// resolve the FX rate sensitivity from the FX reset
private PointSensitivityBuilder fxRateSensitivity(RatePaymentPeriod paymentPeriod, RatesProvider provider)
{
if (paymentPeriod.FxReset.Present)
{
FxReset fxReset = paymentPeriod.FxReset.get();
FxIndexRates rates = provider.fxIndexRates(fxReset.Observation.Index);
return(rates.ratePointSensitivity(fxReset.Observation, fxReset.ReferenceCurrency));
}
return(PointSensitivityBuilder.none());
}
//-------------------------------------------------------------------------
// resolve the FX rate from the FX reset, returning an FX rate of 1 if not applicable
private double fxRate(RatePaymentPeriod paymentPeriod, RatesProvider provider)
{
// inefficient to use Optional.orElse because double primitive type would be boxed
if (paymentPeriod.FxReset.Present)
{
FxReset fxReset = paymentPeriod.FxReset.get();
FxIndexRates rates = provider.fxIndexRates(fxReset.Observation.Index);
return(rates.rate(fxReset.Observation, fxReset.ReferenceCurrency));
}
else
{
return(1d);
}
}
//-------------------------------------------------------------------------
public virtual MultiCurrencyAmount currencyExposure(RatePaymentPeriod period, RatesProvider provider)
{
double df = provider.discountFactor(period.Currency, period.PaymentDate);
if (period.FxReset.Present)
{
FxReset fxReset = period.FxReset.get();
LocalDate fixingDate = fxReset.Observation.FixingDate;
FxIndexRates rates = provider.fxIndexRates(fxReset.Observation.Index);
if (!fixingDate.isAfter(provider.ValuationDate) && rates.Fixings.get(fixingDate).HasValue)
{
double fxRate = rates.rate(fxReset.Observation, fxReset.ReferenceCurrency);
return(MultiCurrencyAmount.of(period.Currency, accrualWithNotional(period, period.Notional * fxRate * df, provider)));
}
double fxRateSpotSensitivity = rates.FxForwardRates.rateFxSpotSensitivity(fxReset.ReferenceCurrency, fxReset.Observation.MaturityDate);
return(MultiCurrencyAmount.of(fxReset.ReferenceCurrency, accrualWithNotional(period, period.Notional * fxRateSpotSensitivity * df, provider)));
}
return(MultiCurrencyAmount.of(period.Currency, accrualWithNotional(period, period.Notional * df, provider)));
}
public virtual void currency_exposure_USD()
{
LocalDate startDate = LocalDate.of(2016, 8, 2);
LocalDate fixingDate = LocalDate.of(2016, 11, 2);
LocalDate endDate = LocalDate.of(2016, 11, 4);
double yearFraction = 0.25;
double rate = 0.10;
RateAccrualPeriod accrual = RateAccrualPeriod.builder().startDate(startDate).endDate(endDate).yearFraction(yearFraction).rateComputation(FixedRateComputation.of(rate)).build();
double notional = 1000000;
RatePaymentPeriod fixedFx = RatePaymentPeriod.builder().accrualPeriods(accrual).fxReset(FxReset.of(FxIndexObservation.of(FxIndices.GBP_USD_WM, fixingDate, REF_DATA), USD)).notional(notional).paymentDate(endDate).dayCount(DayCounts.ONE_ONE).currency(GBP).build(); // 1_000_000 USD paid in GBP at maturity
PointSensitivityBuilder pts = PERIOD_PRICER.presentValueSensitivity(fixedFx, PROVIDER);
MultiCurrencyAmount ceComputed = PERIOD_PRICER.currencyExposure(fixedFx, PROVIDER);
double dfUsd = PROVIDER.discountFactor(USD, endDate);
double ceUsdExpected = notional * yearFraction * rate * dfUsd;
assertEquals(ceComputed.getAmount(USD).Amount, ceUsdExpected, 1.0E-6);
MultiCurrencyAmount ceWithoutPvComputed = PROVIDER.currencyExposure(pts.build().convertedTo(USD, PROVIDER));
CurrencyAmount pvComputed = CurrencyAmount.of(GBP, PERIOD_PRICER.presentValue(fixedFx, PROVIDER));
MultiCurrencyAmount ceComputed2 = ceWithoutPvComputed.plus(pvComputed);
assertEquals(ceComputed2.getAmount(USD).Amount, ceUsdExpected, TOLERANCE);
assertEquals(ceComputed2.getAmount(GBP).Amount, 0.0, TOLERANCE);
}
