//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
MultiCurrencyAmount computed = PRICER.currencyExposure(FWD, PROVIDER);
MultiCurrencyAmount expected = PRICER.presentValue(FWD, PROVIDER);
assertEquals(computed, expected);
}
// Checks that the NDF currency exposure is coherent with the standard FX forward present value.
public virtual void test_currencyExposureVsForex()
{
MultiCurrencyAmount pvNDF = PRICER.currencyExposure(NDF, PROVIDER);
MultiCurrencyAmount pvFX = PRICER_FX.currencyExposure(FOREX, PROVIDER);
assertEquals(pvNDF.getAmount(USD).Amount, pvFX.getAmount(USD).Amount, NOMINAL_USD * TOL);
assertEquals(pvNDF.getAmount(KRW).Amount, pvFX.getAmount(KRW).Amount, NOMINAL_USD * TOL * FX_MATRIX.fxRate(USD, KRW));
}
public virtual void test_currencyExposure()
{
assertEquals(TRADE_PRICER.currencyExposure(TRADE, PROVIDER), PRODUCT_PRICER.currencyExposure(PRODUCT, PROVIDER));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure by discounting each payment in its own currency.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.currencyExposure(trade.Product, provider));
}
