//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
MultiCurrencyAmount computed = test.currencyExposure(NOTIONAL_EXCHANGE_REC_GBP, prov);
PointSensitivities point = test.presentValueSensitivity(NOTIONAL_EXCHANGE_REC_GBP, prov).build();
MultiCurrencyAmount expected = prov.currencyExposure(point).plus(CurrencyAmount.of(NOTIONAL_EXCHANGE_REC_GBP.Currency, test.presentValue(NOTIONAL_EXCHANGE_REC_GBP, prov)));
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
SimpleRatesProvider prov = createProvider(NOTIONAL_EXCHANGE_REC_GBP);
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
PointSensitivities senseComputed = test.presentValueSensitivity(NOTIONAL_EXCHANGE_REC_GBP, prov).build();
double eps = 1.0e-7;
PointSensitivities senseExpected = PointSensitivities.of(dscSensitivityFD(prov, NOTIONAL_EXCHANGE_REC_GBP, eps));
assertTrue(senseComputed.equalWithTolerance(senseExpected, NOTIONAL_EXCHANGE_REC_GBP.PaymentAmount.Amount * eps));
}
