public virtual void test_cashFlowEquivalent_pv()
{
ResolvedSwap swap = ResolvedSwap.of(IBOR_LEG, FIXED_LEG);
ResolvedSwapLeg cfe = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, PROVIDER);
DiscountingSwapLegPricer pricerLeg = DiscountingSwapLegPricer.DEFAULT;
DiscountingSwapProductPricer pricerSwap = DiscountingSwapProductPricer.DEFAULT;
CurrencyAmount pvCfe = pricerLeg.presentValue(cfe, PROVIDER);
MultiCurrencyAmount pvSwap = pricerSwap.presentValue(swap, PROVIDER);
assertEquals(pvCfe.Amount, pvSwap.getAmount(GBP).Amount, TOLERANCE_PV);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param>
/// <param name="paymentPricer"> the pricer for <seealso cref="Payment"/> </param>
public DiscountingCmsTradePricer(DiscountingSwapProductPricer swapPricer, DiscountingPaymentPricer paymentPricer)
{
this.paymentPricer = ArgChecker.notNull(paymentPricer, "paymentPricer");
this.productPricer = new DiscountingCmsProductPricer(swapPricer);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param>
public BlackSwaptionPhysicalProductPricer(DiscountingSwapProductPricer swapPricer) : base(swapPricer)
{
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param>
public DiscountingCmsProductPricer(DiscountingSwapProductPricer swapPricer)
{
this.swapPricer = ArgChecker.notNull(swapPricer, "swapPricer");
this.cmsLegPricer = new DiscountingCmsLegPricer(new DiscountingCmsPeriodPricer(swapPricer));
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="ResolvedSwap"/>. </param>
public DiscountingDsfProductPricer(DiscountingSwapProductPricer swapPricer)
{
this.swapPricer = ArgChecker.notNull(swapPricer, "swapPricer");
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param>
public SabrSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer) : base(swapPricer)
{
}