/** Test forecast value for NONE FRA Discounting method. */
  public void test_forecastValue_NONE() {
    ExpandedFra fraExp = FRA_NONE.expand();
    SimpleRatesProvider prov = createProvider(fraExp);

    double fixedRate = FRA_NONE.getFixedRate();
    double yearFraction = fraExp.getYearFraction();
    double notional = fraExp.getNotional();
    double expected = notional * yearFraction * (FORWARD_RATE - fixedRate);

    DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
    CurrencyAmount computed = test.forecastValue(fraExp, prov);
    assertEquals(computed.getAmount(), expected, TOLERANCE);
  }
  /** Test explain. */
  public void test_explainPresentValue_ISDA() {
    ExpandedFra fraExp = FRA.expand();
    SimpleRatesProvider prov = createProvider(fraExp);

    DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
    CurrencyAmount fvExpected = test.forecastValue(fraExp, prov);
    CurrencyAmount pvExpected = test.presentValue(fraExp, prov);

    ExplainMap explain = test.explainPresentValue(fraExp, prov);
    Currency currency = fraExp.getCurrency();
    int daysBetween = (int) DAYS.between(fraExp.getStartDate(), fraExp.getEndDate());
    assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "FRA");
    assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), fraExp.getPaymentDate());
    assertEquals(explain.get(ExplainKey.START_DATE).get(), fraExp.getStartDate());
    assertEquals(explain.get(ExplainKey.END_DATE).get(), fraExp.getEndDate());
    assertEquals(explain.get(ExplainKey.ACCRUAL_YEAR_FRACTION).get(), fraExp.getYearFraction());
    assertEquals(explain.get(ExplainKey.ACCRUAL_DAYS).get(), (Integer) (int) daysBetween);
    assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), currency);
    assertEquals(
        explain.get(ExplainKey.NOTIONAL).get().getAmount(), fraExp.getNotional(), TOLERANCE);
    assertEquals(
        explain.get(ExplainKey.TRADE_NOTIONAL).get().getAmount(), fraExp.getNotional(), TOLERANCE);

    assertEquals(explain.get(ExplainKey.OBSERVATIONS).get().size(), 1);
    ExplainMap explainObs = explain.get(ExplainKey.OBSERVATIONS).get().get(0);
    IborRateObservation floatingRate = (IborRateObservation) fraExp.getFloatingRate();
    assertEquals(explainObs.get(ExplainKey.INDEX).get(), floatingRate.getIndex());
    assertEquals(explainObs.get(ExplainKey.FIXING_DATE).get(), floatingRate.getFixingDate());
    assertEquals(explainObs.get(ExplainKey.INDEX_VALUE).get(), FORWARD_RATE, TOLERANCE);
    assertEquals(explain.get(ExplainKey.DISCOUNT_FACTOR).get(), DISCOUNT_FACTOR, TOLERANCE);
    assertEquals(explain.get(ExplainKey.FIXED_RATE).get(), fraExp.getFixedRate(), TOLERANCE);
    assertEquals(explain.get(ExplainKey.PAY_OFF_RATE).get(), FORWARD_RATE, TOLERANCE);
    assertEquals(explain.get(ExplainKey.COMBINED_RATE).get(), FORWARD_RATE, TOLERANCE);
    assertEquals(
        explain.get(ExplainKey.UNIT_AMOUNT).get(),
        fvExpected.getAmount() / fraExp.getNotional(),
        TOLERANCE);
    assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().getCurrency(), currency);
    assertEquals(
        explain.get(ExplainKey.FORECAST_VALUE).get().getAmount(),
        fvExpected.getAmount(),
        TOLERANCE);
    assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().getCurrency(), currency);
    assertEquals(
        explain.get(ExplainKey.PRESENT_VALUE).get().getAmount(), pvExpected.getAmount(), TOLERANCE);
  }
  /** Test forecast value for ISDA FRA Discounting method. */
  public void test_forecastValue_ISDA() {
    ExpandedFra fraExp = FRA.expand();
    SimpleRatesProvider prov = createProvider(fraExp);

    double fixedRate = FRA.getFixedRate();
    double yearFraction = fraExp.getYearFraction();
    double notional = fraExp.getNotional();
    double expected =
        notional * yearFraction * (FORWARD_RATE - fixedRate) / (1.0 + yearFraction * FORWARD_RATE);

    DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
    CurrencyAmount computed = test.forecastValue(fraExp, prov);
    assertEquals(computed.getAmount(), expected, TOLERANCE);

    // test via FraTrade
    DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
    assertEquals(testTrade.forecastValue(FRA_TRADE, prov), test.forecastValue(fraExp, prov));
  }