public virtual void test_currentCash_pay()
{
CurrencyAmount capComputed = PRICER.currentCash(CAP, RATES_PAY, VOLS_PAY);
CurrencyAmount floorComputed = PRICER.currentCash(FLOOR, RATES_PAY, VOLS_PAY);
double capExpected = 0d;
IborCapletFloorletPeriod period = FLOOR.CapletFloorletPeriods.get(1);
double floorExpected = -(STRIKE - OBS_INDEX_2) * NOTIONAL_VALUE * period.YearFraction;
assertEquals(capComputed.Currency, EUR);
assertEquals(capComputed.Amount, capExpected);
assertEquals(floorComputed.Currency, EUR);
assertEquals(floorComputed.Amount, floorExpected, TOL * NOTIONAL_VALUE);
}
public virtual void test_presentValue_after()
{
CurrencyAmount capComputed = PRICER.presentValue(CAP, RATES_AFTER, VOLS_AFTER);
CurrencyAmount floorComputed = PRICER.presentValue(FLOOR, RATES_AFTER, VOLS_AFTER);
double capExpected = 0d;
IborCapletFloorletPeriod period = FLOOR.CapletFloorletPeriods.get(1);
double floorExpected = -(STRIKE - OBS_INDEX_2) * NOTIONAL_VALUE * period.YearFraction * RATES_AFTER.discountFactor(EUR, period.PaymentDate);
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 2; i < nPeriods; ++i)
{
capExpected += PRICER_PERIOD.presentValue(CAP.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).Amount;
floorExpected += PRICER_PERIOD.presentValue(FLOOR.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).Amount;
}
assertEquals(capComputed.Currency, EUR);
assertEquals(capComputed.Amount, capExpected, TOL * NOTIONAL_VALUE);
assertEquals(floorComputed.Currency, EUR);
assertEquals(floorComputed.Amount, floorExpected, TOL * NOTIONAL_VALUE);
}
public virtual void test_presentValueSensitivity_after()
{
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityRates(CAP, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityRates(FLOOR, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder capExpected = PointSensitivityBuilder.none();
IborCapletFloorletPeriod period = FLOOR.CapletFloorletPeriods.get(1);
PointSensitivityBuilder floorExpected = RATES_AFTER.discountFactors(EUR).zeroRatePointSensitivity(period.PaymentDate).multipliedBy(-(STRIKE - OBS_INDEX_2) * NOTIONAL_VALUE * period.YearFraction);
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 2; i < nPeriods; ++i)
{
capExpected = capExpected.combinedWith(PRICER_PERIOD.presentValueSensitivityRates(CAP.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER));
floorExpected = floorExpected.combinedWith(PRICER_PERIOD.presentValueSensitivityRates(FLOOR.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER));
}
CurrencyParameterSensitivities capSensiComputed = RATES_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = RATES_AFTER.parameterSensitivity(floorComputed.build());
CurrencyParameterSensitivities capSensiExpected = RATES_AFTER.parameterSensitivity(capExpected.build());
CurrencyParameterSensitivities floorSensiExpected = RATES_AFTER.parameterSensitivity(floorExpected.build());
assertTrue(capSensiComputed.equalWithTolerance(capSensiExpected, NOTIONAL_VALUE * TOL));
assertTrue(floorSensiComputed.equalWithTolerance(floorSensiExpected, NOTIONAL_VALUE * TOL));
}
