This works well for testing most of the functionality of your web site, but it doesn't work when you want to test geolocation-specific features such as displaying the currency based on the users's country of origin. For this, you can use a nifty feature from the amazing free service WebPageTest.
On the main page of WebPageTest, you can specify the test location from the dropdown. It contains a generous list of locations across the globe. To fake your DNS setting and point example.mycompany.com, you can specify something like this in the Script tab:
setDNSName example.mycompany.com example.cdnprovider.com