public virtual void cross_counter()
{
IDictionary <FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, EUR_USD), FxRateId.of(EUR, BEF), FxRate.of(EUR, BEF, EUR_BEF));
MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap);
FxRateProvider fx = MarketDataFxRateProvider.of(marketData);
assertEquals(fx.fxRate(USD, BEF), EUR_BEF / EUR_USD, 1.0E-10);
assertEquals(fx.fxRate(BEF, USD), EUR_USD / EUR_BEF, 1.0E-10);
}
public virtual void cross_base()
{
IDictionary <FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, EUR_USD), FxRateId.of(GBP, USD), FxRate.of(GBP, USD, GBP_USD));
MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap);
FxRateProvider fx = MarketDataFxRateProvider.of(marketData);
assertEquals(fx.fxRate(GBP, EUR), GBP_USD / EUR_USD, 1.0E-10);
assertEquals(fx.fxRate(EUR, GBP), EUR_USD / GBP_USD, 1.0E-10);
}
public virtual void cross_specified()
{
IDictionary <FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, CHF), FxRate.of(EUR, CHF, EUR_CHF), FxRateId.of(GBP, CHF), FxRate.of(GBP, CHF, GBP_CHF));
MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap);
FxRateProvider fx = MarketDataFxRateProvider.of(marketData, ObservableSource.NONE, CHF);
assertEquals(fx.fxRate(GBP, EUR), GBP_CHF / EUR_CHF, 1.0E-10);
assertEquals(fx.fxRate(EUR, GBP), EUR_CHF / GBP_CHF, 1.0E-10);
assertThrows(() => fx.fxRate(EUR, USD), typeof(MarketDataNotFoundException));
}
public virtual void test_fxProvider()
{
RatesMarketDataLookup test = RatesMarketDataLookup.of(ImmutableMap.of(), ImmutableMap.of());
LocalDate valDate = date(2015, 6, 30);
FxRateId gbpUsdId = FxRateId.of(GBP, USD);
FxRate gbpUsdRate = FxRate.of(GBP, USD, 1.6);
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.of(gbpUsdId, gbpUsdRate));
FxRateProvider fxProvider = test.fxRateProvider(md);
assertEquals(fxProvider.fxRate(GBP, USD), 1.6);
assertEquals(test.marketDataView(md).fxRateProvider().fxRate(GBP, USD), 1.6);
assertThrows(() => fxProvider.fxRate(EUR, USD), typeof(MarketDataNotFoundException));
}
public virtual void emptyMatrixCanHandleTrivialRate()
{
FxRateProvider test = (ccy1, ccy2) =>
{
return(2.5d);
};
assertThat(test.fxRate(CurrencyPair.of(GBP, USD))).isEqualTo(2.5d);
}
//-------------------------------------------------------------------------
/// <summary>
/// Converts this sensitivity to an equivalent in the specified currency.
/// <para>
/// Any FX conversion that is required will use rates from the provider.
///
/// </para>
/// </summary>
/// <param name="resultCurrency"> the currency of the result </param>
/// <param name="rateProvider"> the provider of FX rates </param>
/// <returns> the sensitivity object expressed in terms of the result currency </returns>
/// <exception cref="RuntimeException"> if no FX rate could be found </exception>
public CrossGammaParameterSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider)
{
if (currency.Equals(resultCurrency))
{
return(this);
}
double fxRate = rateProvider.fxRate(currency, resultCurrency);
return(mapSensitivity(s => s * fxRate, resultCurrency));
}
public CurrencyAmountArray convertedTo(Currency resultCurrency, FxRateProvider fxRateProvider)
{
if (currency.Equals(resultCurrency))
{
return(this);
}
double fxRate = fxRateProvider.fxRate(currency, resultCurrency);
DoubleArray convertedValues = values.multipliedBy(fxRate);
return(new CurrencyAmountArray(resultCurrency, convertedValues));
}
public CurrencyAmountArray convertedTo(Currency resultCurrency, FxRateProvider fxRateProvider)
{
double[] singleCurrencyValues = new double[size_Renamed];
foreach (KeyValuePair <Currency, DoubleArray> entry in values.entrySet())
{
Currency currency = entry.Key;
DoubleArray currencyValues = entry.Value;
for (int i = 0; i < size_Renamed; i++)
{
singleCurrencyValues[i] += currencyValues.get(i) * fxRateProvider.fxRate(currency, resultCurrency);
}
}
return(CurrencyAmountArray.of(resultCurrency, DoubleArray.ofUnsafe(singleCurrencyValues)));
}
//-------------------------------------------------------------------------
public double fxRate(Currency baseCurrency, Currency counterCurrency)
{
return(fxRateProvider.fxRate(baseCurrency, counterCurrency));
}