/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.equity.future;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import com.opengamma.analytics.financial.equity.future.derivative.EquityIndexDividendFuture;
import com.opengamma.analytics.financial.future.MarkToMarketFuturesCalculator;
import com.opengamma.analytics.financial.simpleinstruments.pricing.SimpleFutureDataBundle;
import com.opengamma.util.money.Currency;
/**
* Checks the wiring of the EquityFuturesPresentValueCalculator
*/
public class EquityFuturesPresentValueCalculatorTest {
private static final MarkToMarketFuturesCalculator PVC = MarkToMarketFuturesCalculator.PresentValueCalculator.getInstance();
@Test
public void testEquityIndexDividendFuture() {
final double settlement = 1.45;
final double fixing = 1.44;
final EquityIndexDividendFuture eidf = new EquityIndexDividendFuture(fixing, settlement, 95., Currency.JPY, 10);
final double currentPrice = 100.0;
final SimpleFutureDataBundle dataBundle = new SimpleFutureDataBundle(null, currentPrice, null, null, null);
// FIXME Case - presentValue needs discounting..
final double pv = eidf.accept(PVC, dataBundle);
assertEquals(50.0, pv, 1e-12);
}
}