public virtual void requirementsNoConfigForPair()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
CurrencyPair gbpUsd = CurrencyPair.of(Currency.GBP, Currency.USD);
assertThat(function.requirements(FxRateId.of(gbpUsd), config())).isEqualTo(MarketDataRequirements.empty());
}
public virtual void requirementsMissingConfig()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
string regex = "No configuration found .*FxRateConfig";
assertThrowsIllegalArg(() => function.requirements(RATE_ID, MarketDataConfig.empty()), regex);
}
public virtual void requirementsInverse()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
MarketDataRequirements requirements = function.requirements(FxRateId.of(CURRENCY_PAIR.inverse()), config());
assertThat(requirements).isEqualTo(MarketDataRequirements.of(QUOTE_ID));
}
public virtual void requirements()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
MarketDataRequirements requirements = function.requirements(RATE_ID, config());
assertThat(requirements).isEqualTo(MarketDataRequirements.of(QUOTE_ID));
}
public virtual void buildMissingConfig()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
string regex = "No configuration found .*FxRateConfig";
assertThrowsIllegalArg(() => function.build(RATE_ID, MarketDataConfig.empty(), ScenarioMarketData.empty(), REF_DATA), regex);
}
public virtual void buildNoConfigForPair()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
string regex = "No FX rate configuration available for GBP/USD";
CurrencyPair gbpUsd = CurrencyPair.of(Currency.GBP, Currency.USD);
assertThrowsIllegalArg(() => function.build(FxRateId.of(gbpUsd), config(), ScenarioMarketData.empty(), REF_DATA), regex);
}
public virtual void buildInverse()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
MarketDataBox <double> quoteBox = MarketDataBox.ofSingleValue(1.1d);
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(QUOTE_ID, quoteBox).build();
MarketDataBox <FxRate> rateBox = function.build(FxRateId.of(CURRENCY_PAIR.inverse()), config(), marketData, REF_DATA);
assertThat(rateBox.SingleValue).True;
assertThat(rateBox.SingleValue).isEqualTo(FxRate.of(CURRENCY_PAIR, 1.1d));
}
public virtual void buildScenario()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
MarketDataBox <double> quoteBox = MarketDataBox.ofScenarioValues(1.1d, 1.2d, 1.3d);
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(QUOTE_ID, quoteBox).build();
MarketDataBox <FxRate> rateBox = function.build(RATE_ID, config(), marketData, REF_DATA);
assertThat(rateBox.SingleValue).False;
assertThat(rateBox.ScenarioCount).isEqualTo(3);
assertThat(rateBox.getValue(0)).isEqualTo(FxRate.of(CURRENCY_PAIR, 1.1d));
assertThat(rateBox.getValue(1)).isEqualTo(FxRate.of(CURRENCY_PAIR, 1.2d));
assertThat(rateBox.getValue(2)).isEqualTo(FxRate.of(CURRENCY_PAIR, 1.3d));
}
