public virtual void test_simpleMeasures()
{
FxSwapTradeCalculationFunction function = new FxSwapTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingFxSwapTradePricer pricer = DiscountingFxSwapTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExp = pricer.currencyExposure(RTRADE, provider);
MultiCurrencyAmount expectedCash = pricer.currentCash(RTRADE, provider);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.FORWARD_FX_RATE, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExp)))).containsEntry(Measures.CURRENT_CASH, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_pv01()
{
FxSwapTradeCalculationFunction function = new FxSwapTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingFxSwapTradePricer pricer = DiscountingFxSwapTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01 = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedBucketedPv01 = pvParamSens.multipliedBy(1e-4);
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedBucketedPv01))));
}
