public void currency_exposure_premium_forward() { CurrencyAmount pv = PRICER_TRADE.presentValue(SWAPTION_PREFWD_LONG_REC, RATE_PROVIDER, VOLS); MultiCurrencyAmount ce = PRICER_TRADE.currencyExposure(SWAPTION_PREFWD_LONG_REC, RATE_PROVIDER, VOLS); assertEquals(pv.getAmount(), ce.getAmount(USD).getAmount(), NOTIONAL * TOL); }
public void currency_exposure_premium_forward() { CurrencyAmount pv = PRICER_TRADE .presentValue(SWAPTION_PREFWD_LONG_REC, MULTI_USD, NORMAL_VOLS_USD); MultiCurrencyAmount ce = PRICER_TRADE .currencyExposure(SWAPTION_PREFWD_LONG_REC, MULTI_USD, NORMAL_VOLS_USD); assertEquals(pv.getAmount(), ce.getAmount(USD).getAmount(), TOLERANCE_PV); }