//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount computedRec = PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, HW_PROVIDER);
CurrencyAmount computedPay = PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, HW_PROVIDER);
SwapPaymentEventPricer <SwapPaymentEvent> paymentEventPricer = SwapPaymentEventPricer.standard();
ResolvedSwapLeg cashFlowEquiv = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(RSWAP_REC, RATE_PROVIDER);
LocalDate expiryDate = MATURITY.toLocalDate();
int nPayments = cashFlowEquiv.PaymentEvents.size();
double[] alpha = new double[nPayments];
double[] discountedCashFlow = new double[nPayments];
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
SwapPaymentEvent payment = cashFlowEquiv.PaymentEvents.get(loopcf);
alpha[loopcf] = HW_PROVIDER.alpha(RATE_PROVIDER.ValuationDate, expiryDate, expiryDate, payment.PaymentDate);
discountedCashFlow[loopcf] = paymentEventPricer.presentValue(payment, RATE_PROVIDER);
}
double omegaPay = -1d;
double kappa = HW_PROVIDER.Model.kappa(DoubleArray.copyOf(discountedCashFlow), DoubleArray.copyOf(alpha));
double expectedRec = 0.0;
double expectedPay = 0.0;
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
expectedRec += discountedCashFlow[loopcf] * NORMAL.getCDF((kappa + alpha[loopcf]));
expectedPay += discountedCashFlow[loopcf] * NORMAL.getCDF(omegaPay * (kappa + alpha[loopcf]));
}
assertEquals(computedRec.Currency, EUR);
assertEquals(computedRec.Amount, expectedRec, NOTIONAL * TOL);
assertEquals(computedPay.Currency, EUR);
assertEquals(computedPay.Amount, expectedPay, NOTIONAL * TOL);
}
// calculates the present value of the events composing the leg in the currency of the swap leg
internal virtual double presentValueEventsInternal(ResolvedSwapLeg leg, RatesProvider provider)
{
double total = 0d;
foreach (SwapPaymentEvent @event in leg.PaymentEvents)
{
if ([email protected](provider.ValuationDate))
{
total += paymentEventPricer.presentValue(@event, provider);
}
}
return(total);
}