public void test_presentValue() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
FunctionConfig<FxNdfTrade> config =
FxNdfFunctionGroups.discounting().functionConfig(TRADE, Measure.PRESENT_VALUE).get();
CalculationSingleFunction<FxNdfTrade, ?> function = config.createFunction();
FunctionRequirements reqs = function.requirements(TRADE);
assertThat(reqs.getOutputCurrencies()).containsOnly(ccy1, ccy2);
assertThat(reqs.getSingleValueRequirements())
.isEqualTo(ImmutableSet.of(DiscountCurveKey.of(ccy1), DiscountCurveKey.of(ccy2)));
assertThat(reqs.getTimeSeriesRequirements()).isEqualTo(ImmutableSet.of());
assertThat(function.defaultReportingCurrency(TRADE)).hasValue(GBP);
DiscountFactors df1 =
SimpleDiscountFactors.of(
ccy1, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
DiscountFactors df2 =
SimpleDiscountFactors.of(
ccy2, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(DiscountCurveKey.of(ccy1), df1, DiscountCurveKey.of(ccy2), df2),
ImmutableMap.of());
assertThat(function.execute(TRADE, md))
.isEqualTo(FxConvertibleList.of(ImmutableList.of(CurrencyAmount.zero(GBP))));
}
public void coverage_functions() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
Curve df = ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
FxRate fxRate = FxRate.of(ccy1, ccy2, 1.6d);
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(
DiscountCurveKey.of(ccy1), df,
DiscountCurveKey.of(ccy2), df,
FxRateKey.of(ccy1, ccy2), fxRate),
ImmutableMap.of(
IndexRateKey.of(GBP_USD_WM),
LocalDateDoubleTimeSeries.of(date(2015, 3, 17), 1.45d)));
assertNotNull(new FxNdfBucketedPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfCurrencyExposureFunction().execute(TRADE, md));
assertNotNull(new FxNdfForwardFxRateFunction().execute(TRADE, md));
assertNotNull(new FxNdfPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfPvFunction().execute(TRADE, md));
}
/** Test {@link FxNdfFunctionGroups}. */
@Test
public class FxNdfFunctionGroupsTest {
private static final FxRate FX_RATE = FxRate.of(GBP, USD, 1.5d);
private static final CurrencyAmount NOTIONAL = CurrencyAmount.of(GBP, (double) 100_000_000);
private static final FxNdf PRODUCT =
FxNdf.builder()
.agreedFxRate(FX_RATE)
.settlementCurrencyNotional(NOTIONAL)
.index(GBP_USD_WM)
.paymentDate(date(2015, 3, 19))
.build();
public static final FxNdfTrade TRADE =
FxNdfTrade.builder()
.tradeInfo(TradeInfo.builder().tradeDate(date(2015, 6, 1)).build())
.product(PRODUCT)
.build();
public void test_discounting() {
FunctionGroup<FxNdfTrade> test = FxNdfFunctionGroups.discounting();
assertThat(test.configuredMeasures(TRADE))
.contains(
Measure.PRESENT_VALUE,
Measure.PV01,
Measure.BUCKETED_PV01,
Measure.CURRENCY_EXPOSURE,
Measure.FORWARD_FX_RATE);
}
public void test_presentValue() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
FunctionConfig<FxNdfTrade> config =
FxNdfFunctionGroups.discounting().functionConfig(TRADE, Measure.PRESENT_VALUE).get();
CalculationSingleFunction<FxNdfTrade, ?> function = config.createFunction();
FunctionRequirements reqs = function.requirements(TRADE);
assertThat(reqs.getOutputCurrencies()).containsOnly(ccy1, ccy2);
assertThat(reqs.getSingleValueRequirements())
.isEqualTo(ImmutableSet.of(DiscountCurveKey.of(ccy1), DiscountCurveKey.of(ccy2)));
assertThat(reqs.getTimeSeriesRequirements()).isEqualTo(ImmutableSet.of());
assertThat(function.defaultReportingCurrency(TRADE)).hasValue(GBP);
DiscountFactors df1 =
SimpleDiscountFactors.of(
ccy1, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
DiscountFactors df2 =
SimpleDiscountFactors.of(
ccy2, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(DiscountCurveKey.of(ccy1), df1, DiscountCurveKey.of(ccy2), df2),
ImmutableMap.of());
assertThat(function.execute(TRADE, md))
.isEqualTo(FxConvertibleList.of(ImmutableList.of(CurrencyAmount.zero(GBP))));
}
// -------------------------------------------------------------------------
public void coverage() {
coverPrivateConstructor(FxNdfFunctionGroups.class);
}
public void coverage_functions() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
Curve df = ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
FxRate fxRate = FxRate.of(ccy1, ccy2, 1.6d);
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(
DiscountCurveKey.of(ccy1), df,
DiscountCurveKey.of(ccy2), df,
FxRateKey.of(ccy1, ccy2), fxRate),
ImmutableMap.of(
IndexRateKey.of(GBP_USD_WM),
LocalDateDoubleTimeSeries.of(date(2015, 3, 17), 1.45d)));
assertNotNull(new FxNdfBucketedPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfCurrencyExposureFunction().execute(TRADE, md));
assertNotNull(new FxNdfForwardFxRateFunction().execute(TRADE, md));
assertNotNull(new FxNdfPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfPvFunction().execute(TRADE, md));
}
}
