/** Test par spread for AFMA FRA Discounting method. */
public void test_parSpread_AFMA() {
ExpandedFra fraExp = FRA_AFMA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
double parSpread = test.parSpread(fraExp, prov);
Fra fra = createNewFra(FRA_AFMA, FRA_AFMA.getFixedRate() + parSpread);
CurrencyAmount pv = test.presentValue(fra, prov);
assertEquals(pv.getAmount(), 0.0, TOLERANCE);
}
/** Test forecast value for AFMA FRA Discounting method. */
public void test_forecastValue_AFMA() {
ExpandedFra fraExp = FRA_AFMA.expand();
SimpleRatesProvider prov = createProvider(fraExp);
double fixedRate = FRA_AFMA.getFixedRate();
double yearFraction = fraExp.getYearFraction();
double notional = fraExp.getNotional();
double expected =
-notional
* (1.0 / (1.0 + yearFraction * FORWARD_RATE) - 1.0 / (1.0 + yearFraction * fixedRate));
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount computed = test.forecastValue(fraExp, prov);
assertEquals(computed.getAmount(), expected, TOLERANCE);
}
