// Checks that the NDF forward rate is coherent with the standard FX forward present value.
public virtual void test_forwardRateVsForex()
{
FxRate fwdNDF = PRICER.forwardFxRate(NDF, PROVIDER);
FxRate fwdFX = PRICER_FX.forwardFxRate(FOREX, PROVIDER);
assertEquals(fwdNDF.fxRate(fwdNDF.Pair), fwdFX.fxRate(fwdFX.Pair), 1e-10);
}
public virtual void test_forwardFxRate()
{
// forward rate is computed by discounting for any RatesProvider input.
FxRate computed = PRICER.forwardFxRate(FWD, PROVIDER);
double df1 = PROVIDER.discountFactor(USD, PAYMENT_DATE);
double df2 = PROVIDER.discountFactor(KRW, PAYMENT_DATE);
double spot = PROVIDER.fxRate(USD, KRW);
FxRate expected = FxRate.of(USD, KRW, spot * df1 / df2);
assertEquals(computed, expected);
}
public virtual void test_forwardFxRate()
{
assertEquals(TRADE_PRICER.forwardFxRate(TRADE, PROVIDER), PRODUCT_PRICER.forwardFxRate(PRODUCT, PROVIDER));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the forward exchange rate.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the forward rate </returns>
public virtual FxRate forwardFxRate(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.forwardFxRate(trade.Product, provider));
}
