//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
OvernightFutureTradeCalculationFunction <OvernightFutureTrade> function = OvernightFutureTradeCalculationFunction.TRADE;
ISet <Measure> measures = function.supportedMeasures();
FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA);
assertThat(reqs.OutputCurrencies).Empty;
assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(FORWARD_CURVE_ID, QUOTE_KEY));
assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of(IndexQuoteId.of(INDEX)));
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY);
}
public virtual void test_simpleMeasures()
{
OvernightFutureTradeCalculationFunction <OvernightFutureTrade> function = OvernightFutureTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData(FORWARD_CURVE_ID.CurveName);
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
double expectedPrice = TRADE_PRICER.price(RESOLVED_TRADE, provider);
CurrencyAmount expectedPv = TRADE_PRICER.presentValue(RESOLVED_TRADE, provider, MARKET_PRICE / 100d);
double expectedParSpread = TRADE_PRICER.parSpread(RESOLVED_TRADE, provider, MARKET_PRICE / 100d);
ISet <Measure> measures = ImmutableSet.of(Measures.UNIT_PRICE, Measures.PRESENT_VALUE, Measures.PAR_SPREAD, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.UNIT_PRICE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedPrice)))).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RESOLVED_TRADE));
}