Examples of com.opengamma.util.money.MultipleCurrencyAmount

com.opengamma.util.money.MultipleCurrencyAmount
A map of currency amounts keyed by currency.
This is a container holding multiple {@link CurrencyAmount} instances.The amounts do not necessarily the same worth or value in each currency.
This class behaves as a set - if an amount is added with the same currency as one of the elements, the amounts are added. For example, adding EUR 100 to the container (EUR 200, CAD 100) would give (EUR 300, CAD 100).
This class is immutable and thread-safe.

  @Test
  /**
   * Tests the present value Method vs Calculator.
   */
  public void presentValueMethodVsCalculator() {
    final MultipleCurrencyAmount pvMethod = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET);
    final MultipleCurrencyAmount pvCalculator = BOND_SECURITY_GILT_1.accept(PVDIIC, MARKET);
    assertEquals("Inflation Capital Indexed bond: present value", pvMethod, pvCalculator);
  }

View Full Code Here

   */
  public void presentValueTips1() {
    final InflationProviderDiscount marketUSGovt = new InflationProviderDiscount();
    marketUSGovt.setCurve(BOND_SECURITY_TIPS_1.getCurrency(), MARKET.getCurve(BOND_SECURITY_TIPS_1.getIssuerCurrency()));
    marketUSGovt.setCurve(PRICE_INDEX_USCPI, MARKET.getCurve(PRICE_INDEX_USCPI));
    final MultipleCurrencyAmount pvNominal = METHOD_INFLATION_ZC_INTERPOLATION.presentValue((CouponInflationZeroCouponInterpolationGearing) BOND_SECURITY_TIPS_1.getNominal().getNthPayment(0),
        marketUSGovt);
    MultipleCurrencyAmount pvCoupon = MultipleCurrencyAmount.of(BOND_SECURITY_TIPS_1.getCurrency(), 0.0);
    for (int loopcpn = 0; loopcpn < BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments(); loopcpn++) {
      pvCoupon = pvCoupon.plus(BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUSGovt));
    }
    final MultipleCurrencyAmount pvExpectd = pvNominal.plus(pvCoupon);
    final MultipleCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_TIPS_1, MARKET);
    assertEquals("Inflation Capital Indexed bond: present value", pvExpectd.getAmount(BOND_SECURITY_TIPS_1.getCurrency()), pv.getAmount(BOND_SECURITY_TIPS_1.getCurrency()), 1.0E-2);
  }

View Full Code Here

  /**
    * Tests the present value computation.
    */
  public void presentValueFromCleanPriceRealTips1() {
    final double cleanPriceReal = 1.05;
    final MultipleCurrencyAmount pv = METHOD_BOND_INFLATION.presentValueFromCleanPriceReal(BOND_SECURITY_TIPS_1, MARKET, cleanPriceReal);
    final double dirtyReal = cleanPriceReal + BOND_SECURITY_TIPS_1.getAccruedInterest() / NOTIONAL_TIPS_1;
    final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(PRICING_DATE, SETTLEMENT_DAYS_TIPS_1, CALENDAR_USD);
    final ZonedDateTime refInterpolatedDate = spot.minusMonths(MONTH_LAG_TIPS_1);
    final ZonedDateTime[] referenceEndDate = new ZonedDateTime[2];
    referenceEndDate[0] = refInterpolatedDate.with(TemporalAdjusters.lastDayOfMonth());
    referenceEndDate[1] = referenceEndDate[0].plusMonths(1).with(TemporalAdjusters.lastDayOfMonth());
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(PRICING_DATE, referenceEndDate[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(PRICING_DATE, referenceEndDate[1]);
    final double estimatedIndexMonth0 = MARKET.getPriceIndex(PRICE_INDEX_USCPI, referenceEndTime[0]);
    final double estimatedIndexMonth1 = MARKET.getPriceIndex(PRICE_INDEX_USCPI, referenceEndTime[1]);
    final double weight = 1.0 - (spot.getDayOfMonth() - 1.0) / spot.toLocalDate().lengthOfMonth();
    final double estimatedIndex = weight * estimatedIndexMonth0 + (1 - weight) * estimatedIndexMonth1;
    final double pvAtSettle = dirtyReal * estimatedIndex / BOND_SECURITY_TIPS_1.getIndexStartValue() * NOTIONAL_TIPS_1;
    final double dfSettle = MARKET.getDiscountFactor(BOND_SECURITY_TIPS_1.getCurrency(), BOND_SECURITY_TIPS_1.getSettlementTime());
    final double pvExpected = pvAtSettle * dfSettle;
    assertEquals("Inflation Capital Indexed bond: present value from clean real price", pvExpected, pv.getAmount(BOND_SECURITY_TIPS_1.getCurrency()), 1.0E-6);
  }

View Full Code Here

    final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 16); // Spot 18-Aug-2011
    final InflationIssuerProviderDiscount market = MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
    final double cleanRealPrice = 1.00;
    final BondCapitalIndexedSecurity<Coupon> bond_110817 = BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
    final double referenceIndexExpected = 225.83129;
    final MultipleCurrencyAmount netAmountSettle = bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
    final double referenceIndexComputed = netAmountSettle.getAmount(bond_110817.getCurrency()) * BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue() / bond_110817.getSettlement().getNotional();
    assertEquals("Inflation Capital Indexed bond: index", referenceIndexExpected, referenceIndexComputed, 1.0E-5);
    final double indexRatioExpected = 1.13782;
    final MultipleCurrencyAmount indexRatioCalculated = bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
    assertEquals("Inflation Capital Indexed bond: indexRatio", indexRatioExpected, indexRatioCalculated.getAmount(PRICE_INDEX_USCPI.getCurrency()) / NOTIONAL_TIPS_1, 1.0E-5);
    final double yieldExpected = 1.999644 / 100.0;
    final double dirtyRealPriceComputed = METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
    final double yieldComputed = METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
    assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
    final double accruedExpected = 2102.49;
    final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
    final double accruedReal = bond_110817.getAccruedInterest();
    assertEquals("Inflation Capital Indexed bond: accrued", accruedRealExpected, accruedReal / NOTIONAL_TIPS_1, 1.0E-8);
    final double netAmountExpected = 1139922.49; // For 1m; uses the rounding rules.
    final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
    assertEquals("Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
    final MultipleCurrencyAmount netAmount = METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
    assertEquals("Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()) * m1 / NOTIONAL_TIPS_1, 2.0E+0); // The difference is due to rounding.
  }

View Full Code Here

    final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 17); // Spot 18-Aug-2011
    final InflationIssuerProviderDiscount market = MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
    final double cleanRealPrice = 1.13 + 0.01 / 32;
    final BondCapitalIndexedSecurity<Coupon> bond_110817 = BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
    final double referenceIndexExpected = 225.83129;
    final MultipleCurrencyAmount netAmountSettle = bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
    final double referenceIndexComputed = netAmountSettle.getAmount(bond_110817.getCurrency()) * BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue() / bond_110817.getSettlement().getNotional();
    assertEquals("Inflation Capital Indexed bond: index", referenceIndexExpected, referenceIndexComputed, 1.0E-5);
    final double indexRatioExpected = 1.13782;
    assertEquals("Inflation Capital Indexed bond: indexRatio", indexRatioExpected, referenceIndexComputed / INDEX_START_TIPS_1, 1.0E-5);
    final double yieldExpected = -0.892152 / 100.0;
    final double dirtyRealPriceComputed = METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
    final double yieldComputed = METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
    assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
    final double accruedExpected = 2102.49;
    final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
    final double accruedReal = bond_110817.getAccruedInterest();
    assertEquals("Inflation Capital Indexed bond: accrued", accruedRealExpected, accruedReal / NOTIONAL_TIPS_1, 1.0E-8);
    final double netAmountExpected = 1288194.66; // For 1m; uses the rounding rules.
    final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
    assertEquals("Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
    final MultipleCurrencyAmount netAmount = METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
    assertEquals("Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()) * m1 / NOTIONAL_TIPS_1, 2.0E+0); // The difference is due to rounding.
  }

View Full Code Here

    final ZonedDateTime pricingDate20110817 = DateUtils.getUTCDate(2011, 8, 18); // Spot 19-Aug-2011
    final InflationIssuerProviderDiscount market = MulticurveProviderDiscountDataSets.createMarket1(pricingDate20110817);
    final double cleanRealPrice = 1.00;
    final BondCapitalIndexedSecurity<Coupon> bond_110817 = BOND_SECURITY_TIPS_1_DEFINITION.toDerivative(pricingDate20110817, US_CPI);
    final double referenceIndexExpected = 225.82348;
    final MultipleCurrencyAmount netAmountSettle = bond_110817.getSettlement().accept(NADIC, market.getInflationProvider());
    final double referenceIndexComputed = netAmountSettle.getAmount(bond_110817.getCurrency()) * BOND_SECURITY_TIPS_1_DEFINITION.getIndexStartValue() / bond_110817.getSettlement().getNotional();
    assertEquals("Inflation Capital Indexed bond: index", referenceIndexExpected, referenceIndexComputed, 1.0E-5);
    final double indexRatioExpected = 1.13778;
    final double yieldExpected = 1.999636 / 100.0;
    final double dirtyRealPriceComputed = METHOD_BOND_INFLATION.dirtyRealPriceFromCleanRealPrice(bond_110817, cleanRealPrice);
    final double yieldComputed = METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(bond_110817, dirtyRealPriceComputed);
    assertEquals("Inflation Capital Indexed bond: yield ", yieldExpected, yieldComputed, 1.0E-8);
    final double accruedExpected = 2164.26;
    final double accruedRealExpected = accruedExpected / m1 / indexRatioExpected;
    final double accruedReal = bond_110817.getAccruedInterest();
    assertEquals("Inflation Capital Indexed bond: accrued", accruedRealExpected, accruedReal / NOTIONAL_TIPS_1, 1.0E-8);
    final double netAmountExpected = 1139944.26; // For 1m; uses the rounding rules.
    final double netAmount2 = indexRatioExpected * m1 * cleanRealPrice + accruedExpected;
    assertEquals("Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount2, 1.0E-2);
    final MultipleCurrencyAmount netAmount = METHOD_BOND_INFLATION.netAmount(bond_110817, market, cleanRealPrice);
    assertEquals("Inflation Capital Indexed bond: net amount", netAmountExpected, netAmount.getAmount(PRICE_INDEX_USCPI.getCurrency()) * m1 / NOTIONAL_TIPS_1, 2.0E+0); // The difference is due to rounding.
  }

View Full Code Here

   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final AnnuityCouponFixed annuity, final MulticurveProviderInterface multicurves) {
    ArgumentChecker.notNull(annuity, "Annuity");
    ArgumentChecker.notNull(multicurves, "Multi-curves provider");
    MultipleCurrencyAmount pv = MultipleCurrencyAmount.of(annuity.getCurrency(), 0);
    for (final CouponFixed cpn : annuity.getPayments()) {
      pv = pv.plus(METHOD_CPN_FIXED.presentValue(cpn, multicurves));
    }
    return pv;
  }

View Full Code Here

  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_1);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_1);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }

View Full Code Here

  public void presentValueFixedOnCoupon() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_2);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_2);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_2, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }

View Full Code Here

    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }


  @Test
  public void presentValueFixedMethodVsCalculator() {
    final MultipleCurrencyAmount pvMethod = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    final MultipleCurrencyAmount pvCalculator = BOND_FIXED_SECURITY_1.accept(PVIC, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value Method vs Calculator", pvMethod.getAmount(CUR), pvCalculator.getAmount(CUR), TOLERANCE_PV);
  }

View Full Code Here

0 1 2 3 4 5 6 7 8 9

TOP

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

com.opengamma.analytics.financial.calculator.PresentValueMCACalculator

com.opengamma.analytics.financial.forex.method.ForexDiscountingMethodTest

com.opengamma.analytics.financial.forex.method.ForexForwardPointsMethodTest

com.opengamma.analytics.financial.forex.method.ForexNonDeliverableForwardDiscountingMethodTest

com.opengamma.analytics.financial.forex.method.ForexNonDeliverableOptionBlackMethodTest

com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethodTest

com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethod

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

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

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

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.