//-------------------------------------------------------------------------
public virtual void test_presentValueGamma()
{
CurrencyAmount capComputed = PRICER.presentValueGamma(CAP, RATES, VOLS);
CurrencyAmount floorComputed = PRICER.presentValueGamma(FLOOR, RATES, VOLS);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 0; i < nPeriods; ++i)
{
capExpected += PRICER_PERIOD.presentValueGamma(CAP.CapletFloorletPeriods.get(i), RATES, VOLS).Amount;
floorExpected += PRICER_PERIOD.presentValueGamma(FLOOR.CapletFloorletPeriods.get(i), RATES, VOLS).Amount;
}
assertEquals(capComputed.Currency, EUR);
assertEquals(capComputed.Amount, capExpected, TOL * NOTIONAL_VALUE);
assertEquals(floorComputed.Currency, EUR);
assertEquals(floorComputed.Amount, floorExpected, TOL * NOTIONAL_VALUE);
}
public virtual void test_presentValueGamma()
{
MultiCurrencyAmount computed1 = PRICER.presentValueGamma(CAP_ONE_LEG, RATES, VOLS);
MultiCurrencyAmount computed2 = PRICER.presentValueGamma(CAP_TWO_LEGS, RATES, VOLS);
CurrencyAmount cap = PRICER_CAP_LEG.presentValueGamma(CAP_LEG, RATES, VOLS);
assertEquals(computed1, MultiCurrencyAmount.of(cap));
assertEquals(computed2, MultiCurrencyAmount.of(cap));
}
