//-------------------------------------------------------------------------
/// <summary>
/// Calculates the future cash flow of the FRA product.
/// <para>
/// There is only one cash flow on the payment date for the FRA product.
/// The expected currency amount of the cash flow is the same as <seealso cref="#forecastValue(ResolvedFra, RatesProvider)"/>.
///
/// </para>
/// </summary>
/// <param name="fra"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the cash flows </returns>
public virtual CashFlows cashFlows(ResolvedFra fra, RatesProvider provider)
{
LocalDate paymentDate = fra.PaymentDate;
double forecastValue = forecastValue0(fra, provider);
double df = provider.discountFactor(fra.Currency, paymentDate);
CashFlow cashFlow = CashFlow.ofForecastValue(paymentDate, fra.Currency, forecastValue, df);
return(CashFlows.of(cashFlow));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the future cash flow of the payment.
/// <para>
/// The cash flow is returned, empty if the payment has already occurred.
///
/// </para>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="provider"> the provider </param>
/// <returns> the cash flow, empty if the payment has occurred </returns>
public virtual CashFlows cashFlows(Payment payment, BaseProvider provider)
{
if (provider.ValuationDate.isAfter(payment.Date))
{
return(CashFlows.NONE);
}
double df = provider.discountFactor(payment.Currency, payment.Date);
CashFlow flow = CashFlow.ofForecastValue(payment.Date, payment.Currency, payment.Amount, df);
return(CashFlows.of(flow));
}
//-------------------------------------------------------------------------
public virtual void test_cashFlow_provider()
{
CashFlow expected = CashFlow.ofForecastValue(PAYMENT_DATE, USD, NOTIONAL_USD, DF);
assertEquals(PRICER.cashFlows(TRADE, PROVIDER), CashFlows.of(expected));
}