//-------------------------------------------------------------------------
public virtual void test_presentValue_noFixing()
{
double discountFactor = IMM_PROV_NOFIX.discountFactor(EUR, END_DATE);
double forwardRate = IMM_PROV_NOFIX.iborIndexRates(EUR_EURIBOR_6M).rate(RDEPOSIT.FloatingRate.Observation);
CurrencyAmount computed = PRICER.presentValue(RDEPOSIT, IMM_PROV_NOFIX);
double expected = NOTIONAL * discountFactor * (RATE - forwardRate) * RDEPOSIT.YearFraction;
assertEquals(computed.Currency, EUR);
assertEquals(computed.Amount, expected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount pvTrade = PRICER_TRADE.presentValue(RDEPOSIT_TRADE, IMM_PROV);
CurrencyAmount pvProduct = PRICER_PRODUCT.presentValue(RDEPOSIT_PRODUCT, IMM_PROV);
assertEquals(pvTrade.Currency, pvProduct.Currency);
assertEquals(pvTrade.Amount, pvProduct.Amount, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the Ibor fixing deposit trade.
/// <para>
/// The present value of the trade is the value on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the product </returns>
public virtual CurrencyAmount presentValue(ResolvedIborFixingDepositTrade trade, RatesProvider provider)
{
return(productPricer.presentValue(trade.Product, provider));
}