public virtual void test_relativeTime()
{
double test1 = VOLS.relativeTime(VAL_DATE_TIME);
assertEquals(test1, 0d);
double test2 = VOLS.relativeTime(date(2018, 2, 17).atStartOfDay(LONDON_ZONE));
double test3 = VOLS.relativeTime(date(2012, 2, 17).atStartOfDay(LONDON_ZONE));
assertEquals(test2, -test3); // consistency checked
}
//-------------------------------------------------------------------------
public virtual void present_value_formula()
{
double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD);
double pvbp = PRICER_SWAP.LegPricer.pvbp(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), MULTI_USD);
double volatility = NORMAL_VOLS_USD_STD.volatility(SWAPTION_LONG_REC.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
NormalFunctionData normalData = NormalFunctionData.of(forward, Math.Abs(pvbp), volatility);
double expiry = NORMAL_VOLS_USD_STD.relativeTime(SWAPTION_LONG_REC.Expiry);
EuropeanVanillaOption option = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT);
double pvExpected = NORMAL.getPriceFunction(option).apply(normalData);
CurrencyAmount pvComputed = PRICER_SWAPTION_NORMAL.presentValue(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD_STD);
assertEquals(pvComputed.Currency, USD);
assertEquals(pvComputed.Amount, pvExpected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount pvRecComputed = PRICER_SWAPTION.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount pvPayComputed = PRICER_SWAPTION.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = PRICER_SWAP.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = PRICER_SWAP.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward);
double volatility = VOLS.volatility(SWAPTION_REC_LONG.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
double discount = RATE_PROVIDER.discountFactor(USD, SETTLE_DATE);
NormalFunctionData normalData = NormalFunctionData.of(forward, annuityCash * discount, volatility);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
EuropeanVanillaOption optionRec = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT);
EuropeanVanillaOption optionPay = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.CALL);
double pvRecExpected = NORMAL.getPriceFunction(optionRec).apply(normalData);
double pvPayExpected = -NORMAL.getPriceFunction(optionPay).apply(normalData);
assertEquals(pvRecComputed.Currency, USD);
assertEquals(pvRecComputed.Amount, pvRecExpected, NOTIONAL * TOL);
assertEquals(pvPayComputed.Currency, USD);
assertEquals(pvPayComputed.Amount, pvPayExpected, NOTIONAL * TOL);
}
