public virtual void test_currencyExposureOnFixing_noTimeSeries()
{
double eps = 1.0e-14;
LocalDate valuationDate = date(2014, 6, 27);
LocalDate paymentDate = date(2014, 7, 1);
LocalDate fixingDate = date(2014, 6, 27);
FxResetNotionalExchange resetNotionalUSD = FxResetNotionalExchange.of(CurrencyAmount.of(USD, NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
FxResetNotionalExchange resetNotionalGBP = FxResetNotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
// USD
MultiCurrencyAmount computedUSD = test.currencyExposure(resetNotionalUSD, prov);
PointSensitivities pointUSD = test.presentValueSensitivity(resetNotionalUSD, prov).build();
MultiCurrencyAmount expectedUSD = prov.currencyExposure(pointUSD.convertedTo(USD, prov)).plus(CurrencyAmount.of(resetNotionalUSD.Currency, test.presentValue(resetNotionalUSD, prov)));
assertFalse(computedUSD.contains(GBP)); // 0 GBP
assertEquals(computedUSD.getAmount(USD).Amount, expectedUSD.getAmount(USD).Amount, eps * NOTIONAL);
// GBP
MultiCurrencyAmount computedGBP = test.currencyExposure(resetNotionalGBP, prov);
PointSensitivities pointGBP = test.presentValueSensitivity(resetNotionalGBP, prov).build();
MultiCurrencyAmount expectedGBP = prov.currencyExposure(pointGBP.convertedTo(GBP, prov)).plus(CurrencyAmount.of(resetNotionalGBP.Currency, test.presentValue(resetNotionalGBP, prov)));
assertFalse(computedGBP.contains(USD)); // 0 USD
assertEquals(computedGBP.getAmount(GBP).Amount, expectedGBP.getAmount(GBP).Amount, eps * NOTIONAL);
// FD approximation
FxMatrix fxMatrixUp = FxMatrix.of(GBP, USD, FX_RATE + EPS_FD);
ImmutableRatesProvider provUp = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(fxMatrixUp).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
double expectedFdUSD = -(test.presentValue(resetNotionalUSD, provUp) - test.presentValue(resetNotionalUSD, prov)) * FX_RATE * FX_RATE / EPS_FD;
assertEquals(computedUSD.getAmount(USD).Amount, expectedFdUSD, EPS_FD * NOTIONAL);
double expectedFdGBP = (test.presentValue(resetNotionalGBP, provUp) - test.presentValue(resetNotionalGBP, prov)) / EPS_FD;
assertEquals(computedGBP.getAmount(GBP).Amount, expectedFdGBP, EPS_FD * NOTIONAL);
}
//-------------------------------------------------------------------------
public virtual void test_forecastValueSensitivity()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
FxResetNotionalExchange[] expanded = new FxResetNotionalExchange[] { FX_RESET_NOTIONAL_EXCHANGE_REC_USD, FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP };
for (int i = 0; i < 2; ++i)
{
FxResetNotionalExchange fxReset = expanded[i];
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
PointSensitivityBuilder pointSensitivityComputed = test.forecastValueSensitivity(expanded[i], prov);
CurrencyParameterSensitivities parameterSensitivityComputed = prov.parameterSensitivity(pointSensitivityComputed.build());
CurrencyParameterSensitivities parameterSensitivityExpected = FD_CALCULATOR.sensitivity(prov, (p) => CurrencyAmount.of(fxReset.Currency, test.forecastValue(fxReset, (p))));
assertTrue(parameterSensitivityComputed.equalWithTolerance(parameterSensitivityExpected, Math.Abs(expanded[i].Notional) * EPS_FD * 10.0));
}
}
//-------------------------------------------------------------------------
// creates a simple provider
private SimpleRatesProvider createProvider(FxResetNotionalExchange ne)
{
LocalDate paymentDate = ne.PaymentDate;
double paymentTime = ACT_360.relativeYearFraction(VAL_DATE, paymentDate);
Currency currency = ne.Currency;
DiscountFactors mockDf = mock(typeof(DiscountFactors));
when(mockDf.discountFactor(paymentDate)).thenReturn(DISCOUNT_FACTOR);
ZeroRateSensitivity sens = ZeroRateSensitivity.of(currency, paymentTime, -DISCOUNT_FACTOR * paymentTime);
when(mockDf.zeroRatePointSensitivity(paymentDate)).thenReturn(sens);
FxIndexRates mockFxRates = mock(typeof(FxIndexRates));
when(mockFxRates.rate(ne.Observation, ne.ReferenceCurrency)).thenReturn(FX_RATE);
SimpleRatesProvider prov = new SimpleRatesProvider(VAL_DATE);
prov.DiscountFactors = mockDf;
prov.FxIndexRates = mockFxRates;
prov.DayCount = ACT_360;
return(prov);
}
