//------------------------------------------------------------------------- public virtual void test_requirementsAndCurrency() { IborCapFloorTradeCalculationFunction function = new IborCapFloorTradeCalculationFunction(); ISet <Measure> measures = function.supportedMeasures(); FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA); assertThat(reqs.OutputCurrencies).containsOnly(CURRENCY); assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(DISCOUNT_CURVE_ID, FORWARD_CURVE_ID, VOL_ID)); assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of(IndexQuoteId.of(INDEX))); assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY); }
public virtual void test_simpleMeasures() { IborCapFloorTradeCalculationFunction function = new IborCapFloorTradeCalculationFunction(); ScenarioMarketData md = marketData(); RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0)); NormalIborCapFloorTradePricer pricer = NormalIborCapFloorTradePricer.DEFAULT; MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS); MultiCurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider, VOLS); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))); }