public virtual void test_currentCash()
{
MultiCurrencyAmount cc1 = PRODUCT_PRICER.currentCash(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount cc2 = PRODUCT_PRICER.currentCash(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
assertEquals(cc1, MultiCurrencyAmount.of(CurrencyAmount.zero(EUR)));
assertEquals(cc2, MultiCurrencyAmount.of(CurrencyAmount.zero(EUR)));
}
public virtual void test_currentCash_onPay()
{
MultiCurrencyAmount cc1 = TRADE_PRICER.currentCash(CMS_TRADE_PREMIUM, RATES_PROVIDER_ON_PAY, VOLATILITIES_ON_PAY);
MultiCurrencyAmount cc2 = TRADE_PRICER.currentCash(CMS_TRADE, RATES_PROVIDER_ON_PAY, VOLATILITIES_ON_PAY);
MultiCurrencyAmount ccProd1 = PRODUCT_PRICER.currentCash(CMS_ONE_LEG, RATES_PROVIDER_ON_PAY, VOLATILITIES_ON_PAY);
MultiCurrencyAmount ccProd2 = PRODUCT_PRICER.currentCash(CMS_TWO_LEGS, RATES_PROVIDER_ON_PAY, VOLATILITIES_ON_PAY);
assertEquals(cc1, ccProd1);
assertEquals(cc2, ccProd2);
}
/// <summary>
/// Calculates the current cash of the trade.
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the current cash </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
MultiCurrencyAmount ccCms = productPricer.currentCash(trade.Product, ratesProvider, swaptionVolatilities);
if (!trade.Premium.Present)
{
return(ccCms);
}
Payment premium = trade.Premium.get();
if (premium.Date.Equals(ratesProvider.ValuationDate))
{
ccCms = ccCms.plus(premium.Currency, premium.Amount);
}
return(ccCms);
}