@Test
/**
* Tests the present value for curves with seasonal adjustment.
*/
public void presentValueSeasonality() {
final BlackPriceFunction blackFunction = new BlackPriceFunction();
final InflationIssuerProviderDiscount marketSeason = MulticurveProviderDiscountDataSets.createMarket2(PRICING_DATE);
final BlackSmileCapInflationZeroCouponProviderDiscount blackInflation = new BlackSmileCapInflationZeroCouponProviderDiscount(marketSeason.getInflationProvider(), BLACK_PARAM);
final int tenorYear = 5;
final double notional = 100000000;
final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(PRICING_DATE, USDLIBOR3M.getSpotLag(), CALENDAR_USD);
final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settleDate, Period.ofYears(tenorYear), BUSINESS_DAY, CALENDAR_USD, USDLIBOR3M.isEndOfMonth());
final double weightSettle = 1.0 - (paymentDate.getDayOfMonth() - 1.0) / paymentDate.toLocalDate().lengthOfMonth();
final double indexStart = weightSettle * 225.964 + (1 - weightSettle) * 225.722;
final CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition = CouponInflationZeroCouponInterpolationDefinition.from(settleDate, paymentDate, notional, PRICE_INDEX_US,
MONTH_LAG, MONTH_LAG, false);
final CapFloorInflationZeroCouponInterpolationDefinition capZeroCouponUsdDefinition = CapFloorInflationZeroCouponInterpolationDefinition.from(zeroCouponUsdDefinition,
LAST_KNOWN_FIXING_DATE, MATURITY, STRIKE, IS_CAP);
final ZonedDateTimeDoubleTimeSeries ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2008, 4, 30), DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2011, 5, 31), DateUtils.getUTCDate(2011, 6, 30),
DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {108.23, 108.64, 225.964, 225.722, 200, 200 });
final CapFloorInflationZeroCouponInterpolation capZeroCouponUsd = (CapFloorInflationZeroCouponInterpolation) capZeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
final CouponInflationZeroCouponInterpolation zeroCouponUsd = (CouponInflationZeroCouponInterpolation) zeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
final MultipleCurrencyAmount pvInflation = METHOD.presentValue(capZeroCouponUsd, blackInflation);
final double df = marketSeason.getCurve(zeroCouponUsd.getCurrency()).getDiscountFactor(zeroCouponUsd.getPaymentTime());
final double indexMonth0 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
final double indexMonth1 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
final double finalIndex = zeroCouponUsdDefinition.getWeight() * indexMonth0 + (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
final double forward = finalIndex / indexStart;
final double timeToMaturity = capZeroCouponUsd.getReferenceEndTime()[1] - capZeroCouponUsd.getLastKnownFixingTime();
final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + capZeroCouponUsd.getStrike(), capZeroCouponUsd.getMaturity()), timeToMaturity, capZeroCouponUsd.isCap());
final double volatility = blackInflation.getBlackParameters().getVolatility(capZeroCouponUsd.getReferenceEndTime()[1], capZeroCouponUsd.getStrike());
final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
final double pvExpected = df * func.evaluate(dataBlack) * capZeroCouponUsd.getNotional() * capZeroCouponUsd.getPaymentYearFraction();
assertEquals("PV in market with seasonal adjustment", pvExpected, pvInflation.getAmount(zeroCouponUsd.getCurrency()), 1E-2);
}