public virtual void test_rate()
{
SimpleRatesProvider prov = new SimpleRatesProvider();
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE);
IborIndexRates mockIbor = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
prov.IborRates = mockIbor;
ForwardIborRateComputationFn obsFn = ForwardIborRateComputationFn.DEFAULT;
assertEquals(obsFn.rate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov), RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov, builder), RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 1);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_START_DATE), FORWARD_START_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_END_DATE), FORWARD_END_DATE);
assertEquals(built.get(ExplainKey.COMBINED_RATE), RATE);
}
public virtual void test_rateSensitivity()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
when(mockIbor.ratePointSensitivity(GBP_LIBOR_3M_COMP.Observation)).thenReturn(SENSITIVITY);
ForwardIborRateComputationFn obsFn = ForwardIborRateComputationFn.DEFAULT;
assertEquals(obsFn.rateSensitivity(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov), SENSITIVITY);
}