/**
* Tests that requirements are added for the FX rates needed to convert the results into the
* reporting currency.
*/
public void fxConversionRequirements() {
OutputCurrenciesFunction fn = new OutputCurrenciesFunction();
CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
MarketDataRequirements requirements = task.requirements();
assertThat(requirements.getNonObservables())
.containsOnly(
FxRateId.of(Currency.GBP, Currency.USD), FxRateId.of(Currency.EUR, Currency.USD));
}
public void convertCurrencyAmount() {
List<FxRate> rates =
ImmutableList.of(
FxRate.of(Currency.GBP, Currency.USD, 1.61),
FxRate.of(Currency.GBP, Currency.USD, 1.62),
FxRate.of(Currency.GBP, Currency.USD, 1.63));
CalculationEnvironment marketData =
MarketEnvironment.builder()
.valuationDate(date(2011, 3, 8))
.addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
.build();
MarketDataMappings mappings = MarketDataMappings.of(MarketDataFeed.NONE);
DefaultCalculationMarketData calculationMarketData =
DefaultCalculationMarketData.of(marketData, mappings);
SingleScenarioResult<CurrencyAmount> test =
SingleScenarioResult.of(3, CurrencyAmount.of(Currency.GBP, 2));
ScenarioResult<?> convertedList = test.convertedTo(Currency.USD, calculationMarketData);
List<CurrencyAmount> expectedValues =
ImmutableList.of(
CurrencyAmount.of(Currency.USD, 2 * 1.61),
CurrencyAmount.of(Currency.USD, 2 * 1.62),
CurrencyAmount.of(Currency.USD, 2 * 1.63));
DefaultScenarioResult<CurrencyAmount> expectedList = DefaultScenarioResult.of(expectedValues);
assertThat(convertedList).isEqualTo(expectedList);
}
/** Test a failure is returned for a convertible value if there is no reporting currency. */
public void convertResultCurrencyNoReportingCurrency() {
DoubleArray values = DoubleArray.of(1, 2, 3);
List<FxRate> rates =
ImmutableList.of(1.61, 1.62, 1.63)
.stream()
.map(rate -> FxRate.of(Currency.GBP, Currency.USD, rate))
.collect(toImmutableList());
CurrencyValuesArray list = CurrencyValuesArray.of(Currency.GBP, values);
CalculationEnvironment marketData =
CalculationEnvironment.builder()
.valuationDate(date(2011, 3, 8))
.addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
.build();
ConvertibleFunction fn = ConvertibleFunction.of(() -> list);
ReportingRules reportingRules = ReportingRules.empty();
CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, reportingRules);
CalculationResult calculationResult = task.execute(marketData);
Result<?> result = calculationResult.getResult();
assertThat(result).hasFailureMessageMatching("No reporting currency available.*");
}
/**
* Test that the result is converted to the reporting currency if it implements
* CurrencyConvertible and the FX rates are available in the market data. The reporting currency
* is taken from the reporting rules.
*/
public void convertResultCurrencyUsingReportingRules() {
DoubleArray values = DoubleArray.of(1, 2, 3);
List<FxRate> rates =
ImmutableList.of(1.61, 1.62, 1.63)
.stream()
.map(rate -> FxRate.of(Currency.GBP, Currency.USD, rate))
.collect(toImmutableList());
CurrencyValuesArray list = CurrencyValuesArray.of(Currency.GBP, values);
CalculationEnvironment marketData =
CalculationEnvironment.builder()
.valuationDate(date(2011, 3, 8))
.addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
.build();
ConvertibleFunction fn = ConvertibleFunction.of(() -> list);
CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
DoubleArray expectedValues = DoubleArray.of(1 * 1.61, 2 * 1.62, 3 * 1.63);
CurrencyValuesArray expectedArray = CurrencyValuesArray.of(Currency.USD, expectedValues);
CalculationResult calculationResult = task.execute(marketData);
Result<?> result = calculationResult.getResult();
assertThat(result).hasValue(expectedArray);
}
