public virtual void test_tenor()
{
double test1 = VOLS.tenor(VAL_DATE, VAL_DATE);
assertEquals(test1, 0d);
double test2 = VOLS.tenor(VAL_DATE, date(2018, 2, 28));
assertEquals(test2, 3d);
double test3 = VOLS.tenor(VAL_DATE, date(2018, 2, 10));
assertEquals(test3, 3d);
}
public virtual void test_presentValue()
{
CurrencyAmount computedRec = PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount computedPay = PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = SWAP_PRICER.LegPricer.annuityCash(RFIXED_LEG_REC, forward);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
double tenor = VOLS.tenor(SETTLE, END);
double volatility = SURFACE.zValue(expiry, tenor);
double settle = ACT_ACT_ISDA.relativeYearFraction(VAL_DATE, SETTLE);
double df = Math.Exp(-DSC_CURVE.yValue(settle) * settle);
double expectedRec = df * annuityCash * BlackFormulaRepository.price(forward, RATE, expiry, volatility, false);
double expectedPay = -df *annuityCash *BlackFormulaRepository.price(forward, RATE, expiry, volatility, true);
assertEquals(computedRec.Currency, EUR);
assertEquals(computedRec.Amount, expectedRec, NOTIONAL * TOL);
assertEquals(computedPay.Currency, EUR);
assertEquals(computedPay.Amount, expectedPay, NOTIONAL * TOL);
}
