public virtual void test_currencyExposure()
{
MultiCurrencyAmount computed1 = PRODUCT_PRICER.currencyExposure(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount computed2 = PRODUCT_PRICER.currencyExposure(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount pv1 = PRODUCT_PRICER.presentValue(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder pt1 = PRODUCT_PRICER.presentValueSensitivityRates(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount expected1 = RATES_PROVIDER.currencyExposure(pt1.build()).plus(pv1);
MultiCurrencyAmount pv2 = PRODUCT_PRICER.presentValue(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder pt2 = PRODUCT_PRICER.presentValueSensitivityRates(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount expected2 = RATES_PROVIDER.currencyExposure(pt2.build()).plus(pv2);
assertEquals(computed1.getAmount(EUR).Amount, expected1.getAmount(EUR).Amount, NOTIONAL_VALUE * TOL);
assertEquals(computed2.getAmount(EUR).Amount, expected2.getAmount(EUR).Amount, NOTIONAL_VALUE * TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the trade.
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
MultiCurrencyAmount ceCms = productPricer.currencyExposure(trade.Product, ratesProvider, swaptionVolatilities);
if (!trade.Premium.Present)
{
return(ceCms);
}
CurrencyAmount pvPremium = paymentPricer.presentValue(trade.Premium.get(), ratesProvider);
return(ceCms.plus(pvPremium));
}
