//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount computed = PRICER.presentValue(TRADE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
CurrencyAmount expected = PRICER_PRODUCT.presentValue(PRODUCT, RATES_PROVIDER, VALUATION_DATE, PriceType.CLEAN, REF_DATA).plus(PRICER_PAYMENT.presentValue(UPFRONT, YIELD_CRVE.toDiscountFactors()));
CurrencyAmount computedMf = PRICER_MF.presentValue(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
CurrencyAmount expectedMf = PRICER_PRODUCT_MF.presentValue(PRODUCT, RATES_PROVIDER, VALUATION_DATE, PriceType.CLEAN, REF_DATA);
assertEquals(computed.Amount, expected.Amount, TOL);
assertEquals(computedMf.Amount, expectedMf.Amount, TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the trade.
/// <para>
/// The present value of the product is based on the valuation date.
/// </para>
/// <para>
/// This method can calculate the clean or dirty present value, see <seealso cref="PriceType"/>.
/// If calculating the clean value, the accrued interest is calculated based on the step-in date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the price </returns>
public virtual CurrencyAmount presentValue(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
CurrencyAmount pvProduct = productPricer.presentValue(trade.Product, ratesProvider, ratesProvider.ValuationDate, priceType, refData);
if (!trade.UpfrontFee.Present)
{
return(pvProduct);
}
Payment upfront = trade.UpfrontFee.get();
CurrencyAmount pvUpfront = upfrontPricer.presentValue(upfront, ratesProvider.discountFactors(upfront.Currency).toDiscountFactors());
return(pvProduct.plus(pvUpfront));
}
