public void ForwardFact()
{
var orgin = new DateTime(2019, 06, 12);
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var fixDates = new[] { orgin };
var x = new Forward()
{
AssetId = "QS",
DiscountCurve = "X",
ExpiryDate = orgin,
FxConversionType = FxConversionType.None,
Notional = 1,
PaymentCurrency = usd,
PaymentDate = orgin,
SpotLag = 0.Bd(),
Strike = 1000,
};
var xFx = new Forward()
{
AssetId = "USD/ZAR",
DiscountCurve = "Y",
ExpiryDate = orgin,
FxConversionType = FxConversionType.None,
Notional = 1,
PaymentCurrency = usd,
PaymentDate = orgin,
SpotLag = 0.Bd(),
Strike = 1000,
};
var x2 = new Forward()
{
AssetId = "QS",
DiscountCurve = "X",
ExpiryDate = orgin,
FxConversionType = FxConversionType.AverageThenConvert,
Notional = 1,
PaymentCurrency = zar,
PaymentDate = orgin,
SpotLag = 0.Bd(),
Strike = 1000,
};
var fakeModel = new Mock <IAssetFxModel>();
var c = new ConstantPriceCurve(100, DateTime.Today, TestProviderHelper.CurrencyProvider)
{
Currency = usd
};
fakeModel.Setup(xx => xx.GetPriceCurve(It.IsAny <string>(), null)).Returns(c);
fakeModel.Setup(xx => xx.BuildDate).Returns(DateTime.Today);
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(usd, orgin, new Dictionary <Currency, double>(), new List <FxPair>(), new Dictionary <Currency, string> {
{ usd, "X" }, { zar, "Y" }
});
var fModel = new Mock <IFundingModel>();
fModel.Setup(xx => xx.FxMatrix).Returns(fxMatrix);
fakeModel.Setup(xx => xx.FundingModel).Returns(fModel.Object);
Assert.Equal(usd, x.Currency);
Assert.Equal(usd, x.PaymentCurrency);
var a = x.AssetIds;
Assert.Contains("QS", a);
Assert.Single(x.IrCurves(fakeModel.Object));
var ir2 = xFx.IrCurves(fakeModel.Object);
Assert.Contains("X", ir2);
Assert.Contains("Y", ir2);
ir2 = x2.IrCurves(fakeModel.Object);
Assert.Contains("X", ir2);
Assert.Contains("Y", ir2);
Assert.Equal(string.Empty, x.FxPair(fakeModel.Object));
Assert.Equal("USD/ZAR", x2.FxPair(fakeModel.Object));
Assert.Equal(FxConversionType.None, x.FxType(fakeModel.Object));
Assert.Equal(orgin, x.LastSensitivityDate);
var pf = x.PastFixingDates(orgin.AddDays(1));
Assert.Contains("QS", pf.Keys);
var y = (Forward)x.Clone();
Assert.True(x.Equals(y));
y.TradeId = "xxx";
Assert.False(x.Equals(y));
var z = (Forward)x.SetStrike(0);
Assert.Equal(0, z.Strike);
Assert.Equal(1.0, z.SupervisoryDelta(fakeModel.Object));
}