public virtual void test_presentValue()
{
CurrencyAmount capComputed = PRICER.presentValue(CAP, RATES, VOLS);
CurrencyAmount floorComputed = PRICER.presentValue(FLOOR, RATES, VOLS);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 0; i < nPeriods; ++i)
{
capExpected += PRICER_PERIOD.presentValue(CAP.CapletFloorletPeriods.get(i), RATES, VOLS).Amount;
floorExpected += PRICER_PERIOD.presentValue(FLOOR.CapletFloorletPeriods.get(i), RATES, VOLS).Amount;
}
assertEquals(capComputed.Currency, EUR);
assertEquals(capComputed.Amount, capExpected);
assertEquals(floorComputed.Currency, EUR);
assertEquals(floorComputed.Amount, floorExpected);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue_formula()
{
CurrencyAmount computedCaplet = PRICER.presentValue(CAPLET_LONG, RATES, VOLS);
CurrencyAmount computedFloorlet = PRICER.presentValue(FLOORLET_SHORT, RATES, VOLS);
double forward = RATES.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation);
double expiry = VOLS.relativeTime(CAPLET_LONG.FixingDateTime);
double volatility = VOLS.volatility(expiry, STRIKE, forward);
double df = RATES.discountFactor(EUR, CAPLET_LONG.PaymentDate);
double expectedCaplet = NOTIONAL * df * CAPLET_LONG.YearFraction * NormalFormulaRepository.price(forward, STRIKE, expiry, volatility, CALL);
double expectedFloorlet = -NOTIONAL *df *CAPLET_LONG.YearFraction *NormalFormulaRepository.price(forward, STRIKE, expiry, volatility, PUT);
assertEquals(computedCaplet.Currency, EUR);
assertEquals(computedCaplet.Amount, expectedCaplet, NOTIONAL * TOL);
assertEquals(computedFloorlet.Currency, EUR);
assertEquals(computedFloorlet.Amount, expectedFloorlet, NOTIONAL * TOL);
}
