public virtual void test_currentCash_onPay()
{
MultiCurrencyAmount cc1 = PRODUCT_PRICER.currentCash(CMS_ONE_LEG, RATES_PROVIDER_ON_PAY, VOLATILITIES_ON_PAY);
MultiCurrencyAmount cc2 = PRODUCT_PRICER.currentCash(CMS_TWO_LEGS, RATES_PROVIDER_ON_PAY, VOLATILITIES_ON_PAY);
CurrencyAmount ccCms = CMS_LEG_PRICER.currentCash(CMS_LEG, RATES_PROVIDER_ON_PAY, VOLATILITIES_ON_PAY);
CurrencyAmount ccPay = SWAP_LEG_PRICER.currentCash(PAY_LEG, RATES_PROVIDER_ON_PAY);
assertEquals(cc1, MultiCurrencyAmount.of(ccCms));
assertEquals(cc2, MultiCurrencyAmount.of(ccCms).plus(ccPay));
}
/// <summary>
/// Calculates the current cash of the product.
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the current cash </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
CurrencyAmount ccCmsLeg = cmsLegPricer.currentCash(cms.CmsLeg, ratesProvider, swaptionVolatilities);
if (!cms.PayLeg.Present)
{
return(MultiCurrencyAmount.of(ccCmsLeg));
}
CurrencyAmount ccPayLeg = payLegPricer.currentCash(cms.PayLeg.get(), ratesProvider);
return(MultiCurrencyAmount.of(ccPayLeg).plus(ccCmsLeg));
}
//-------------------------------------------------------------------------
public virtual void test_currentCash()
{
CurrencyAmount computed = LEG_PRICER.currentCash(FLOOR_LEG, RATES_PROVIDER, VOLATILITIES);
assertEquals(computed, CurrencyAmount.zero(EUR));
}
