Package com.opengamma.util.money

Examples of com.opengamma.util.money.CurrencyAmount

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  @Test
  /**
   * Tests the present value against explicit computation.
   */
  public void presentValue() {
    final CurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
    final double pvExpected = NOTIONAL * CURVE_BUNDLE.getCurve(NAME_CURVES[1]).getDiscountFactor(BILL_IAM_SEC.getEndTime());
    assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
  }
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  @Test
  /**
   * Tests the present value: Method vs Calculator
   */
  public void presentValueMethodVsCalculator() {
    final CurrencyAmount pvMethod = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
    final double pvCalculator = BILL_IAM_SEC.accept(PVC, CURVE_BUNDLE);
    assertEquals("Bill Security: discounting method - present value", pvMethod.getAmount(), pvCalculator, TOLERANCE_PV);
  }
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    assertEquals("Bill Security: discounting method - price", PRICE, priceComputed, TOLERANCE_PRICE);
  }

  @Test
  public void presentValueFromPrice() {
    final CurrencyAmount pvComputed = METHOD_SECURITY.presentValueFromPrice(BILL_IAM_SEC, PRICE, CURVE_BUNDLE);
    final double pvExpected = NOTIONAL * PRICE * CURVE_BUNDLE.getCurve(NAME_CURVES[0]).getDiscountFactor(BILL_IAM_SEC.getSettlementTime());
    assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
  }
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    assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
  }

  @Test
  public void presentValueFromYield() {
    final CurrencyAmount pvComputed = METHOD_SECURITY.presentValueFromYield(BILL_IAM_SEC, YIELD, CURVE_BUNDLE);
    final double price = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, YIELD);
    final double pvExpected = NOTIONAL * price * CURVE_BUNDLE.getCurve(NAME_CURVES[0]).getDiscountFactor(BILL_IAM_SEC.getSettlementTime());
    assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
  }
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  }

  @Test
  public void priceFromCurves() {
    final double priceComputed = METHOD_SECURITY.priceFromCurves(BILL_IAM_SEC, CURVE_BUNDLE);
    final CurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
    final double priceExpected = pvComputed.getAmount() / (NOTIONAL * CURVE_BUNDLE.getCurve(NAME_CURVES[0]).getDiscountFactor(BILL_IAM_SEC.getSettlementTime()));
    assertEquals("Bill Security: discounting method - price", priceExpected, priceComputed, TOLERANCE_PRICE);
  }
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    assertEquals("Bill Security: discounting method - price", PRICE, priceComputed, TOLERANCE_PRICE);
  }

  @Test
  public void presentValueFromPrice() {
    final CurrencyAmount pvComputed = METHOD_SECURITY.presentValueFromPrice(BILL_BEL_IAM_SEC, PRICE, ISSUER_MULTICURVE);
    final double pvExpected = NOTIONAL * PRICE * ISSUER_MULTICURVE.getMulticurveProvider().getDiscountFactor(EUR, BILL_BEL_IAM_SEC.getSettlementTime());
    assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
  }
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    assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
  }

  @Test
  public void presentValueFromYield() {
    final CurrencyAmount pvComputed = METHOD_SECURITY.presentValueFromYield(BILL_BEL_IAM_SEC, YIELD, ISSUER_MULTICURVE);
    final double price = METHOD_SECURITY.priceFromYield(BILL_BEL_IAM_SEC, YIELD);
    final double pvExpected = NOTIONAL * price * ISSUER_MULTICURVE.getMulticurveProvider().getDiscountFactor(EUR, BILL_BEL_IAM_SEC.getSettlementTime());
    assertEquals("Bill Security: discounting method - present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
  }
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    Validate.notNull(curves);
    if (!(curves instanceof HullWhiteOneFactorPiecewiseConstantDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a HullWhiteOneFactorPiecewiseConstantDataBundle as data.");
    }
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), _nbPath);
    final CurrencyAmount pvMC = methodMC
        .presentValue(swaption, swaption.getCurrency(), swaption.getUnderlyingSwap().getFirstLeg().getDiscountCurve(), (HullWhiteOneFactorPiecewiseConstantDataBundle) curves);
    return pvMC.getAmount();
  }
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    Validate.notNull(curves);
    if (!(curves instanceof HullWhiteOneFactorPiecewiseConstantDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a HullWhiteOneFactorPiecewiseConstantDataBundle as data.");
    }
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), _nbPath);
    final CurrencyAmount pvMC = methodMC.presentValue(annuity, annuity.getCurrency(), annuity.getDiscountCurve(), (HullWhiteOneFactorPiecewiseConstantDataBundle) curves);
    return pvMC.getAmount();
  }
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   * @return The present value.
   */
  public CurrencyAmount presentValue(final AnnuityCouponFixed annuity, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(annuity);
    CurrencyAmount pv = CurrencyAmount.of(annuity.getCurrency(), 0);
    for (final CouponFixed cpn : annuity.getPayments()) {
      pv = pv.plus(METHOD_CPN_FIXED.presentValue(cpn, curves));
    }
    return pv;
  }
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