//------------------------------------------------------------------------- public virtual void test_requirementsAndCurrency() { FxSwapTradeCalculationFunction function = new FxSwapTradeCalculationFunction(); ISet <Measure> measures = function.supportedMeasures(); FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA); assertThat(reqs.OutputCurrencies).containsExactly(GBP, USD); assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(DISCOUNT_CURVE_GBP_ID, DISCOUNT_CURVE_USD_ID)); assertThat(reqs.TimeSeriesRequirements).Empty; assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(GBP); }
public virtual void test_simpleMeasures() { FxSwapTradeCalculationFunction function = new FxSwapTradeCalculationFunction(); ScenarioMarketData md = marketData(); RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0)); DiscountingFxSwapTradePricer pricer = DiscountingFxSwapTradePricer.DEFAULT; MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider); double expectedParSpread = pricer.parSpread(RTRADE, provider); MultiCurrencyAmount expectedCurrencyExp = pricer.currencyExposure(RTRADE, provider); MultiCurrencyAmount expectedCash = pricer.currentCash(RTRADE, provider); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.FORWARD_FX_RATE, 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.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExp)))).containsEntry(Measures.CURRENT_CASH, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }
public virtual void test_pv01() { FxSwapTradeCalculationFunction function = new FxSwapTradeCalculationFunction(); ScenarioMarketData md = marketData(); RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0)); DiscountingFxSwapTradePricer pricer = DiscountingFxSwapTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01 = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedBucketedPv01 = pvParamSens.multipliedBy(1e-4); ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedBucketedPv01)))); }