Package com.opengamma.util.money

Examples of com.opengamma.util.money.MultipleCurrencyAmount

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    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED, pv.getAmount(CUR));
  }

  @Test
  public void testPVFixedBondSettleToday() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_2, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_FIXED_2.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_FIXED_2.accept(PVDC, multicurvesDecorated);
    final double pvSettlement = BOND_SETTLEMENT_FIXED_2.getAmount();
    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED + pvSettlement, pv.getAmount(CUR));
  }
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    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED + pvSettlement, pv.getAmount(CUR));
  }

  @Test
  public void testPVFixedBondSettleFuture() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_3, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_FIXED_3.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_FIXED_3.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvSettlement = BOND_SETTLEMENT_FIXED_3.accept(PVDC, ISSUER_MULTICURVES.getMulticurveProvider());
    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED + pvSettlement.getAmount(CUR), pv.getAmount(CUR));
  }
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  }

  @Test(enabled = false)
  //FIXME change the test and the pv method with correct accrual interests mechanism.
  public void testFixedBondMethodCalculator() {
    final MultipleCurrencyAmount pvMethod = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_3, ISSUER_MULTICURVES);
    final MultipleCurrencyAmount pvCalculator =BOND_TRANSACTION_FIXED_3.accept(PVIC, ISSUER_MULTICURVES);
    assertEquals("Fixed bond present value: Method vs Calculator", pvMethod, pvCalculator);
    final MultipleCurrencyMulticurveSensitivity pvsMethod = METHOD_BOND_TR.presentValueSensitivity(BOND_TRANSACTION_FIXED_3, ISSUER_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvsCalculator = BOND_TRANSACTION_FIXED_3.accept(PVCSIC, ISSUER_MULTICURVES);
    AssertSensivityObjects.assertEquals("Fixed bond present value sensitivity: Method vs Calculator", pvsMethod, pvsCalculator, TOLERANCE_PV_DELTA);
  }
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  }

  @Test(enabled = false)
  //FIXME change the test and the pv method with correct accrual interests mechanism.
  public void testPVIborBond() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FRN, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_1_FRN.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_1_FRN.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvSettlement = BOND_SETTLEMENT_FRN.accept(PVDC, multicurvesDecorated);
    assertEquals("FRN present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FRN + pvSettlement.getAmount(CUR), pv.getAmount(CUR));
  }
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  @Test
  /**
   * Tests the present value against explicit computation.
   */
  public void presentValue() {
    final MultipleCurrencyAmount pvTransactionComputed = METHOD_TRANSACTION.presentValue(BILL_TRA, ISSUER_MULTICURVE);
    MultipleCurrencyAmount pvSecurity = METHOD_SECURITY.presentValue(BILL_TRA.getBillPurchased(), ISSUER_MULTICURVE);
    pvSecurity = pvSecurity.multipliedBy(QUANTITY);
    final double pvSettle = BILL_TRA_DEFINITION.getSettlementAmount() * ISSUER_MULTICURVE.getMulticurveProvider().getDiscountFactor(EUR, BILL_TRA.getBillPurchased().getSettlementTime());
    assertEquals("Bill Security: discounting method - present value", pvSecurity.getAmount(EUR) + pvSettle, pvTransactionComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  @Test
  /**
   * Tests the present value: Method vs Calculator
   */
  public void presentValueMethodVsCalculator() {
    final MultipleCurrencyAmount pvMethod = METHOD_TRANSACTION.presentValue(BILL_TRA, ISSUER_MULTICURVE);
    final MultipleCurrencyAmount pvCalculator = BILL_TRA.accept(PVIC, ISSUER_MULTICURVE);
    assertEquals("Bill Security: discounting method - present value", pvMethod.getAmount(EUR), pvCalculator.getAmount(EUR), TOLERANCE_PV);
  }
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   */
  public void parSpread() {
    final double spread = METHOD_TRANSACTION.parSpread(BILL_TRA, ISSUER_MULTICURVE);
    final BillTransactionDefinition bill0Definition = BillTransactionDefinition.fromYield(BILL_SEC_DEFINITION, QUANTITY, SETTLE_DATE, YIELD + spread, CALENDAR);
    final BillTransaction bill0 = bill0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = METHOD_TRANSACTION.presentValue(bill0, ISSUER_MULTICURVE);
    assertEquals("Bill Security: discounting method - par spread", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }
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  @Test
  /**
   * Tests the present value against explicit computation.
   */
  public void presentValue() {
    final MultipleCurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
    final double pvExpected = NOTIONAL * ISSUER_MULTICURVE.getDiscountFactor(BEL_EUR, BILL_BEL_IAM_SEC.getEndTime());
    assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  @Test
  /**
   * Tests the present value: Method vs Calculator
   */
  public void presentValueMethodVsCalculator() {
    final MultipleCurrencyAmount pvMethod = METHOD_SECURITY.presentValue(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
    final MultipleCurrencyAmount pvCalculator = BILL_BEL_IAM_SEC.accept(PVIC, ISSUER_MULTICURVE);
    assertEquals("Bill Security: discounting method - present value", pvMethod.getAmount(EUR), pvCalculator.getAmount(EUR), TOLERANCE_PV);
  }
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  }

  @Test
  public void priceFromCurves() {
    final double priceComputed = METHOD_SECURITY.priceFromCurves(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
    final MultipleCurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
    final double priceExpected = pvComputed.getAmount(EUR) / (NOTIONAL * ISSUER_MULTICURVE.getMulticurveProvider().getDiscountFactor(EUR, BILL_BEL_IAM_SEC.getSettlementTime()));
    assertEquals("Bill Security: discounting method - price", priceExpected, priceComputed, TOLERANCE_PRICE);
  }
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