//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
SimpleRatesProvider prov = createProvider(NOTIONAL_EXCHANGE_REC_GBP);
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
double calculated = test.presentValue(NOTIONAL_EXCHANGE_REC_GBP, prov);
assertEquals(calculated, NOTIONAL_EXCHANGE_REC_GBP.PaymentAmount.Amount * DISCOUNT_FACTOR, 0d);
}
private IList <ZeroRateSensitivity> dscSensitivityFD(RatesProvider provider, NotionalExchange @event, double eps)
{
Currency currency = @event.Currency;
LocalDate paymentDate = @event.PaymentDate;
double discountFactor = provider.discountFactor(currency, paymentDate);
double paymentTime = DAY_COUNT.relativeYearFraction(VAL_DATE, paymentDate);
RatesProvider provUp = mock(typeof(RatesProvider));
RatesProvider provDw = mock(typeof(RatesProvider));
when(provUp.ValuationDate).thenReturn(VAL_DATE);
when(provUp.discountFactor(currency, paymentDate)).thenReturn(discountFactor * Math.Exp(-eps * paymentTime));
when(provDw.ValuationDate).thenReturn(VAL_DATE);
when(provDw.discountFactor(currency, paymentDate)).thenReturn(discountFactor * Math.Exp(eps * paymentTime));
DiscountingNotionalExchangePricer pricer = DiscountingNotionalExchangePricer.DEFAULT;
double pvUp = pricer.presentValue(@event, provUp);
double pvDw = pricer.presentValue(@event, provDw);
double res = 0.5 * (pvUp - pvDw) / eps;
IList <ZeroRateSensitivity> zeroRateSensi = new List <ZeroRateSensitivity>();
zeroRateSensi.Add(ZeroRateSensitivity.of(currency, paymentTime, res));
return(zeroRateSensi);
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
MultiCurrencyAmount computed = test.currencyExposure(NOTIONAL_EXCHANGE_REC_GBP, prov);
PointSensitivities point = test.presentValueSensitivity(NOTIONAL_EXCHANGE_REC_GBP, prov).build();
MultiCurrencyAmount expected = prov.currencyExposure(point).plus(CurrencyAmount.of(NOTIONAL_EXCHANGE_REC_GBP.Currency, test.presentValue(NOTIONAL_EXCHANGE_REC_GBP, prov)));
assertEquals(computed, expected);
}