public static double SwapPv(IPriceCurve priceCurve, AsianSwapStrip swap, IIrCurve discountCurve)
{
var swapletPVs = swap.Swaplets.Select(s =>
(priceCurve.GetAveragePriceForDates(s.FixingDates.AddPeriod(RollType.F, s.FixingCalendar, s.SpotLag)) - s.Strike)
* (s.Direction == TradeDirection.Long ? 1.0 : -1.0)
* discountCurve.GetDf(priceCurve.BuildDate, s.PaymentDate));
return(swapletPVs.Sum());
}
public void AsianSwapStripFact()
{
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var fixDates = new[] { DateTime.Today };
var x = new AsianSwapStrip
{
Swaplets = new[] { new AsianSwap {
AssetId = "CL", PaymentCurrency = usd, DiscountCurve = "X", FixingDates = fixDates, Strike = 6, Notional = 1
} },
};
var fakeModel = new Mock <IAssetFxModel>();
var c = new ConstantPriceCurve(100, DateTime.Today, TestProviderHelper.CurrencyProvider)
{
Currency = usd
};
fakeModel.Setup(xx => xx.GetPriceCurve(It.IsAny <string>(), null)).Returns(c);
Assert.Equal(usd, x.Currency);
Assert.Equal(usd, x.PaymentCurrency);
var a = x.AssetIds;
Assert.Contains("CL", a);
Assert.Single(x.IrCurves(fakeModel.Object));
Assert.Equal(FxConversionType.None, x.FxType(fakeModel.Object));
Assert.Equal(6, x.Swaplets.First().Strike);
var y = (AsianSwapStrip)x.SetStrike(7);
Assert.Equal(6, x.Swaplets.First().Strike);
Assert.Equal(7, y.Swaplets.First().Strike);
var pf = x.PastFixingDates(DateTime.Today.AddDays(1));
Assert.Contains("CL", pf.Keys);
var z = (AsianSwapStrip)x.Clone();
Assert.True(x.Equals(z));
z.TradeId = "zzz";
Assert.False(x.Equals(z));
Assert.Equal(1.0, x.SupervisoryDelta(fakeModel.Object));
}
