public virtual void test_currentCash_onPayment()
{
double eps = 1.0e-14;
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.PaymentDate).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
double rate = prov.fxIndexRates(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Observation.Index).rate(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Observation, FX_RESET_NOTIONAL_EXCHANGE_REC_USD.ReferenceCurrency);
double ccUSD = test.currentCash(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
assertEquals(ccUSD, NOTIONAL * rate, eps);
double ccGBP = test.currentCash(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov);
assertEquals(ccGBP, -NOTIONAL / rate, eps);
}
public virtual void test_currentCash_zero()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
double cc = test.currentCash(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
assertEquals(cc, 0d);
}
