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_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_nonMatchingCurrency()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
assertThrowsIllegalArg(() => test.ratePointSensitivity(OBS_EUR_VAL, EUR));
}
