public virtual void test_presentValue()
{
MultiCurrencyAmount computed1 = PRICER.presentValue(CAP_ONE_LEG, RATES, VOLS);
MultiCurrencyAmount computed2 = PRICER.presentValue(CAP_TWO_LEGS, RATES, VOLS);
CurrencyAmount cap = PRICER_CAP_LEG.presentValue(CAP_LEG, RATES, VOLS);
CurrencyAmount pay = PRICER_PAY_LEG.presentValue(PAY_LEG, RATES);
assertEquals(computed1, MultiCurrencyAmount.of(cap));
assertEquals(computed2, MultiCurrencyAmount.of(cap.plus(pay)));
}
public virtual void test_presentValue()
{
MultiCurrencyAmount computedWithPayLeg = PRICER.presentValue(TRADE_PAYLEG, RATES, VOLS);
MultiCurrencyAmount computedWithPremium = PRICER.presentValue(TRADE_PREMIUM, RATES, VOLS);
MultiCurrencyAmount pvOneLeg = PRICER_PRODUCT.presentValue(CAP_ONE_LEG, RATES, VOLS);
MultiCurrencyAmount pvTwoLegs = PRICER_PRODUCT.presentValue(CAP_TWO_LEGS, RATES, VOLS);
CurrencyAmount pvPrem = PRICER_PREMIUM.presentValue(PREMIUM, RATES);
assertEquals(computedWithPayLeg, pvTwoLegs);
assertEquals(computedWithPremium, pvOneLeg.plus(pvPrem));
}
