public virtual void test_cashFlowEquivalentAndSensitivity_compounding()
{
RatePaymentPeriod iborCmp = RatePaymentPeriod.builder().paymentDate(PAYMENT2).accrualPeriods(IBOR1, IBOR2).dayCount(ACT_365F).currency(GBP).notional(-NOTIONAL).build();
ResolvedSwapLeg iborLegCmp = ResolvedSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(iborCmp).build();
ResolvedSwap swap1 = ResolvedSwap.of(iborLegCmp, FIXED_LEG);
assertThrowsIllegalArg(() => CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap1, PROVIDER));
RatePaymentPeriod fixedCmp = RatePaymentPeriod.builder().paymentDate(PAYMENT2).accrualPeriods(FIXED1, FIXED2).dayCount(ACT_365F).currency(GBP).notional(NOTIONAL).build();
ResolvedSwapLeg fixedLegCmp = ResolvedSwapLeg.builder().type(FIXED).payReceive(RECEIVE).paymentPeriods(fixedCmp).build();
ResolvedSwap swap2 = ResolvedSwap.of(IBOR_LEG, fixedLegCmp);
assertThrowsIllegalArg(() => CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap2, 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);
}