/// <summary>
/// Returns present value of the swap for a specified baseParty.
/// </summary>
/// <param name="capFloor">The cap floor.</param>
/// <param name="baseParty">The party, from which point of view the valuations are computed.</param>
/// <returns></returns>
public static Money GetPresentValue(CapFloor capFloor, string baseParty)
{
var list = new List <Money>();
InterestRateStream stream = capFloor.capFloorStream;
Money presentValueOfStream = CashflowsHelper.GetPresentValue(stream.cashflows);
list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, presentValueOfStream));
Money presentValueOfAdditionalPayments = GetPresentValueOfAdditionalPayments(capFloor, baseParty);
list.Add(presentValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}
/// <summary>
/// Returns present value of the swap for a specified baseParty.
/// </summary>
/// <param name="swap"></param>
/// <param name="baseParty">The party, from which point of view the valuations are computed.</param>
/// <returns></returns>
public static Money GetPresentValue(Swap swap, string baseParty)
{
var list = new List <Money>();
foreach (InterestRateStream stream in swap.swapStream)
{
Money presentValueOfStream = CashflowsHelper.GetPresentValue(stream.cashflows);
list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, presentValueOfStream));
}
Money sumPVs = MoneyHelper.Sum(list);
//only add a pv in the same currency.
Money presentValueOfAdditionalPayments = GetPresentValueOfAdditionalPayments(swap, baseParty, sumPVs.currency);
sumPVs = MoneyHelper.Add(sumPVs, presentValueOfAdditionalPayments);
return(sumPVs);
}
public static Money GetReceivePresentValue(Swap swap, string baseParty)
{
var list = new List <Money>();
foreach (InterestRateStream stream in swap.swapStream)
{
Money presentValueOfStream = CashflowsHelper.GetPresentValue(stream.cashflows);
if (baseParty == stream.receiverPartyReference.href)
{
list.Add(presentValueOfStream);
}
}
Money receivePresentValueOfAdditionalPayments = GetReceivePresentValueOfAdditionalPayments(swap, baseParty);
list.Add(receivePresentValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}