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Add traded price for more security products #1721

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merged 1 commit into from Jun 11, 2018

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jodastephen commented Jun 8, 2018

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Add TradedPrice for security-based products
Extend use of `TradedPrice`

@jodastephen jodastephen requested review from Mistuus and removed request for yukiiwashita Jun 11, 2018

@jodastephen jodastephen assigned Mistuus and unassigned yukiiwashita Jun 11, 2018

@@ -265,24 +265,19 @@ public void priceSensitivity() {
public void presentValue() {
// March 2016
CurrencyAmount pvMar = TRADE_PRICER.presentValue(FUTURE_TRADE_MAR, RATES_PROVIDER,
FUTURE_TRADE_MAR.getPrice());
CurrencyAmount pvMar = TRADE_PRICER.presentValue(FUTURE_TRADE_MAR, RATES_PROVIDER, REF_PRICE_MAR_DECIMAL);
assertEquals(pvMar.getAmount(), -9738.418878056109, TOL * NOTIONAL);

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Mistuus Jun 11, 2018

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Out of curiosity, why do we use TOL * NOTIONAL instead of just doing 0.01d or having a constant DELTA = 0.01d?

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Mistuus Jun 11, 2018

Contributor

Out of curiosity, why do we use TOL * NOTIONAL instead of just doing 0.01d or having a constant DELTA = 0.01d?

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jodastephen Jun 11, 2018

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It makes the tolerance proportional to the trade size, converting it to be more like a percentage of the trade value rather than an absolute amount,

@jodastephen

jodastephen Jun 11, 2018

Member

It makes the tolerance proportional to the trade size, converting it to be more like a percentage of the trade value rather than an absolute amount,

@Mistuus Mistuus merged commit 09358e0 into master Jun 11, 2018

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security/snyk - modules/basics/pom.xml No dependency changes
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security/snyk - modules/calc/pom.xml No dependency changes
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security/snyk - modules/collect/pom.xml No dependency changes
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security/snyk - modules/data/pom.xml No dependency changes
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security/snyk - modules/loader/pom.xml No dependency changes
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security/snyk - modules/market/pom.xml No dependency changes
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security/snyk - modules/math/pom.xml No dependency changes
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security/snyk - modules/measure/pom.xml No dependency changes
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security/snyk - modules/pom.xml No dependency changes
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security/snyk - modules/pricer/pom.xml No dependency changes
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security/snyk - modules/product/pom.xml No dependency changes
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security/snyk - modules/report/pom.xml No dependency changes
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security/snyk - pom.xml No dependency changes
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@Mistuus Mistuus deleted the topic/security-traded-price branch Jun 11, 2018

@jodastephen jodastephen added this to the v2.0 milestone Jun 12, 2018

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