public virtual void test_volatility_inverse()
{
for (int i = 0; i < NB_EXPIRY; i++)
{
double expiryTime = VOLS.relativeTime(TEST_EXPIRY[i]);
for (int j = 0; j < NB_STRIKE; ++j)
{
double volExpected = SURFACE.zValue(expiryTime, TEST_STRIKE[j]);
double volComputed = VOLS.volatility(CURRENCY_PAIR.inverse(), TEST_EXPIRY[i], 1d / TEST_STRIKE[j], 1d / FORWARD[i]);
assertEquals(volComputed, volExpected, TOLERANCE);
}
}
}
public virtual void requirementsInverse()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
MarketDataRequirements requirements = function.requirements(FxRateId.of(CURRENCY_PAIR.inverse()), config());
assertThat(requirements).isEqualTo(MarketDataRequirements.of(QUOTE_ID));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from currency pair, reference currency, reference date and sensitivity value.
/// <para>
/// The sensitivity currency is defaulted to be a currency of the currency pair that is not the reference currency.
///
/// </para>
/// </summary>
/// <param name="currencyPair"> the currency pair </param>
/// <param name="referenceCurrency"> the reference currency </param>
/// <param name="referenceDate"> the reference date </param>
/// <param name="sensitivity"> the value of the sensitivity </param>
/// <returns> the point sensitivity object </returns>
public static FxForwardSensitivity of(CurrencyPair currencyPair, Currency referenceCurrency, LocalDate referenceDate, double sensitivity)
{
bool inverse = referenceCurrency.Equals(currencyPair.Counter);
CurrencyPair pair = inverse ? currencyPair.inverse() : currencyPair;
Currency sensitivityCurrency = pair.Counter;
return(new FxForwardSensitivity(currencyPair, referenceCurrency, referenceDate, sensitivityCurrency, sensitivity));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from the observation, reference currency and sensitivity value.
/// <para>
/// The sensitivity currency is defaulted to be the counter currency of queried currency pair.
///
/// </para>
/// </summary>
/// <param name="observation"> the rate observation, including the fixing date </param>
/// <param name="referenceCurrency"> the reference currency </param>
/// <param name="sensitivity"> the value of the sensitivity </param>
/// <returns> the point sensitivity object </returns>
public static FxIndexSensitivity of(FxIndexObservation observation, Currency referenceCurrency, double sensitivity)
{
CurrencyPair obsPair = observation.CurrencyPair;
bool inverse = referenceCurrency.Equals(obsPair.Counter);
CurrencyPair queriedPair = inverse ? obsPair.inverse() : obsPair;
Currency sensiCurrency = queriedPair.Counter;
return(new FxIndexSensitivity(observation, referenceCurrency, sensiCurrency, sensitivity));
}
public virtual void containsInversePair()
{
assertThat(config().getObservableRateKey(CURRENCY_PAIR.inverse())).hasValue(QUOTE_KEY);
}