// -------------------------------------------------------------------------
public void test_rateFxSpotSensitivity() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
double dfCcyBaseAtMaturity = DFCURVE_GBP.discountFactor(DATE_REF);
double dfCcyCounterAtMaturity = DFCURVE_USD.discountFactor(DATE_REF);
double expected = dfCcyBaseAtMaturity / dfCcyCounterAtMaturity;
assertEquals(test.rateFxSpotSensitivity(GBP, DATE_REF), expected, 1e-12);
assertEquals(test.rateFxSpotSensitivity(USD, DATE_REF), 1d / expected, 1e-12);
}
public void test_rateFxSpotSensitivity_nonMatchingCurrency() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertThrowsIllegalArg(() -> test.rateFxSpotSensitivity(EUR, DATE_VAL));
}
