Package com.opengamma.analytics.financial.interestrate.cash.derivative

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero.accept()

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    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);
  }

  @Test
  /**
 
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    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);
  }

  @Test
  /**
 
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    final double dfEnd = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getEndTime());
    final double dfStart = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getStartTime());
    final double rcc = Math.log(dfStart / dfEnd) / deposit.getPaymentAccrualFactor();
    final double prExpected = deposit.getRate().fromContinuous(new ContinuousInterestRate(rcc)).getRate();
    assertEquals("DepositZero: par rate", prExpected, prMethod, TOLERANCE_RATE);
    final double prCalculator = deposit.accept(PRC, CURVES);
    assertEquals("DepositZero: par rate", prMethod, prCalculator, TOLERANCE_RATE);
  }

  @Test
  /**
 
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    final double dfEnd = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getEndTime());
    final double dfStart = 1.0;
    final double rcc = Math.log(dfStart / dfEnd) / deposit.getPaymentAccrualFactor();
    final double prExpected = deposit.getRate().fromContinuous(new ContinuousInterestRate(rcc)).getRate();
    assertEquals("DepositZero: par rate", prExpected, prMethod, TOLERANCE_RATE);
    final double prCalculator = deposit.accept(PRC, CURVES);
    assertEquals("DepositZero: par rate", prMethod, prCalculator, TOLERANCE_RATE);
  }

  @Test
  /**
 
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      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity coupon pv to forward curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity finite difference method: node sensitivity", pairPv.second, result[loopnode], TOLERANCE_PRICE);
    }
    CURVES.replaceCurve(CURVES_NAME[0], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = new InterestRateCurveSensitivity(deposit.accept(PRCSC, CURVES));
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("DepositZero: par rate curve sensitivity", prcsMethod, prcsCalculator, TOLERANCE_RATE);
  }

  @Test
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      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity coupon pv to forward curve: Node " + loopnode, nodeTimesExtended[loopnode], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity finite difference method: node sensitivity", pairPv.second, result[loopnode], TOLERANCE_PRICE);
    }
    CURVES.replaceCurve(CURVES_NAME[0], curveToBump);
    final InterestRateCurveSensitivity prcsCalculator = new InterestRateCurveSensitivity(deposit.accept(PRCSC, CURVES));
    AssertSensivityObjects.assertEquals("DepositZero: par rate curve sensitivity", prcsMethod, prcsCalculator, TOLERANCE_RATE);
  }

  @Test
  /**
 
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      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity par spread to curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity par spread to curve: Node", pairPv.second, result[loopnode], TOLERANCE_PRICE);
    }
    CURVES.replaceCurve(CURVES_NAME[0], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = deposit.accept(PSCSC, CURVES);
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("DepositZero: par rate curve sensitivity", pscsMethod, prcsCalculator, TOLERANCE_SPREAD_DELTA);
  }

}
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  @Test
  public void testDepositZero() {
    final double endTime = 0.03;
    final DepositZero deposit = new DepositZero(Currency.USD, 0, endTime, 100, 100, 0.25, new ContinuousInterestRate(0.03), 2);
    assertEquals(deposit.accept(LDC), endTime, 0);
  }

  @Test
  public void testForex() {
    final double t = 0.124;
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