public virtual void test_presentValueSensitivity_ended()
{
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS, PAYMENT_DATE_LONG_PAST, PAYMENT_DATE_PAST);
PointSensitivities computed = PRICER.presentValueSensitivity(product, PROVIDER);
assertEquals(computed, PointSensitivities.empty());
}
public virtual void test_parSpread_ended()
{
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS, PAYMENT_DATE_LONG_PAST, PAYMENT_DATE_PAST);
double parSpread = PRICER.parSpread(product, PROVIDER);
assertEquals(parSpread, 0d, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_parSpread_beforeStart()
{
double parSpread = PRICER.parSpread(SWAP_PRODUCT, PROVIDER);
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS + parSpread, PAYMENT_DATE_NEAR, PAYMENT_DATE_FAR);
MultiCurrencyAmount pv = PRICER.presentValue(product, PROVIDER);
assertEquals(pv.convertedTo(USD, PROVIDER).Amount, 0d, NOMINAL_USD * TOL);
}
public virtual void test_parSpreadSensitivity_ended()
{
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS, PAYMENT_DATE_LONG_PAST, PAYMENT_DATE_PAST);
PointSensitivities pts = PRICER.parSpreadSensitivity(product, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(pts);
assertTrue(computed.equalWithTolerance(CurrencyParameterSensitivities.empty(), TOLERANCE_SPREAD_DELTA));
}
public virtual void test_parSpreadSensitivity_started()
{
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS, PAYMENT_DATE_PAST, PAYMENT_DATE_NEAR);
PointSensitivities pts = PRICER.parSpreadSensitivity(product, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(pts);
CurrencyParameterSensitivities expected = CAL_FD.sensitivity(PROVIDER, (p) => CurrencyAmount.of(KRW, PRICER.parSpread(product, p)));
assertTrue(computed.equalWithTolerance(expected, TOLERANCE_SPREAD_DELTA));
}
public virtual void test_presentValueSensitivity_started()
{
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS, PAYMENT_DATE_PAST, PAYMENT_DATE_NEAR);
PointSensitivities point = PRICER.presentValueSensitivity(product, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expectedUsd = CAL_FD.sensitivity(PROVIDER, (p) => PRICER.presentValue(product, (p)).getAmount(USD));
CurrencyParameterSensitivities expectedKrw = CAL_FD.sensitivity(PROVIDER, (p) => PRICER.presentValue(product, (p)).getAmount(KRW));
assertTrue(computed.equalWithTolerance(expectedUsd.combinedWith(expectedKrw), NOMINAL_USD * FX_RATE * EPS_FD));
}
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);
}
public virtual void test_presentValue_started()
{
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS, PAYMENT_DATE_PAST, PAYMENT_DATE_NEAR);
MultiCurrencyAmount computed = PRICER.presentValue(product, PROVIDER);
double expected_usd = -NOMINAL_USD *PROVIDER.discountFactor(USD, PAYMENT_DATE_NEAR);
double expected_krw = NOMINAL_USD * (FX_RATE + FX_FWD_POINTS) * PROVIDER.discountFactor(KRW, PAYMENT_DATE_NEAR);
assertEquals(computed.getAmount(USD).Amount, expected_usd, NOMINAL_USD * TOL);
assertEquals(computed.getAmount(KRW).Amount, expected_krw, NOMINAL_USD * FX_RATE * TOL);
// currency exposure
MultiCurrencyAmount exposure = PRICER.currencyExposure(product, PROVIDER);
assertEquals(exposure, computed);
}
