//-------------------------------------------------------------------------
public virtual void test_forecastValue()
{
SimpleRatesProvider prov = createProvider(FX_RESET_NOTIONAL_EXCHANGE_REC_USD);
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
double calculated = test.forecastValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
assertEquals(calculated, FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Notional * FX_RATE, 0d);
}
//-------------------------------------------------------------------------
public virtual void test_forecastValueSensitivity()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
FxResetNotionalExchange[] expanded = new FxResetNotionalExchange[] { FX_RESET_NOTIONAL_EXCHANGE_REC_USD, FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP };
for (int i = 0; i < 2; ++i)
{
FxResetNotionalExchange fxReset = expanded[i];
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
PointSensitivityBuilder pointSensitivityComputed = test.forecastValueSensitivity(expanded[i], prov);
CurrencyParameterSensitivities parameterSensitivityComputed = prov.parameterSensitivity(pointSensitivityComputed.build());
CurrencyParameterSensitivities parameterSensitivityExpected = FD_CALCULATOR.sensitivity(prov, (p) => CurrencyAmount.of(fxReset.Currency, test.forecastValue(fxReset, (p))));
assertTrue(parameterSensitivityComputed.equalWithTolerance(parameterSensitivityExpected, Math.Abs(expanded[i].Notional) * EPS_FD * 10.0));
}
}
