public virtual void test_cashFlowEquivalent_pv()
{
ResolvedSwap swap = ResolvedSwap.of(IBOR_LEG, FIXED_LEG);
ResolvedSwapLeg cfe = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, PROVIDER);
DiscountingSwapLegPricer pricerLeg = DiscountingSwapLegPricer.DEFAULT;
DiscountingSwapProductPricer pricerSwap = DiscountingSwapProductPricer.DEFAULT;
CurrencyAmount pvCfe = pricerLeg.presentValue(cfe, PROVIDER);
MultiCurrencyAmount pvSwap = pricerSwap.presentValue(swap, PROVIDER);
assertEquals(pvCfe.Amount, pvSwap.getAmount(GBP).Amount, TOLERANCE_PV);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param>
/// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param>
public SabrIborCapFloorProductPricer(SabrIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer) : base(capFloorLegPricer, payLegPricer)
{
this.capFloorLegPricer = capFloorLegPricer;
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param>
/// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param>
public VolatilityIborCapFloorProductPricer(VolatilityIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer)
{
this.capFloorLegPricer = ArgChecker.notNull(capFloorLegPricer, "capFloorLegPricer");
this.payLegPricer = ArgChecker.notNull(payLegPricer, "payLegPricer");
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param>
/// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param>
public BlackIborCapFloorProductPricer(BlackIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer) : base(capFloorLegPricer, payLegPricer)
{
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param>
/// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param>
public NormalIborCapFloorProductPricer(NormalIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer) : base(capFloorLegPricer, payLegPricer)
{
}
