//------------------------------------------------------------------------- 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_rateFxSpotSensitivity_nonMatchingCurrency() { DiscountFxForwardRates test = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD); assertThrowsIllegalArg(() => test.rateFxSpotSensitivity(EUR, DATE_VAL)); }