//-------------------------------------------------------------------------
public virtual void present_value_premium_forward()
{
CurrencyAmount pvTrade = PRICER_TRADE.presentValue(SWAPTION_PREFWD_LONG_REC, MULTI_USD, NORMAL_VOLS_USD);
CurrencyAmount pvProduct = PRICER_PRODUCT.presentValue(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD);
CurrencyAmount pvPremium = PRICER_PAYMENT.presentValue(PREMIUM_FWD_PAY, MULTI_USD);
assertEquals(pvTrade.Amount, pvProduct.Amount + pvPremium.Amount, TOLERANCE_PV);
// test via VolatilitySwaptionTradePricer
CurrencyAmount pv = PRICER_COMMON.presentValue(SWAPTION_PREFWD_LONG_REC, MULTI_USD, NORMAL_VOLS_USD);
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, NormalSwaptionVolatilities 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 validate_physical_settlement()
{
assertThrowsIllegalArg(() => PRICER_SWAPTION_NORMAL.presentValue(SWAPTION_LONG_REC_CASH, MULTI_USD, NORMAL_VOLS_USD_STD));
}
