public virtual void test_ratePointSensitivity_afterValuation()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
assertEquals(test.ratePointSensitivity(OBS_AFTER, GBP), FxIndexSensitivity.of(OBS_AFTER, GBP, 1d));
assertEquals(test.ratePointSensitivity(OBS_AFTER, USD), FxIndexSensitivity.of(OBS_AFTER, USD, 1d));
}
//-------------------------------------------------------------------------
public virtual void test_ratePointSensitivity_fixing()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
assertEquals(test.ratePointSensitivity(OBS_BEFORE, GBP), PointSensitivityBuilder.none());
assertEquals(test.ratePointSensitivity(OBS_VAL, GBP), PointSensitivityBuilder.none());
}
public virtual void test_ratePointSensitivity_onValuation_noFixing()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES_EMPTY);
assertEquals(test.ratePointSensitivity(OBS_VAL, GBP), FxIndexSensitivity.of(OBS_VAL, GBP, 1d));
assertEquals(test.ratePointSensitivity(OBS_VAL, USD), FxIndexSensitivity.of(OBS_VAL, USD, 1d));
}
public virtual void test_rate_onValuation_fixing()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
assertEquals(test.rate(OBS_VAL, GBP), RATE_VAL);
assertEquals(test.rate(OBS_VAL, USD), 1d / RATE_VAL);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
coverImmutableBean(test);
ForwardFxIndexRates test2 = ForwardFxIndexRates.of(EUR_GBP_ECB, FWD_RATES_EUR_GBP, SERIES_MINIMAL);
coverBeanEquals(test, test2);
}
public virtual void test_of_withFixings()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
assertEquals(test.Index, GBP_USD_WM);
assertEquals(test.ValuationDate, DATE_VAL);
assertEquals(test.Fixings, SERIES);
assertEquals(test.FxForwardRates, FWD_RATES);
}
//-------------------------------------------------------------------------
//proper end-to-end tests are elsewhere
public virtual void test_parameterSensitivity()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
FxIndexSensitivity point = FxIndexSensitivity.of(OBS_VAL, GBP, 1d);
assertEquals(test.parameterSensitivity(point).size(), 2);
FxIndexSensitivity point2 = FxIndexSensitivity.of(OBS_VAL, USD, 1d);
assertEquals(test.parameterSensitivity(point2).size(), 2);
}
public virtual void test_rate_afterValuation()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
LocalDate maturityDate = GBP_USD_WM.calculateMaturityFromFixing(DATE_AFTER, REF_DATA);
double dfCcyBaseAtMaturity = DFCURVE_GBP.discountFactor(maturityDate);
double dfCcyCounterAtMaturity = DFCURVE_USD.discountFactor(maturityDate);
double expected = FX_RATE.fxRate(GBP, USD) * (dfCcyBaseAtMaturity / dfCcyCounterAtMaturity);
assertEquals(test.rate(OBS_AFTER, GBP), expected, 1e-8);
assertEquals(test.rate(OBS_AFTER, USD), 1d / expected, 1e-8);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ForwardFxIndexRates other = (ForwardFxIndexRates)obj;
return(JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(fxForwardRates, other.fxForwardRates) && JodaBeanUtils.equal(fixings, other.fixings));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_of_withoutFixings()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES);
assertEquals(test.Index, GBP_USD_WM);
assertEquals(test.ValuationDate, DATE_VAL);
assertEquals(test.Fixings, SERIES_EMPTY);
assertEquals(test.FxForwardRates, FWD_RATES);
assertEquals(test.findData(CURVE1.Name), CURVE1);
assertEquals(test.findData(CURVE2.Name), CURVE2);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
assertEquals(test.ParameterCount, FWD_RATES.ParameterCount);
assertEquals(test.getParameter(0), FWD_RATES.getParameter(0));
assertEquals(test.getParameterMetadata(0), FWD_RATES.getParameterMetadata(0));
assertEquals(test.withParameter(0, 1d).FxForwardRates, FWD_RATES.withParameter(0, 1d));
assertEquals(test.withPerturbation((i, v, m) => v + 1d).FxForwardRates, FWD_RATES.withPerturbation((i, v, m) => v + 1d));
}
public virtual void test_ratePointSensitivity_nonMatchingCurrency()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
assertThrowsIllegalArg(() => test.ratePointSensitivity(OBS_EUR_VAL, EUR));
}
public virtual void test_rate_beforeValuation_noFixing_notEmptySeries()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES_MINIMAL);
assertThrowsIllegalArg(() => test.rate(OBS_BEFORE, GBP));
}
public virtual void test_of_nonMatchingCurrency()
{
assertThrowsIllegalArg(() => ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES_USD_GBP, SERIES));
assertThrowsIllegalArg(() => ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES_EUR_GBP, SERIES));
}
