public virtual void test_simpleMeasures()
{
FxVanillaOptionTradeCalculationFunction function = new FxVanillaOptionTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
BlackFxVanillaOptionTradePricer pricer = BlackFxVanillaOptionTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExp = pricer.currencyExposure(RTRADE, provider, VOLS);
CurrencyAmount expectedCash = pricer.currentCash(RTRADE, VAL_DATE);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExp)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_singleMarketData()
{
MarketData marketDataCalibrated = StandardComponents.marketDataFactory().create(REQUIREMENTS, CONFIG, MARKET_DATA, REF_DATA);
Results results = CALC_RUNNER.calculate(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyAmount computed = results.get(0, 0, typeof(CurrencyAmount)).Value;
CurrencyAmount expected = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, EXP_VOLS).convertedTo(USD, EXP_RATES);
assertEquals(computed, expected);
}