public virtual void test_rate_onValuation_fixing()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
assertEquals(test.rate(OBS_VAL, GBP), RATE_VAL);
assertEquals(test.rate(OBS_VAL, USD), 1d / RATE_VAL);
}
public virtual void test_rate_afterValuation()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
LocalDate maturityDate = GBP_USD_WM.calculateMaturityFromFixing(DATE_AFTER, REF_DATA);
double dfCcyBaseAtMaturity = DFCURVE_GBP.discountFactor(maturityDate);
double dfCcyCounterAtMaturity = DFCURVE_USD.discountFactor(maturityDate);
double expected = FX_RATE.fxRate(GBP, USD) * (dfCcyBaseAtMaturity / dfCcyCounterAtMaturity);
assertEquals(test.rate(OBS_AFTER, GBP), expected, 1e-8);
assertEquals(test.rate(OBS_AFTER, USD), 1d / expected, 1e-8);
}
public virtual void test_rate_nonMatchingCurrency()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
assertThrowsIllegalArg(() => test.rate(OBS_EUR_VAL, EUR));
}
public virtual void test_rate_beforeValuation_noFixing_notEmptySeries()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES_MINIMAL);
assertThrowsIllegalArg(() => test.rate(OBS_BEFORE, GBP));
}
