//-------------------------------------------------------------------------
public virtual void present_value_premium_forward()
{
CurrencyAmount pvTrade = PRICER_TRADE.presentValue(SWAPTION_PREFWD_LONG_REC, RATE_PROVIDER, VOLS);
CurrencyAmount pvProduct = PRICER_PRODUCT.presentValue(SWAPTION_LONG_REC, RATE_PROVIDER, VOLS);
CurrencyAmount pvPremium = PRICER_PAYMENT.presentValue(PREMIUM_FWD_PAY, RATE_PROVIDER);
assertEquals(pvTrade.Amount, pvProduct.Amount + pvPremium.Amount, NOTIONAL * TOL);
// test via VolatilitySwaptionTradePricer
CurrencyAmount pv = PRICER_COMMON.presentValue(SWAPTION_PREFWD_LONG_REC, RATE_PROVIDER, VOLS);
assertEquals(pv, pvTrade);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the swaption trade.
/// <para>
/// The result is expressed using the currency of the swaption.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, BlackSwaptionVolatilities swaptionVolatilities)
{
// product
ResolvedSwaption product = trade.Product;
CurrencyAmount pvProduct = isCash(product) ? cashParYieldPricer.presentValue(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValue(product, ratesProvider, swaptionVolatilities);
// premium
Payment premium = trade.Premium;
CurrencyAmount pvPremium = paymentPricer.presentValue(premium, ratesProvider);
// total
return(pvProduct.plus(pvPremium));
}
public virtual void test_presentValue()
{
CurrencyAmount computedRec = PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount computedPay = PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = SWAP_PRICER.LegPricer.annuityCash(RFIXED_LEG_REC, forward);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
double tenor = VOLS.tenor(SETTLE, END);
double volatility = SURFACE.zValue(expiry, tenor);
double settle = ACT_ACT_ISDA.relativeYearFraction(VAL_DATE, SETTLE);
double df = Math.Exp(-DSC_CURVE.yValue(settle) * settle);
double expectedRec = df * annuityCash * BlackFormulaRepository.price(forward, RATE, expiry, volatility, false);
double expectedPay = -df *annuityCash *BlackFormulaRepository.price(forward, RATE, expiry, volatility, true);
assertEquals(computedRec.Currency, EUR);
assertEquals(computedRec.Amount, expectedRec, NOTIONAL * TOL);
assertEquals(computedPay.Currency, EUR);
assertEquals(computedPay.Amount, expectedPay, NOTIONAL * TOL);
}