//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount pvComputed = PRICER.presentValue(BILL, PROVIDER);
double pvExpected = DSC_FACTORS_ISSUER.discountFactor(MATURITY_DATE) * NOTIONAL.Amount;
assertEquals(pvComputed.Currency, EUR);
assertEquals(pvComputed.Amount, pvExpected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue_settle_before_val()
{
CurrencyAmount pvComputed = PRICER_TRADE.presentValue(BILL_TRADE_SETTLE_BEFORE_VAL, PROVIDER);
CurrencyAmount pvExpected = PRICER_PRODUCT.presentValue(BILL_PRODUCT.resolve(REF_DATA), PROVIDER).multipliedBy(QUANTITY);
assertEquals(pvComputed.Currency, EUR);
assertEquals(pvComputed.Amount, pvExpected.Amount, TOLERANCE_PV);
MultiCurrencyAmount ceComputed = PRICER_TRADE.currencyExposure(BILL_TRADE_SETTLE_BEFORE_VAL, PROVIDER);
assertEquals(ceComputed.Currencies.size(), 1);
assertTrue(ceComputed.contains(EUR));
assertEquals(ceComputed.getAmount(EUR).Amount, pvExpected.Amount, TOLERANCE_PV);
CurrencyAmount cashComputed = PRICER_TRADE.currentCash(BILL_TRADE_SETTLE_BEFORE_VAL, VAL_DATE);
assertEquals(cashComputed.Currency, EUR);
assertEquals(cashComputed.Amount, 0, TOLERANCE_PV);
}
/// <summary>
/// Calculates the present value of a bill trade.
/// <para>
/// If the settlement details are provided, the present value is the sum of the underlying product's present value
/// multiplied by the quantity and the present value of the settlement payment if still due at the valuation date.
/// If not it is the underlying product's present value multiplied by the quantity.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider)
{
if (provider.ValuationDate.isAfter(trade.Product.Notional.Date))
{
return(CurrencyAmount.of(trade.Product.Currency, 0.0d));
}
CurrencyAmount pvProduct = productPricer.presentValue(trade.Product, provider).multipliedBy(trade.Quantity);
if (trade.Settlement.Present)
{
RepoCurveDiscountFactors repoDf = DiscountingBillProductPricer.repoCurveDf(trade.Product, provider);
CurrencyAmount pvSettle = paymentPricer.presentValue(trade.Settlement.get(), repoDf.DiscountFactors);
return(pvProduct.plus(pvSettle));
}
return(pvProduct);
}