//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount computedRec = PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, HW_PROVIDER);
CurrencyAmount computedPay = PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, HW_PROVIDER);
SwapPaymentEventPricer <SwapPaymentEvent> paymentEventPricer = SwapPaymentEventPricer.standard();
ResolvedSwapLeg cashFlowEquiv = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(RSWAP_REC, RATE_PROVIDER);
LocalDate expiryDate = MATURITY.toLocalDate();
int nPayments = cashFlowEquiv.PaymentEvents.size();
double[] alpha = new double[nPayments];
double[] discountedCashFlow = new double[nPayments];
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
SwapPaymentEvent payment = cashFlowEquiv.PaymentEvents.get(loopcf);
alpha[loopcf] = HW_PROVIDER.alpha(RATE_PROVIDER.ValuationDate, expiryDate, expiryDate, payment.PaymentDate);
discountedCashFlow[loopcf] = paymentEventPricer.presentValue(payment, RATE_PROVIDER);
}
double omegaPay = -1d;
double kappa = HW_PROVIDER.Model.kappa(DoubleArray.copyOf(discountedCashFlow), DoubleArray.copyOf(alpha));
double expectedRec = 0.0;
double expectedPay = 0.0;
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
expectedRec += discountedCashFlow[loopcf] * NORMAL.getCDF((kappa + alpha[loopcf]));
expectedPay += discountedCashFlow[loopcf] * NORMAL.getCDF(omegaPay * (kappa + alpha[loopcf]));
}
assertEquals(computedRec.Currency, EUR);
assertEquals(computedRec.Amount, expectedRec, NOTIONAL * TOL);
assertEquals(computedPay.Currency, EUR);
assertEquals(computedPay.Amount, expectedPay, NOTIONAL * TOL);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="paymentPeriodPricer"> the pricer for <seealso cref="SwapPaymentPeriod"/> </param>
/// <param name="paymentEventPricer"> the pricer for <seealso cref="SwapPaymentEvent"/> </param>
public DiscountingSwapLegPricer(SwapPaymentPeriodPricer <SwapPaymentPeriod> paymentPeriodPricer, SwapPaymentEventPricer <SwapPaymentEvent> paymentEventPricer)
{
this.paymentPeriodPricer = ArgChecker.notNull(paymentPeriodPricer, "paymentPeriodPricer");
this.paymentEventPricer = ArgChecker.notNull(paymentEventPricer, "paymentEventPricer");
}
