public virtual void test_cashFlowEquivalent_pv() { ResolvedSwap swap = ResolvedSwap.of(IBOR_LEG, FIXED_LEG); ResolvedSwapLeg cfe = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, PROVIDER); DiscountingSwapLegPricer pricerLeg = DiscountingSwapLegPricer.DEFAULT; DiscountingSwapProductPricer pricerSwap = DiscountingSwapProductPricer.DEFAULT; CurrencyAmount pvCfe = pricerLeg.presentValue(cfe, PROVIDER); MultiCurrencyAmount pvSwap = pricerSwap.presentValue(swap, PROVIDER); assertEquals(pvCfe.Amount, pvSwap.getAmount(GBP).Amount, TOLERANCE_PV); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param> /// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param> public SabrIborCapFloorProductPricer(SabrIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer) : base(capFloorLegPricer, payLegPricer) { this.capFloorLegPricer = capFloorLegPricer; }
/// <summary> /// Creates an instance. /// </summary> /// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param> /// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param> public VolatilityIborCapFloorProductPricer(VolatilityIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer) { this.capFloorLegPricer = ArgChecker.notNull(capFloorLegPricer, "capFloorLegPricer"); this.payLegPricer = ArgChecker.notNull(payLegPricer, "payLegPricer"); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param> /// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param> public BlackIborCapFloorProductPricer(BlackIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer) : base(capFloorLegPricer, payLegPricer) { }
/// <summary> /// Creates an instance. /// </summary> /// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param> /// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param> public NormalIborCapFloorProductPricer(NormalIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer) : base(capFloorLegPricer, payLegPricer) { }