAYMENT.accept(VISITOR);
    assertEquals(1, payment.size());
    assertEquals(PAYMENT_MATURITY.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
    final MultipleCurrencyAmount mca = Iterables.getOnlyElement(payment.values());
    assertEquals(1, mca.size());
    final CurrencyAmount ca = Iterables.getOnlyElement(mca);
    assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
    assertEquals(PAYMENT_AMOUNT, ca.getAmount());
    assertEquals(Collections.emptyMap(), RECEIVE_FIXED_PAYMENT.accept(VISITOR));
  }

View Full Code Here

0 1 2 3 4 5 6 7 8 9

TOP

Related Classes of com.opengamma.util.money.CurrencyAmount

com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadBlackMethod

com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest

com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest

com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest

com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadBlackSmileMethod

com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadMethodTest

com.opengamma.analytics.financial.forex.provider.ForexOptionSingleBarrierBlackMethodTest

com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackSmileMethodTest

com.opengamma.analytics.financial.instrument.FixedPayCashFlowVisitorTest

com.opengamma.analytics.financial.instrument.FixedReceiveCashFlowVisitorTest

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.