//-------------------------------------------------------------------------
public virtual void test_ratePointSensitivity()
{
DiscountFxForwardRates test = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertEquals(test.ratePointSensitivity(GBP, DATE_REF), FxForwardSensitivity.of(CURRENCY_PAIR, GBP, DATE_REF, 1d));
assertEquals(test.ratePointSensitivity(USD, DATE_REF), FxForwardSensitivity.of(CURRENCY_PAIR, USD, DATE_REF, 1d));
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
DiscountFxForwardRates test = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertEquals(test.CurrencyPair, CURRENCY_PAIR);
assertEquals(test.ValuationDate, DATE_VAL);
assertEquals(test.BaseCurrencyDiscountFactors, DFCURVE_GBP);
assertEquals(test.CounterCurrencyDiscountFactors, DFCURVE_USD);
assertEquals(test.FxRateProvider, FX_RATE);
assertEquals(test.findData(CURVE1.Name), CURVE1);
assertEquals(test.findData(CURVE2.Name), CURVE2);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
int baseSize = DFCURVE_USD.ParameterCount;
assertEquals(test.ParameterCount, DFCURVE_GBP.ParameterCount + baseSize);
assertEquals(test.getParameter(0), DFCURVE_GBP.getParameter(0));
assertEquals(test.getParameter(baseSize), DFCURVE_USD.getParameter(0));
assertEquals(test.getParameterMetadata(0), DFCURVE_GBP.getParameterMetadata(0));
assertEquals(test.getParameterMetadata(baseSize), DFCURVE_USD.getParameterMetadata(0));
assertEquals(test.withParameter(0, 1d).BaseCurrencyDiscountFactors, DFCURVE_GBP.withParameter(0, 1d));
assertEquals(test.withParameter(0, 1d).CounterCurrencyDiscountFactors, DFCURVE_USD);
assertEquals(test.withParameter(baseSize, 1d).BaseCurrencyDiscountFactors, DFCURVE_GBP);
assertEquals(test.withParameter(baseSize, 1d).CounterCurrencyDiscountFactors, DFCURVE_USD.withParameter(0, 1d));
assertEquals(test.withPerturbation((i, v, m) => v + 1d).BaseCurrencyDiscountFactors, DFCURVE_GBP.withPerturbation((i, v, m) => v + 1d));
assertEquals(test.withPerturbation((i, v, m) => v + 1d).CounterCurrencyDiscountFactors, DFCURVE_USD.withPerturbation((i, v, m) => v + 1d));
}
//-------------------------------------------------------------------------
//proper end-to-end tests are elsewhere
public virtual void test_parameterSensitivity()
{
DiscountFxForwardRates test = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
FxForwardSensitivity point = FxForwardSensitivity.of(CURRENCY_PAIR, GBP, DATE_VAL, 1d);
assertEquals(test.parameterSensitivity(point).size(), 2);
FxForwardSensitivity point2 = FxForwardSensitivity.of(CURRENCY_PAIR, USD, DATE_VAL, 1d);
assertEquals(test.parameterSensitivity(point2).size(), 2);
}
//-------------------------------------------------------------------------
public virtual void test_rateFxSpotSensitivity()
{
DiscountFxForwardRates test = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
double dfCcyBaseAtMaturity = DFCURVE_GBP.discountFactor(DATE_REF);
double dfCcyCounterAtMaturity = DFCURVE_USD.discountFactor(DATE_REF);
double expected = dfCcyBaseAtMaturity / dfCcyCounterAtMaturity;
assertEquals(test.rateFxSpotSensitivity(GBP, DATE_REF), expected, 1e-12);
assertEquals(test.rateFxSpotSensitivity(USD, DATE_REF), 1d / expected, 1e-12);
}
//-------------------------------------------------------------------------
public virtual void test_withDiscountFactors()
{
DiscountFxForwardRates test = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
test = test.withDiscountFactors(DFCURVE_GBP2, DFCURVE_USD2);
assertEquals(test.CurrencyPair, CURRENCY_PAIR);
assertEquals(test.ValuationDate, DATE_VAL);
assertEquals(test.BaseCurrencyDiscountFactors, DFCURVE_GBP2);
assertEquals(test.CounterCurrencyDiscountFactors, DFCURVE_USD2);
assertEquals(test.FxRateProvider, FX_RATE);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
DiscountFxForwardRates test1 = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
coverImmutableBean(test1);
DiscountFxForwardRates test2 = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE.inverse(), DFCURVE_GBP2, DFCURVE_USD2);
coverBeanEquals(test1, test2);
DiscountFxForwardRates test3 = DiscountFxForwardRates.of(CurrencyPair.of(USD, EUR), FxRate.of(EUR, USD, 1.2d), DFCURVE_USD, ZeroRateDiscountFactors.of(EUR, DATE_VAL, CURVE2));
coverBeanEquals(test1, test3);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
DiscountFxForwardRates other = (DiscountFxForwardRates)obj;
return(JodaBeanUtils.equal(currencyPair, other.currencyPair) && JodaBeanUtils.equal(fxRateProvider, other.fxRateProvider) && JodaBeanUtils.equal(baseCurrencyDiscountFactors, other.baseCurrencyDiscountFactors) && JodaBeanUtils.equal(counterCurrencyDiscountFactors, other.counterCurrencyDiscountFactors));
}
return(false);
}
public virtual void test_rateFxSpotSensitivity_nonMatchingCurrency()
{
DiscountFxForwardRates test = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertThrowsIllegalArg(() => test.rateFxSpotSensitivity(EUR, DATE_VAL));
}
public virtual void test_builder()
{
assertThrowsIllegalArg(() => DiscountFxForwardRates.meta().builder().set(DiscountFxForwardRates.meta().currencyPair(), CurrencyPair.parse("GBP/USD")).build());
assertThrowsIllegalArg(() => DiscountFxForwardRates.meta().builder().set(DiscountFxForwardRates.meta().currencyPair().name(), CurrencyPair.parse("GBP/USD")).build());
}
public virtual void test_of_nonMatchingValuationDates()
{
DiscountFactors curve2 = ZeroRateDiscountFactors.of(USD, DATE_REF, CURVE2);
assertThrowsIllegalArg(() => DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, curve2));
}
public virtual void test_of_nonMatchingCurrency()
{
assertThrowsIllegalArg(() => DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_GBP));
assertThrowsIllegalArg(() => DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_USD, DFCURVE_USD));
}
