public virtual void test_parSpread_ended()
{
ResolvedFxSingle fwd = ResolvedFxSingle.of(CurrencyAmount.of(USD, NOMINAL_USD), FxRate.of(USD, KRW, FX_RATE), PAYMENT_DATE_PAST);
double spread = PRICER.parSpread(fwd, PROVIDER);
assertEquals(spread, 0d, TOL);
}
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());
}
public virtual void test_parSpread()
{
double spread = PRICER.parSpread(FWD, PROVIDER);
ResolvedFxSingle fwdSp = ResolvedFxSingle.of(CurrencyAmount.of(USD, NOMINAL_USD), FxRate.of(USD, KRW, FX_RATE + spread), PAYMENT_DATE);
MultiCurrencyAmount pv = PRICER.presentValue(fwdSp, PROVIDER);
assertEquals(pv.convertedTo(USD, PROVIDER).Amount, 0d, NOMINAL_USD * TOL);
}
static VannaVolgaFxVanillaOptionProductPricerTest()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
double strike = STRIKE_MIN + i * STRIKE_RANGE / (NB_STRIKES - 1d);
CurrencyAmount eurAmount = CurrencyAmount.of(EUR, NOTIONAL);
CurrencyAmount usdAmount = CurrencyAmount.of(USD, -NOTIONAL * strike);
UNDERLYING[i] = ResolvedFxSingle.of(eurAmount, usdAmount, PAY);
CALLS[i] = ResolvedFxVanillaOption.builder().longShort(LONG).expiry(EXPIRY).underlying(UNDERLYING[i]).build();
PUTS[i] = ResolvedFxVanillaOption.builder().longShort(SHORT).expiry(EXPIRY).underlying(UNDERLYING[i].inverse()).build();
}
}