//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the FX swap product.
/// <para>
/// This discounts each payment on each leg in its own currency.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value in the two natural currencies </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedFxSwap swap, RatesProvider provider)
{
MultiCurrencyAmount farPv = fxPricer.presentValue(swap.FarLeg, provider);
MultiCurrencyAmount nearPv = fxPricer.presentValue(swap.NearLeg, provider);
return(nearPv.plus(farPv));
}
public virtual void test_presentValue()
{
MultiCurrencyAmount computed = PRICER.presentValue(FWD, PROVIDER);
double expected1 = NOMINAL_USD * PROVIDER.discountFactor(USD, PAYMENT_DATE);
double expected2 = -NOMINAL_USD *FX_RATE *PROVIDER.discountFactor(KRW, PAYMENT_DATE);
assertEquals(computed.getAmount(USD).Amount, expected1, NOMINAL_USD * TOL);
assertEquals(computed.getAmount(KRW).Amount, expected2, NOMINAL_USD * TOL);
}
// Checks that the NDF present value is coherent with the standard FX forward present value.
public virtual void test_presentValueVsForex()
{
CurrencyAmount pvNDF = PRICER.presentValue(NDF, PROVIDER);
MultiCurrencyAmount pvFX = PRICER_FX.presentValue(FOREX, PROVIDER);
assertEquals(pvNDF.Amount, pvFX.getAmount(USD).Amount + pvFX.getAmount(KRW).Amount *FX_MATRIX.fxRate(KRW, USD), NOMINAL_USD * TOL);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
assertEquals(TRADE_PRICER.presentValue(TRADE, PROVIDER), PRODUCT_PRICER.presentValue(PRODUCT, PROVIDER));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the trade.
/// <para>
/// The present value of the trade is the value on the valuation date.
/// The present value is returned in the settlement currency.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the trade in the settlement currency </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.presentValue(trade.Product, provider));
}
