@Override
public SwapTrade trade(LocalDate valuationDate, MarketData marketData) {
double marketQuote = marketData.getValue(spreadKey) + additionalSpread;
FxRate fxRate = marketData.getValue(fxKey());
double rate = fxRate.fxRate(template.getCurrencyPair());
return template.toTrade(valuationDate, BuySell.BUY, 1, rate, marketQuote);
}
// -------------------------------------------------------------------------
public void test_rate() {
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 = FX_RATE.fxRate(GBP, USD) * (dfCcyBaseAtMaturity / dfCcyCounterAtMaturity);
assertEquals(test.rate(GBP, DATE_REF), expected, 1e-12);
assertEquals(test.rate(USD, DATE_REF), 1d / expected, 1e-12);
}