//-------------------------------------------------------------------------
/// <summary>
/// Test cash flow for ISDA FRA Discounting method.
/// </summary>
public virtual void test_cashFlows_ISDA()
{
ResolvedFra fraExp = RFRA;
SimpleRatesProvider prov = createProvider(fraExp);
double fixedRate = FRA.FixedRate;
double yearFraction = fraExp.YearFraction;
double notional = fraExp.Notional;
double expected = notional * yearFraction * (FORWARD_RATE - fixedRate) / (1.0 + yearFraction * FORWARD_RATE);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CashFlows computed = test.cashFlows(fraExp, prov);
assertEquals(computed.getCashFlows().size(), 1);
assertEquals(computed.getCashFlows().size(), 1);
assertEquals(computed.getCashFlows().get(0).PaymentDate, fraExp.PaymentDate);
assertEquals(computed.getCashFlows().get(0).ForecastValue.Currency, fraExp.Currency);
assertEquals(computed.getCashFlows().get(0).ForecastValue.Amount, expected, TOLERANCE);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(testTrade.cashFlows(RFRA_TRADE, prov), test.cashFlows(fraExp, prov));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the future cash flow of the FRA trade.
/// <para>
/// There is only one cash flow on the payment date for the FRA trade.
/// The expected currency amount of the cash flow is the same as <seealso cref="#forecastValue(ResolvedFraTrade, RatesProvider)"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the cash flows </returns>
public virtual CashFlows cashFlows(ResolvedFraTrade trade, RatesProvider provider)
{
return(productPricer.cashFlows(trade.Product, provider));
}
