Esempio n. 1
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        //-------------------------------------------------------------------------
        public virtual void test_toFxForwardSensitivity()
        {
            FxIndexSensitivity   test         = FxIndexSensitivity.of(GBP_USD_WM_OBS, GBP, USD, SENSITIVITY_VALUE);
            LocalDate            maturityDate = GBP_USD_WM.calculateMaturityFromFixing(FIXING_DATE, REF_DATA);
            FxForwardSensitivity expected     = FxForwardSensitivity.of(CurrencyPair.of(GBP, USD), GBP, maturityDate, USD, SENSITIVITY_VALUE);

            assertEquals(test.toFxForwardSensitivity(), expected);
        }
 public MultiCurrencyAmount currencyExposure(FxIndexSensitivity pointSensitivity)
 {
     return(fxForwardRates.currencyExposure(pointSensitivity.toFxForwardSensitivity()));
 }
 //-------------------------------------------------------------------------
 public CurrencyParameterSensitivities parameterSensitivity(FxIndexSensitivity pointSensitivity)
 {
     return(fxForwardRates.parameterSensitivity(pointSensitivity.toFxForwardSensitivity()));
 }