public virtual void test_presentValue_parity()
{
CurrencyAmount pvRecLong = PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount pvRecShort = PRICER.presentValue(SWAPTION_REC_SHORT, RATE_PROVIDER, VOLS);
CurrencyAmount pvPayLong = PRICER.presentValue(SWAPTION_PAY_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount pvPayShort = PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
assertEquals(pvRecLong.Amount, -pvRecShort.Amount, NOTIONAL * TOL);
assertEquals(pvPayLong.Amount, -pvPayShort.Amount, NOTIONAL * TOL);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = SWAP_PRICER.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward);
double discount = RATE_PROVIDER.discountFactor(EUR, SETTLE);
double expected = discount * annuityCash * (forward - RATE);
assertEquals(pvPayLong.Amount - pvRecLong.Amount, expected, NOTIONAL * TOL);
assertEquals(pvPayShort.Amount - pvRecShort.Amount, -expected, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount pvRecComputed = PRICER_SWAPTION.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount pvPayComputed = PRICER_SWAPTION.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = PRICER_SWAP.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = PRICER_SWAP.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward);
double volatility = VOLS.volatility(SWAPTION_REC_LONG.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
double discount = RATE_PROVIDER.discountFactor(USD, SETTLE_DATE);
NormalFunctionData normalData = NormalFunctionData.of(forward, annuityCash * discount, volatility);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
EuropeanVanillaOption optionRec = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT);
EuropeanVanillaOption optionPay = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.CALL);
double pvRecExpected = NORMAL.getPriceFunction(optionRec).apply(normalData);
double pvPayExpected = -NORMAL.getPriceFunction(optionPay).apply(normalData);
assertEquals(pvRecComputed.Currency, USD);
assertEquals(pvRecComputed.Amount, pvRecExpected, NOTIONAL * TOL);
assertEquals(pvPayComputed.Currency, USD);
assertEquals(pvPayComputed.Amount, pvPayExpected, NOTIONAL * TOL);
}
