public void test_presentValue() { Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency(); Currency ccy2 = TRADE.getProduct().getSettlementCurrency(); LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7); FunctionConfig<FxNdfTrade> config = FxNdfFunctionGroups.discounting().functionConfig(TRADE, Measure.PRESENT_VALUE).get(); CalculationSingleFunction<FxNdfTrade, ?> function = config.createFunction(); FunctionRequirements reqs = function.requirements(TRADE); assertThat(reqs.getOutputCurrencies()).containsOnly(ccy1, ccy2); assertThat(reqs.getSingleValueRequirements()) .isEqualTo(ImmutableSet.of(DiscountCurveKey.of(ccy1), DiscountCurveKey.of(ccy2))); assertThat(reqs.getTimeSeriesRequirements()).isEqualTo(ImmutableSet.of()); assertThat(function.defaultReportingCurrency(TRADE)).hasValue(GBP); DiscountFactors df1 = SimpleDiscountFactors.of( ccy1, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99)); DiscountFactors df2 = SimpleDiscountFactors.of( ccy2, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99)); TestMarketDataMap md = new TestMarketDataMap( valDate, ImmutableMap.of(DiscountCurveKey.of(ccy1), df1, DiscountCurveKey.of(ccy2), df2), ImmutableMap.of()); assertThat(function.execute(TRADE, md)) .isEqualTo(FxConvertibleList.of(ImmutableList.of(CurrencyAmount.zero(GBP)))); }
@Override public FunctionRequirements requirements(TermDepositTrade trade) { TermDeposit deposit = trade.getProduct(); Set<DiscountCurveKey> discountCurveKeys = ImmutableSet.of(DiscountCurveKey.of(deposit.getCurrency())); return FunctionRequirements.builder() .singleValueRequirements(discountCurveKeys) .timeSeriesRequirements() .outputCurrencies(deposit.getCurrency()) .build(); }
public void coverage_functions() { Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency(); Currency ccy2 = TRADE.getProduct().getSettlementCurrency(); LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7); Curve df = ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99); FxRate fxRate = FxRate.of(ccy1, ccy2, 1.6d); TestMarketDataMap md = new TestMarketDataMap( valDate, ImmutableMap.of( DiscountCurveKey.of(ccy1), df, DiscountCurveKey.of(ccy2), df, FxRateKey.of(ccy1, ccy2), fxRate), ImmutableMap.of( IndexRateKey.of(GBP_USD_WM), LocalDateDoubleTimeSeries.of(date(2015, 3, 17), 1.45d))); assertNotNull(new FxNdfBucketedPv01Function().execute(TRADE, md)); assertNotNull(new FxNdfCurrencyExposureFunction().execute(TRADE, md)); assertNotNull(new FxNdfForwardFxRateFunction().execute(TRADE, md)); assertNotNull(new FxNdfPv01Function().execute(TRADE, md)); assertNotNull(new FxNdfPvFunction().execute(TRADE, md)); }