public virtual void test_price()
{
double computed = TRADE_PRICER.price(FUTURE_TRADE, PROVIDER);
double expected = PRODUCT_PRICER.price(FUTURE, PROVIDER);
assertEquals(computed, expected, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_price()
{
double computed = PRICER.price(FUTURE, PROVIDER);
double pvSwap = PRICER.SwapPricer.presentValue(RSWAP, PROVIDER).getAmount(USD).Amount;
double yc = ACT_ACT_ISDA.relativeYearFraction(VAL_DATE, DELIVERY);
double df = Math.Exp(-USD_DSC.yValue(yc) * yc);
double expected = 1d + pvSwap / df;
assertEquals(computed, expected, TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the underlying deliverable swap futures product.
/// <para>
/// The price of the trade is the price on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the price of the trade, in decimal form </returns>
public virtual double price(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
return(productPricer.price(trade.Product, ratesProvider));
}