/// <summary>
/// Test the expected exception is thrown if there are not the same number of rates as there are values.
/// </summary>
public virtual void wrongNumberOfFxRates()
{
DoubleArray values = DoubleArray.of(1, 2, 3);
FxRateScenarioArray rates = FxRateScenarioArray.of(GBP, USD, DoubleArray.of(1.61, 1.62));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates);
CurrencyScenarioArray test = CurrencyScenarioArray.of(GBP, values);
assertThrows(() => test.convertedTo(USD, fxProvider), typeof(System.ArgumentException), "Expected 3 FX rates but received 2");
}
/// <summary>
/// Test the expected exception is thrown when there are no FX rates available to convert the values.
/// </summary>
public virtual void missingFxRates()
{
DoubleArray values = DoubleArray.of(1, 2, 3);
FxRateScenarioArray rates = FxRateScenarioArray.of(EUR, USD, DoubleArray.of(1.61, 1.62, 1.63));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates);
CurrencyScenarioArray test = CurrencyScenarioArray.of(GBP, values);
assertThrows(() => test.convertedTo(USD, fxProvider), typeof(System.ArgumentException));
}
public virtual void wrongNumberOfFxRates()
{
FxRateScenarioArray rates = FxRateScenarioArray.of(GBP, USD, DoubleArray.of(1.61, 1.62, 1.63));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates);
IList <CurrencyAmount> values = ImmutableList.of(CurrencyAmount.of(Currency.GBP, 1), CurrencyAmount.of(Currency.GBP, 2));
DefaultScenarioArray <CurrencyAmount> test = DefaultScenarioArray.of(values);
assertThrows(() => test.convertedTo(Currency.USD, fxProvider), typeof(System.ArgumentException), "Expected 2 FX rates but received 3");
}
public virtual void missingFxRates()
{
FxRateScenarioArray rates = FxRateScenarioArray.of(EUR, USD, DoubleArray.of(1.61, 1.62, 1.63));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates);
IList <CurrencyAmount> values = ImmutableList.of(CurrencyAmount.of(Currency.GBP, 1), CurrencyAmount.of(Currency.GBP, 2), CurrencyAmount.of(Currency.GBP, 3));
DefaultScenarioArray <CurrencyAmount> test = DefaultScenarioArray.of(values);
assertThrows(() => test.convertedTo(Currency.USD, fxProvider), typeof(System.ArgumentException));
}
public virtual void convert()
{
FxRateScenarioArray rates1 = FxRateScenarioArray.of(GBP, CAD, DoubleArray.of(2.00, 2.01, 2.02));
FxRateScenarioArray rates2 = FxRateScenarioArray.of(USD, CAD, DoubleArray.of(1.30, 1.31, 1.32));
FxRateScenarioArray rates3 = FxRateScenarioArray.of(EUR, CAD, DoubleArray.of(1.4, 1.4, 1.4));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates1, rates2, rates3);
CurrencyScenarioArray convertedArray = VALUES_ARRAY.convertedTo(Currency.CAD, fxProvider);
DoubleArray expected = DoubleArray.of(20 * 2.00 + 30 * 1.30 + 40 * 1.4, 21 * 2.01 + 32 * 1.31 + 43 * 1.4, 22 * 2.02 + 33 * 1.32 + 44 * 1.4);
assertThat(convertedArray.Amounts.Values).isEqualTo(expected);
}
/// <summary>
/// Test that no conversion is done and no rates are used if the values are already in the reporting currency.
/// </summary>
public virtual void noConversionNecessary()
{
DoubleArray values = DoubleArray.of(1, 2, 3);
FxRateScenarioArray rates = FxRateScenarioArray.of(GBP, USD, DoubleArray.of(1.61, 1.62, 1.63));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates);
CurrencyScenarioArray test = CurrencyScenarioArray.of(GBP, values);
CurrencyScenarioArray convertedList = test.convertedTo(GBP, fxProvider);
assertThat(convertedList).isEqualTo(test);
}
//-------------------------------------------------------------------------
/// <summary>
/// Test that values are converted to the reporting currency using the rates in the market data.
/// </summary>
public virtual void convert()
{
DoubleArray values = DoubleArray.of(1, 2, 3);
FxRateScenarioArray rates = FxRateScenarioArray.of(GBP, USD, DoubleArray.of(1.61, 1.62, 1.63));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates);
CurrencyScenarioArray test = CurrencyScenarioArray.of(GBP, values);
CurrencyScenarioArray convertedList = test.convertedTo(USD, fxProvider);
DoubleArray expectedValues = DoubleArray.of(1 * 1.61, 2 * 1.62, 3 * 1.63);
CurrencyScenarioArray expectedList = CurrencyScenarioArray.of(USD, expectedValues);
assertThat(convertedList).isEqualTo(expectedList);
}
public virtual void notConvertible()
{
FxRateScenarioArray rates = FxRateScenarioArray.of(GBP, USD, DoubleArray.of(1.61, 1.62, 1.63));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates);
IList <string> values = ImmutableList.of("a", "b", "c");
DefaultScenarioArray <string> test = DefaultScenarioArray.of(values);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: ScenarioArray<?> convertedList = test.convertedTo(com.opengamma.strata.basics.currency.Currency.GBP, fxProvider);
ScenarioArray <object> convertedList = test.convertedTo(Currency.GBP, fxProvider);
assertThat(convertedList).isEqualTo(test);
}
public virtual void convertCurrencyAmount()
{
FxRateScenarioArray rates = FxRateScenarioArray.of(GBP, USD, DoubleArray.of(1.61, 1.62, 1.63));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates);
SingleScenarioArray <CurrencyAmount> test = SingleScenarioArray.of(3, CurrencyAmount.of(GBP, 2));
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: ScenarioArray<?> convertedList = test.convertedTo(USD, fxProvider);
ScenarioArray <object> convertedList = test.convertedTo(USD, fxProvider);
IList <CurrencyAmount> expectedValues = ImmutableList.of(CurrencyAmount.of(USD, 2 * 1.61), CurrencyAmount.of(USD, 2 * 1.62), CurrencyAmount.of(USD, 2 * 1.63));
DefaultScenarioArray <CurrencyAmount> expectedList = DefaultScenarioArray.of(expectedValues);
assertThat(convertedList).isEqualTo(expectedList);
}
public virtual void convertIntoAnExistingCurrency()
{
FxRateScenarioArray rates1 = FxRateScenarioArray.of(USD, GBP, DoubleArray.of(1 / 1.50, 1 / 1.51, 1 / 1.52));
FxRateScenarioArray rates2 = FxRateScenarioArray.of(EUR, GBP, DoubleArray.of(0.7, 0.7, 0.7));
ScenarioFxRateProvider fxProvider = new TestScenarioFxRateProvider(rates1, rates2);
CurrencyScenarioArray convertedArray = VALUES_ARRAY.convertedTo(Currency.GBP, fxProvider);
assertThat(convertedArray.Currency).isEqualTo(Currency.GBP);
double[] expected = new double[] { 20 + 30 / 1.50 + 40 * 0.7, 21 + 32 / 1.51 + 43 * 0.7, 22 + 33 / 1.52 + 44 * 0.7 };
for (int i = 0; i < 3; i++)
{
assertThat(convertedArray.get(i).Amount).isEqualTo(expected[i], offset(1e-6));
}
}
public FxRateProviderAnonymousInnerClass(TestScenarioFxRateProvider outerInstance, int scenarioIndex)
{
this.outerInstance = outerInstance;
this.scenarioIndex = scenarioIndex;
}