//------------------------------------------------------------------------- public virtual void test_requirementsAndCurrency() { SwaptionTradeCalculationFunction function = new SwaptionTradeCalculationFunction(); ISet <Measure> measures = function.supportedMeasures(); FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA); assertThat(reqs.OutputCurrencies).containsOnly(CURRENCY); assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(DISCOUNT_CURVE_ID, FORWARD_CURVE_ID, VOL_ID)); assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of(IndexQuoteId.of(INDEX))); assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY); }
public virtual void test_simpleMeasures() { SwaptionTradeCalculationFunction function = new SwaptionTradeCalculationFunction(); ScenarioMarketData md = marketData(); RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0)); NormalSwaptionTradePricer pricer = NormalSwaptionTradePricer.DEFAULT; ResolvedSwaptionTrade resolved = TRADE.resolve(REF_DATA); CurrencyAmount expectedPv = pricer.presentValue(resolved, provider, NORMAL_VOL_SWAPTION_PROVIDER_USD); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.RESOLVED_TARGET); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }