public virtual void test_presentValue()
{
MultiCurrencyAmount pv1 = PRODUCT_PRICER.presentValue(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount pv2 = PRODUCT_PRICER.presentValue(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
CurrencyAmount pvCms = CMS_LEG_PRICER.presentValue(CMS_LEG, RATES_PROVIDER, VOLATILITIES);
CurrencyAmount pvPay = SWAP_LEG_PRICER.presentValue(PAY_LEG, RATES_PROVIDER);
assertEquals(pv1, MultiCurrencyAmount.of(pvCms));
assertEquals(pv2, MultiCurrencyAmount.of(pvCms).plus(pvPay));
}
public virtual void test_presentValue()
{
MultiCurrencyAmount pv1 = TRADE_PRICER.presentValue(CMS_TRADE_PREMIUM, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount pv2 = TRADE_PRICER.presentValue(CMS_TRADE, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount pvProd1 = PRODUCT_PRICER.presentValue(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount pvProd2 = PRODUCT_PRICER.presentValue(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
CurrencyAmount pvPrem = PREMIUM_PRICER.presentValue(PREMIUM, RATES_PROVIDER);
assertEquals(pv1, pvProd1.plus(pvPrem));
assertEquals(pv2, pvProd2);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the CMS trade.
/// <para>
/// The present value of the trade is the value on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
MultiCurrencyAmount pvCms = productPricer.presentValue(trade.Product, ratesProvider, swaptionVolatilities);
if (!trade.Premium.Present)
{
return(pvCms);
}
CurrencyAmount pvPremium = paymentPricer.presentValue(trade.Premium.get(), ratesProvider);
return(pvCms.plus(pvPremium));
}