//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
CmsTradeCalculationFunction function = new CmsTradeCalculationFunction();
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, SWAPTION_ID));
assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of(IndexQuoteId.of(INDEX)));
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY);
}
public virtual void test_simpleMeasures()
{
CmsTradeCalculationFunction function = new CmsTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
SabrExtrapolationReplicationCmsTradePricer pricer = new SabrExtrapolationReplicationCmsTradePricer(new SabrExtrapolationReplicationCmsProductPricer(new SabrExtrapolationReplicationCmsLegPricer(SabrExtrapolationReplicationCmsPeriodPricer.of(CUT_OFF_STRIKE, MU))));
ResolvedCmsTrade resolved = TRADE.resolve(REF_DATA);
MultiCurrencyAmount expectedPv = pricer.presentValue(resolved, provider, VOLS);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(TRADE.resolve(REF_DATA)));
}
