/** Test cash flow for ISDA FRA Discounting method. */
public void test_cashFlows_ISDA() {
ExpandedFra fraExp = FRA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
double fixedRate = FRA.getFixedRate();
double yearFraction = fraExp.getYearFraction();
double notional = fraExp.getNotional();
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).getPaymentDate(), fraExp.getPaymentDate());
assertEquals(
computed.getCashFlows().get(0).getForecastValue().getCurrency(), fraExp.getCurrency());
assertEquals(
computed.getCashFlows().get(0).getForecastValue().getAmount(), expected, TOLERANCE);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(testTrade.cashFlows(FRA_TRADE, prov), test.cashFlows(fraExp, prov));
}
