/// <summary>
/// Validates that the swaption is single currency cash par-yield.
/// </summary>
/// <param name="swaption"> the swaption </param>
protected internal virtual void validateSwaption(ResolvedSwaption swaption)
{
ArgChecker.isFalse(swaption.Underlying.CrossCurrency, "Underlying swap must be single currency");
ArgChecker.isTrue(swaption.SwaptionSettlement.SettlementType.Equals(SettlementType.CASH), "Swaption must be cash settlement");
CashSwaptionSettlement cashSettle = (CashSwaptionSettlement)swaption.SwaptionSettlement;
ArgChecker.isTrue(cashSettle.Method.Equals(CashSwaptionSettlementMethod.PAR_YIELD), "Cash settlement method must be par yield");
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the numeraire, used to multiply the results.
/// </summary>
/// <param name="swaption"> the swap </param>
/// <param name="fixedLeg"> the fixed leg </param>
/// <param name="forward"> the forward rate </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the numeraire </returns>
protected internal virtual double calculateNumeraire(ResolvedSwaption swaption, ResolvedSwapLeg fixedLeg, double forward, RatesProvider ratesProvider)
{
double annuityCash = swapPricer.LegPricer.annuityCash(fixedLeg, forward);
CashSwaptionSettlement cashSettlement = (CashSwaptionSettlement)swaption.SwaptionSettlement;
double discountSettle = ratesProvider.discountFactor(fixedLeg.Currency, cashSettlement.SettlementDate);
return(Math.Abs(annuityCash * discountSettle));
}
