// -------------------------------------------------------------------------
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);
}
public void test_rate_nonMatchingCurrency() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertThrowsIllegalArg(() -> test.rate(EUR, DATE_VAL));
}
