//-------------------------------------------------------------------------
public virtual void test_toFxForwardSensitivity()
{
FxIndexSensitivity test = FxIndexSensitivity.of(GBP_USD_WM_OBS, GBP, USD, SENSITIVITY_VALUE);
LocalDate maturityDate = GBP_USD_WM.calculateMaturityFromFixing(FIXING_DATE, REF_DATA);
FxForwardSensitivity expected = FxForwardSensitivity.of(CurrencyPair.of(GBP, USD), GBP, maturityDate, USD, SENSITIVITY_VALUE);
assertEquals(test.toFxForwardSensitivity(), expected);
}
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 pointAndParameterFx()
{
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
ImmutableRatesProvider test_gbp_up = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP_UP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
ImmutableRatesProvider test_gbp_dw = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP_DOWN).discountCurve(USD, DISCOUNT_CURVE_USD).build();
ImmutableRatesProvider test_usd_up = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD_UP).build();
ImmutableRatesProvider test_usd_dw = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD_DOWN).build();
LocalDate matuirtyDate = GBP_USD_WM.calculateMaturityFromFixing(VAL_DATE, REF_DATA);
double maturityTime = DAY_COUNT.relativeYearFraction(VAL_DATE, matuirtyDate);
// GBP based
FxIndexObservation obs = FxIndexObservation.of(GBP_USD_WM, VAL_DATE, REF_DATA);
PointSensitivityBuilder sensiBuildCmpGBP = test.fxIndexRates(GBP_USD_WM).ratePointSensitivity(obs, GBP);
FxIndexSensitivity sensiBuildExpGBP = FxIndexSensitivity.of(obs, GBP, USD, 1.0);
assertTrue(sensiBuildCmpGBP.Equals(sensiBuildExpGBP));
double sense_gbp1 = 0.5 * (test_gbp_up.fxIndexRates(GBP_USD_WM).rate(obs, GBP) - test_gbp_dw.fxIndexRates(GBP_USD_WM).rate(obs, GBP)) / EPS_FD * (-maturityTime * GBP_DSC);
double sense_usd1 = 0.5 * (test_usd_up.fxIndexRates(GBP_USD_WM).rate(obs, GBP) - test_usd_dw.fxIndexRates(GBP_USD_WM).rate(obs, GBP)) / EPS_FD * (-maturityTime * USD_DSC);
PointSensitivityBuilder sensiBuildDecGBP = ZeroRateSensitivity.of(GBP, maturityTime, USD, sense_gbp1);
sensiBuildDecGBP = sensiBuildDecGBP.combinedWith(ZeroRateSensitivity.of(USD, maturityTime, USD, sense_usd1));
CurrencyParameterSensitivities paramSensiCmpGBP = test.parameterSensitivity(sensiBuildCmpGBP.build().normalized());
CurrencyParameterSensitivities paramSensiExpGBP = test.parameterSensitivity(sensiBuildDecGBP.build().normalized());
assertTrue(paramSensiCmpGBP.equalWithTolerance(paramSensiExpGBP, EPS_FD));
// USD based
PointSensitivityBuilder sensiBuildCmpUSD = test.fxIndexRates(GBP_USD_WM).ratePointSensitivity(obs, USD);
FxIndexSensitivity sensiBuildExpUSD = FxIndexSensitivity.of(obs, USD, GBP, 1.0);
assertTrue(sensiBuildCmpUSD.Equals(sensiBuildExpUSD));
double sense_gbp2 = 0.5 * (test_gbp_up.fxIndexRates(GBP_USD_WM).rate(obs, USD) - test_gbp_dw.fxIndexRates(GBP_USD_WM).rate(obs, USD)) / EPS_FD * (-maturityTime * GBP_DSC);
double sense_usd2 = 0.5 * (test_usd_up.fxIndexRates(GBP_USD_WM).rate(obs, USD) - test_usd_dw.fxIndexRates(GBP_USD_WM).rate(obs, USD)) / EPS_FD * (-maturityTime * USD_DSC);
PointSensitivityBuilder sensiBuildDecUSD = ZeroRateSensitivity.of(GBP, maturityTime, GBP, sense_gbp2);
sensiBuildDecUSD = sensiBuildDecUSD.combinedWith(ZeroRateSensitivity.of(USD, maturityTime, GBP, sense_usd2));
CurrencyParameterSensitivities paramSensiCmpUSD = test.parameterSensitivity(sensiBuildCmpUSD.build().normalized());
CurrencyParameterSensitivities paramSensiExpUSD = test.parameterSensitivity(sensiBuildDecUSD.build().normalized());
assertTrue(paramSensiCmpUSD.equalWithTolerance(paramSensiExpUSD, EPS_FD));
}
