public virtual void test_presentValue_ended()
{
ResolvedFxSingle fwd = ResolvedFxSingle.of(CurrencyAmount.of(USD, NOMINAL_USD), FxRate.of(USD, KRW, FX_RATE), PAYMENT_DATE_PAST);
MultiCurrencyAmount computed = PRICER.presentValue(fwd, PROVIDER);
assertEquals(computed, MultiCurrencyAmount.empty());
}
/// <summary>
/// Calculates the current cash.
/// </summary>
/// <param name="fx"> the product </param>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the current cash </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedFxSingle fx, LocalDate valuationDate)
{
if (valuationDate.isEqual(fx.PaymentDate))
{
return(MultiCurrencyAmount.of(fx.BaseCurrencyPayment.Value, fx.CounterCurrencyPayment.Value));
}
return(MultiCurrencyAmount.empty());
}
public virtual void test_currencyExposure_atExpiry()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
MultiCurrencyAmount computedCall = PRICER.currencyExposure(CALLS[i], RATES_PROVIDER_AFTER, VOLS_AFTER);
assertEquals(computedCall, MultiCurrencyAmount.empty());
MultiCurrencyAmount computedPut = PRICER.currencyExposure(PUTS[i], RATES_PROVIDER_AFTER, VOLS_AFTER);
assertEquals(computedPut, MultiCurrencyAmount.empty());
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the FX product by discounting each payment in its own currency.
/// </summary>
/// <param name="fx"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value in the two natural currencies </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedFxSingle fx, RatesProvider provider)
{
if (provider.ValuationDate.isAfter(fx.PaymentDate))
{
return(MultiCurrencyAmount.empty());
}
CurrencyAmount pv1 = paymentPricer.presentValue(fx.BaseCurrencyPayment, provider);
CurrencyAmount pv2 = paymentPricer.presentValue(fx.CounterCurrencyPayment, provider);
return(MultiCurrencyAmount.of(pv1, pv2));
}
public virtual void test_presentValue_ended()
{
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS, PAYMENT_DATE_LONG_PAST, PAYMENT_DATE_PAST);
MultiCurrencyAmount computed = PRICER.presentValue(product, PROVIDER);
assertEquals(computed, MultiCurrencyAmount.empty());
// currency exposure
MultiCurrencyAmount exposure = PRICER.currencyExposure(product, PROVIDER);
assertEquals(exposure, computed);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure by discounting each payment in its own currency.
/// </summary>
/// <param name="ndf"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxNdf ndf, RatesProvider provider)
{
if (provider.ValuationDate.isAfter(ndf.PaymentDate))
{
return(MultiCurrencyAmount.empty());
}
Currency ccySettle = ndf.SettlementCurrency;
CurrencyAmount notionalSettle = ndf.SettlementCurrencyNotional;
double dfSettle = provider.discountFactor(ccySettle, ndf.PaymentDate);
Currency ccyOther = ndf.NonDeliverableCurrency;
double agreedRate = ndf.AgreedFxRate.fxRate(ccySettle, ccyOther);
double dfOther = provider.discountFactor(ccyOther, ndf.PaymentDate);
return(MultiCurrencyAmount.of(notionalSettle.multipliedBy(dfSettle)).plus(CurrencyAmount.of(ccyOther, -notionalSettle.Amount * agreedRate * dfOther)));
}
public virtual void test_currentCash_zero()
{
MultiCurrencyAmount computed = PRICER.currentCash(FWD, PROVIDER.ValuationDate);
assertEquals(computed, MultiCurrencyAmount.empty());
}
