コード例 #1
0
  // -------------------------------------------------------------------------
  public void test_of() {
    DiscountFxForwardRates test =
        DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
    assertEquals(test.getCurrencyPair(), CURRENCY_PAIR);
    assertEquals(test.getValuationDate(), DATE_VAL);
    assertEquals(test.getBaseCurrencyDiscountFactors(), DFCURVE_GBP);
    assertEquals(test.getCounterCurrencyDiscountFactors(), DFCURVE_USD);
    assertEquals(test.getFxRateProvider(), FX_RATE);
    assertEquals(test.findData(CURVE1.getName()), Optional.of(CURVE1));
    assertEquals(test.findData(CURVE2.getName()), Optional.of(CURVE2));
    assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty());

    int baseSize = DFCURVE_USD.getParameterCount();
    assertEquals(test.getParameterCount(), DFCURVE_GBP.getParameterCount() + baseSize);
    assertEquals(test.getParameter(0), DFCURVE_GBP.getParameter(0));
    assertEquals(test.getParameter(baseSize), DFCURVE_USD.getParameter(0));
    assertEquals(test.getParameterMetadata(0), DFCURVE_GBP.getParameterMetadata(0));
    assertEquals(test.getParameterMetadata(baseSize), DFCURVE_USD.getParameterMetadata(0));
    assertEquals(
        test.withParameter(0, 1d).getBaseCurrencyDiscountFactors(),
        DFCURVE_GBP.withParameter(0, 1d));
    assertEquals(test.withParameter(0, 1d).getCounterCurrencyDiscountFactors(), DFCURVE_USD);
    assertEquals(test.withParameter(baseSize, 1d).getBaseCurrencyDiscountFactors(), DFCURVE_GBP);
    assertEquals(
        test.withParameter(baseSize, 1d).getCounterCurrencyDiscountFactors(),
        DFCURVE_USD.withParameter(0, 1d));
    assertEquals(
        test.withPerturbation((i, v, m) -> v + 1d).getBaseCurrencyDiscountFactors(),
        DFCURVE_GBP.withPerturbation((i, v, m) -> v + 1d));
    assertEquals(
        test.withPerturbation((i, v, m) -> v + 1d).getCounterCurrencyDiscountFactors(),
        DFCURVE_USD.withPerturbation((i, v, m) -> v + 1d));
  }