//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount computed = LEG_PRICER.presentValue(COUPON_LEG, RATES_PROVIDER);
double expected = 0d;
IList <CmsPeriod> cms = COUPON_LEG.CmsPeriods;
int size = cms.Count;
for (int i = 0; i < size; ++i)
{
expected += PERIOD_PRICER.presentValue(cms[i], RATES_PROVIDER).Amount;
}
assertEquals(computed.Currency, EUR);
assertEquals(computed.Amount, expected, TOLERANCE_PV);
}
public virtual void test_presentValue()
{
MultiCurrencyAmount pv1 = PRODUCT_PRICER.presentValue(CMS_ONE_LEG, RATES_PROVIDER);
MultiCurrencyAmount pv2 = PRODUCT_PRICER.presentValue(CMS_TWO_LEGS, RATES_PROVIDER);
CurrencyAmount pvCms = CMS_LEG_PRICER.presentValue(CMS_LEG, RATES_PROVIDER);
CurrencyAmount pvPay = SWAP_LEG_PRICER.presentValue(PAY_LEG, RATES_PROVIDER);
assertEquals(pv1, MultiCurrencyAmount.of(pvCms));
assertEquals(pv2, MultiCurrencyAmount.of(pvCms).plus(pvPay));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the CMS product by simple forward estimation.
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedCms cms, RatesProvider ratesProvider)
{
CurrencyAmount pvCmsLeg = cmsLegPricer.presentValue(cms.CmsLeg, ratesProvider);
if (!cms.PayLeg.Present)
{
return(MultiCurrencyAmount.of(pvCmsLeg));
}
CurrencyAmount pvPayLeg = swapPricer.LegPricer.presentValue(cms.PayLeg.get(), ratesProvider);
return(MultiCurrencyAmount.of(pvCmsLeg).plus(pvPayLeg));
}