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 from curves and a z-spread.
   */
  public void presentValueFromZSpread() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    double zSpread = 0.0;
    MultipleCurrencyAmount pvZ = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", pv.getAmount(CUR), pvZ.getAmount(CUR), TOLERANCE_PV);
    IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpread);
    MultipleCurrencyAmount pvZExpected = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, issuerShifted);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZExpected.getAmount(CUR), pvZ.getAmount(CUR), TOLERANCE_PV);
    zSpread = 0.0010; // 10bps
    issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpread);
    pvZ = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    pvZExpected = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, issuerShifted);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZExpected.getAmount(CUR), pvZ.getAmount(CUR), TOLERANCE_PV);
  }

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   */
  public void presentValueZSpreadSensitivity() {
    final double zSpread = 0.0050; // 50bps
    final double shift = 1.0E-5;
    final double pvzs = METHOD_BOND_SECURITY.presentValueZSpreadSensitivity(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    final MultipleCurrencyAmount pvZUp = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread + shift);
    final MultipleCurrencyAmount pvZDown = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread - shift);
    assertEquals("Fixed coupon bond security: present value z-spread sensitivity", (pvZUp.getAmount(CUR) - pvZDown.getAmount(CUR)) / (2 * shift), pvzs, TOLERANCE_PV_DELTA);
  }

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  /**
   * Tests the bond security present value from clean price.
   */
  public void presentValueFromCleanPrice() {
    final double cleanPrice = METHOD_BOND_SECURITY.cleanPriceFromCurves(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    final MultipleCurrencyAmount pvClean = METHOD_BOND_SECURITY.presentValueFromCleanPrice(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES.getMulticurveProvider(), cleanPrice);
    final MultipleCurrencyAmount pvCleanExpected = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvCleanExpected.getAmount(CUR), pvClean.getAmount(CUR), TOLERANCE_PV);
  }

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  @Test
  /**
   * Tests the z-spread computation from the present value.
   */
  public void zSpreadFromPresentValue() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    final double zSpread = METHOD_BOND_SECURITY.zSpreadFromCurvesAndPV(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, pv);
    assertEquals("Fixed coupon bond security: present value from z-spread", 0.0, zSpread, TOLERANCE_PV);
    final double zSpreadExpected = 0.0025; // 25bps
    final MultipleCurrencyAmount pvZSpread = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpreadExpected);
    final double zSpread2 = METHOD_BOND_SECURITY.zSpreadFromCurvesAndPV(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, pvZSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", zSpreadExpected, zSpread2, TOLERANCE_PV);
    final double zSpreadExpected3 = 0.0250; // 2.50%
    final MultipleCurrencyAmount pvZSpread3 = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpreadExpected3);
    final double zSpread3 = METHOD_BOND_SECURITY.zSpreadFromCurvesAndPV(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, pvZSpread3);
    assertEquals("Fixed coupon bond security: present value from z-spread", zSpreadExpected3, zSpread3, TOLERANCE_PV);
  }

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  /**
   * Tests the z-spread sensitivity computation from the present value.
   */
  public void zSpreadSensitivityFromPresentValue() {
    final double zSpread = 0.0025; // 25bps
    final MultipleCurrencyAmount pvZSpread = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    final double zsComputed = METHOD_BOND_SECURITY.presentValueZSpreadSensitivityFromCurvesAndPV(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, pvZSpread);
    final double zsExpected = METHOD_BOND_SECURITY.presentValueZSpreadSensitivity(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    assertEquals("Fixed coupon bond security: z-spread sensitivity", zsExpected, zsComputed, TOLERANCE_PV);
  }

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    assertEquals("Fixed coupon bond security: z-spread sensitivity", zsExpected, zsComputed, TOLERANCE_PV);
  }


  @Test
  public void dirtyPriceFixed() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    final double df = ISSUER_MULTICURVES.getMulticurveProvider().getDiscountFactor(CUR, REFERENCE_TIME_1);
    final double dirty = METHOD_BOND_SECURITY.dirtyPriceFromCurves(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: dirty price from curves", pv.getAmount(CUR) / df / BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getNotional(), dirty);
    assertTrue("Fixed coupon bond security: dirty price is relative price", (0.50 < dirty) & (dirty < 2.0));
  }

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  @Test
  public void dirtyPriceCurveSensitivity() {
    MulticurveSensitivity sensi = METHOD_BOND_SECURITY.dirtyPriceCurveSensitivity(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES).cleaned();
    sensi = sensi.cleaned();
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    final double dfSettle = ISSUER_MULTICURVES.getMulticurveProvider().getDiscountFactor(CUR, BOND_FIXED_SECURITY_1.getSettlementTime());
    final String DSC_CURVE_NAME = ISSUER_MULTICURVES.getMulticurveProvider().getName(CUR);
    final String ISS_CURVE_NAME = ISSUER_MULTICURVES.getName(BOND_FIXED_SECURITY_1.getIssuerCcy());
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: risk-less curve", BOND_FIXED_SECURITY_1.getSettlementTime(), sensi.getYieldDiscountingSensitivities().get(DSC_CURVE_NAME)
        .get(0).first, TOLERANCE_PV_DELTA);
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: risk-less curve", BOND_FIXED_SECURITY_1.getSettlementTime() / dfSettle * pv.getAmount(CUR) / NOTIONAL, sensi
        .getYieldDiscountingSensitivities().get(DSC_CURVE_NAME).get(0).second, TOLERANCE_PV_DELTA);
    final double dfCpn0 = ISSUER_MULTICURVES.getMulticurveProvider().getDiscountFactor(BOND_FIXED_SECURITY_1.getCurrency(), BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getPaymentTime());
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: repo curve", BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getPaymentTime(), sensi.getYieldDiscountingSensitivities()
        .get(ISS_CURVE_NAME).get(0).first, TOLERANCE_PV_DELTA);
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: repo curve", -BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getPaymentTime()

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  private static final ZonedDateTime SPOT_3 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_3, SETTLEMENT_DAYS_UK, CALENDAR);
  private static final double REFERENCE_TIME_3 = TimeCalculator.getTimeBetween(REFERENCE_DATE_3, SPOT_3);


  @Test
  public void presentValueFixedExDividend() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_UK, ISSUER_MULTICURVES);
    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(GBP, MATURITY_DATE_UK, START_ACCRUAL_DATE_UK, PAYMENT_TENOR_UK, RATE_UK, SETTLEMENT_DAYS_UK, NOTIONAL_UK,
        0, CALENDAR_UK, DAY_COUNT_UK, BUSINESS_DAY_UK, YIELD_CONVENTION_UK, IS_EOM_UK, ISSUER_UK, "RepoType");
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3);
    final MultipleCurrencyAmount pvNoEx = METHOD_BOND_SECURITY.presentValue(BondNoEx, ISSUER_MULTICURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_UK.getCoupons().getNthPayment(17);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, GBP, ISSUER_UK);
    final MultipleCurrencyAmount pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3).accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx.getAmount(GBP) - pvCpn.getAmount(GBP), pv.getAmount(GBP), TOLERANCE_PV);
  }

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    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx.getAmount(GBP) - pvCpn.getAmount(GBP), pv.getAmount(GBP), TOLERANCE_PV);
  }


  @Test
  public void dirtyPriceFixedExDividend() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_UK, ISSUER_MULTICURVES);
    final double df = ISSUER_MULTICURVES.getMulticurveProvider().getDiscountFactor(GBP, REFERENCE_TIME_3);
    final double dirty = METHOD_BOND_SECURITY.dirtyPriceFromCurves(BOND_FIXED_SECURITY_UK, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: dirty price from curves", pv.getAmount(GBP) / df / BOND_FIXED_SECURITY_UK.getCoupon().getNthPayment(0).getNotional(), dirty);
    assertTrue("Fixed coupon bond security: dirty price is relative price", (0.50 < dirty) & (dirty < 2.0));
  }

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  private static final BondTransactionDiscountingMethod METHOD_BOND_TR = BondTransactionDiscountingMethod.getInstance();
  private static final double TOLERANCE_PV_DELTA = 1.0E-2;


  @Test
  public void testPVFixedBondSettlePast() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_1, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_FIXED_1.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_FIXED_1.accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED, pv.getAmount(CUR));
  }

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