/// <summary>
/// Calculates the present value curve sensitivity of the CMS product by simple forward estimation.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(ResolvedCms cms, RatesProvider ratesProvider)
{
PointSensitivityBuilder pvSensiCmsLeg = cmsLegPricer.presentValueSensitivity(cms.CmsLeg, ratesProvider);
if (!cms.PayLeg.Present)
{
return(pvSensiCmsLeg);
}
PointSensitivityBuilder pvSensiPayLeg = swapPricer.LegPricer.presentValueSensitivity(cms.PayLeg.get(), ratesProvider);
return(pvSensiCmsLeg.combinedWith(pvSensiPayLeg));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the CMS product by simple forward estimation.
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedCms cms, RatesProvider ratesProvider)
{
CurrencyAmount pvCmsLeg = cmsLegPricer.presentValue(cms.CmsLeg, ratesProvider);
if (!cms.PayLeg.Present)
{
return(MultiCurrencyAmount.of(pvCmsLeg));
}
CurrencyAmount pvPayLeg = swapPricer.LegPricer.presentValue(cms.PayLeg.get(), ratesProvider);
return(MultiCurrencyAmount.of(pvCmsLeg).plus(pvPayLeg));
}
/// <summary>
/// Calculates the current cash of the product.
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the current cash </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedCms cms, RatesProvider ratesProvider)
{
CurrencyAmount ccCmsLeg = cmsLegPricer.currentCash(cms.CmsLeg, ratesProvider);
if (!cms.PayLeg.Present)
{
return(MultiCurrencyAmount.of(ccCmsLeg));
}
CurrencyAmount ccPayLeg = swapPricer.LegPricer.currentCash(cms.PayLeg.get(), ratesProvider);
return(MultiCurrencyAmount.of(ccPayLeg).plus(ccCmsLeg));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the product.
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedCms cms, RatesProvider ratesProvider)
{
return(presentValue(cms, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Explains the present value of the CMS trade.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the explain PV map </returns>
public virtual ExplainMap explainPresentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
return(productPricer.explainPresentValue(cms, ratesProvider, swaptionVolatilities));
}