public void test_currencyExposure() {
MultiCurrencyAmount computed1 =
TRADE_PRICER.currencyExposure(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount computed2 = TRADE_PRICER.currencyExposure(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount pv1 = TRADE_PRICER.presentValue(CMS_TRADE_PREMIUM, RATES_PROVIDER);
PointSensitivities pt1 =
TRADE_PRICER.presentValueSensitivity(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount expected1 = RATES_PROVIDER.currencyExposure(pt1).plus(pv1);
MultiCurrencyAmount pv2 = TRADE_PRICER.presentValue(CMS_TRADE, RATES_PROVIDER);
PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount expected2 = RATES_PROVIDER.currencyExposure(pt2).plus(pv2);
assertEquals(
computed1.getAmount(EUR).getAmount(),
expected1.getAmount(EUR).getAmount(),
NOTIONAL_VALUE * TOL);
assertEquals(
computed2.getAmount(EUR).getAmount(),
expected2.getAmount(EUR).getAmount(),
NOTIONAL_VALUE * TOL);
}
