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Update test code for the long/short fx api
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+6
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derivatives/target_redemption_forward_test.cpp

Lines changed: 6 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -46,7 +46,8 @@ TEST_F(TargetRedemptionForwardTest, AtmForward) {
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const double expected_npv = 0.;
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const double error_threshold = 20000;
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49-
TargetRedemptionForward tarf(1e6, 100e6, 135.657, 4.0, 0.25);
49+
TargetRedemptionForward tarf(
50+
1e6, 100e6, 135.657, 4.0, 0.25, FxTradeDirection::kLong);
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for (int i = 0; i < 5; ++i) {
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double npv =
@@ -68,7 +69,8 @@ TEST_F(TargetRedemptionForwardTest, OtmForward) {
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const double expected_npv = 50e6;
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const double error_threshold = 20000;
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71-
TargetRedemptionForward tarf(1e6, 100e6, 131.9686, 4.0, 0.25);
72+
TargetRedemptionForward tarf(
73+
1e6, 100e6, 131.9686, 4.0, 0.25, FxTradeDirection::kLong);
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for (int i = 0; i < 5; ++i) {
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double npv =
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tarf.price(125., 0.0002, 0.1, 10000, *foreign_curve_, *domestic_curve_);
@@ -95,7 +97,8 @@ TEST_F(TargetRedemptionForwardTest, KnockoutAlmostDeterministic) {
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const double expected_npv = -31.75e6;
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const double error_threshold = 20000;
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98-
TargetRedemptionForward tarf(1e6, 6e6, 135.657, 4.0, 0.25);
100+
TargetRedemptionForward tarf(
101+
1e6, 6e6, 135.657, 4.0, 0.25, FxTradeDirection::kLong);
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for (int i = 0; i < 5; ++i) {
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double npv =

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