//-------------------------------------------------------------------------
public virtual void test_explainPresentValue()
{
ExplainMap explain = LEG_PRICER.explainPresentValue(CAP_LEG, RATES_PROVIDER, VOLATILITIES);
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "CmsLeg");
assertEquals(explain.get(ExplainKey.PAY_RECEIVE).get().ToString(), "Receive");
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get().Code, "EUR");
assertEquals(explain.get(ExplainKey.START_DATE).get(), LocalDate.of(2015, 10, 21));
assertEquals(explain.get(ExplainKey.END_DATE).get(), LocalDate.of(2020, 10, 21));
assertEquals(explain.get(ExplainKey.INDEX).get().ToString(), "EUR-EURIBOR-1100-5Y");
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Amount, 39728.51321029542);
IList <ExplainMap> paymentPeriods = explain.get(ExplainKey.PAYMENT_PERIODS).get();
assertEquals(paymentPeriods.Count, 5);
//Test First Period
ExplainMap cmsPeriod0 = paymentPeriods[0];
assertEquals(cmsPeriod0.get(ExplainKey.ENTRY_TYPE).get(), "CmsCapletPeriod");
assertEquals(cmsPeriod0.get(ExplainKey.STRIKE_VALUE).Value, 0.0125d);
assertEquals(cmsPeriod0.get(ExplainKey.NOTIONAL).get().Amount, 1000000d);
assertEquals(cmsPeriod0.get(ExplainKey.PAYMENT_DATE).get(), LocalDate.of(2016, 10, 21));
assertEquals(cmsPeriod0.get(ExplainKey.DISCOUNT_FACTOR).Value, 0.9820085531995826d);
assertEquals(cmsPeriod0.get(ExplainKey.START_DATE).get(), LocalDate.of(2015, 10, 21));
assertEquals(cmsPeriod0.get(ExplainKey.END_DATE).get(), LocalDate.of(2016, 10, 21));
assertEquals(cmsPeriod0.get(ExplainKey.FIXING_DATE).get(), LocalDate.of(2015, 10, 19));
assertEquals(cmsPeriod0.get(ExplainKey.ACCRUAL_YEAR_FRACTION).Value, 1.0166666666666666d);
double forwardSwapRate = PRICER_SWAP.parRate(CAP_LEG.CmsPeriods.get(0).UnderlyingSwap, RATES_PROVIDER);
assertEquals(cmsPeriod0.get(ExplainKey.FORWARD_RATE).Value, forwardSwapRate);
CurrencyAmount pv = PERIOD_PRICER.presentValue(CAP_LEG.CmsPeriods.get(0), RATES_PROVIDER, VOLATILITIES);
assertEquals(cmsPeriod0.get(ExplainKey.PRESENT_VALUE).get(), pv);
}
//-------------------------------------------------------------------------
/// <summary>
/// Explains the present value of the CMS product.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the explain PV map </returns>
public virtual ExplainMap explainPresentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
ExplainMapBuilder builder = ExplainMap.builder();
builder.put(ExplainKey.ENTRY_TYPE, "CmsSwap");
IList <ExplainMap> legsExplain = new List <ExplainMap>();
legsExplain.Add(cmsLegPricer.explainPresentValue(cms.CmsLeg, ratesProvider, swaptionVolatilities));
if (cms.PayLeg.Present)
{
legsExplain.Add(payLegPricer.explainPresentValue(cms.PayLeg.get(), ratesProvider));
}
builder.put(ExplainKey.LEGS, legsExplain);
return(builder.build());
}
public virtual void test_pvExplain()
{
ExplainMap explain1 = PRODUCT_PRICER.explainPresentValue(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
assertEquals(explain1.get(ExplainKey.ENTRY_TYPE).get(), "CmsSwap");
assertEquals(explain1.get(ExplainKey.LEGS).get().size(), 1);
ExplainMap explain2 = PRODUCT_PRICER.explainPresentValue(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
assertEquals(explain2.get(ExplainKey.ENTRY_TYPE).get(), "CmsSwap");
assertEquals(explain2.get(ExplainKey.LEGS).get().size(), 2);
ExplainMap explainCms = CMS_LEG_PRICER.explainPresentValue(CMS_LEG, RATES_PROVIDER, VOLATILITIES);
ExplainMap explainOther = SWAP_LEG_PRICER.explainPresentValue(CMS_TWO_LEGS.PayLeg.get(), RATES_PROVIDER);
assertEquals(explain2.get(ExplainKey.LEGS).get().get(0), explainCms);
assertEquals(explain2.get(ExplainKey.LEGS).get().get(1), explainOther);
}
