//------------------------------------------------------------------------- /// <summary> /// Test present value for ISDA FRA Discounting method. /// </summary> public virtual void test_presentValue_ISDA() { SimpleRatesProvider prov = createProvider(RFRA); DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT; CurrencyAmount pvComputed = test.presentValue(RFRA, prov); CurrencyAmount pvExpected = test.forecastValue(RFRA, prov).multipliedBy(DISCOUNT_FACTOR); assertEquals(pvComputed.Amount, pvExpected.Amount, TOLERANCE); // test via FraTrade DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test); assertEquals(testTrade.presentValue(RFRA_TRADE, prov), test.presentValue(RFRA, prov)); }
//------------------------------------------------------------------------- public virtual void test_currencyExposure() { assertEquals(PRICER_TRADE.currencyExposure(RFRA_TRADE, RATES_PROVIDER), MultiCurrencyAmount.of(PRICER_TRADE.presentValue(RFRA_TRADE, RATES_PROVIDER))); }