//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the CMS product.
/// <para>
/// The present value of the product is the value on the valuation date.
/// </para>
/// <para>
/// CMS leg and pay leg are typically in the same currency. Thus the present value is expressed as a
/// single currency amount in most cases.
///
/// </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 present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
CurrencyAmount pvCmsLeg = cmsLegPricer.presentValue(cms.CmsLeg, ratesProvider, swaptionVolatilities);
if (!cms.PayLeg.Present)
{
return(MultiCurrencyAmount.of(pvCmsLeg));
}
CurrencyAmount pvPayLeg = payLegPricer.presentValue(cms.PayLeg.get(), ratesProvider);
return(MultiCurrencyAmount.of(pvCmsLeg).plus(pvPayLeg));
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount computed = LEG_PRICER.presentValue(CAP_LEG, RATES_PROVIDER, VOLATILITIES);
double expected = 0d;
IList <CmsPeriod> cms = CAP_LEG.CmsPeriods;
int size = cms.Count;
for (int i = 0; i < size; ++i)
{
expected += PERIOD_PRICER.presentValue(cms[i], RATES_PROVIDER, VOLATILITIES).Amount;
}
assertEquals(computed.Currency, EUR);
assertEquals(computed.Amount, expected, NOTIONAL_VALUE_0 * TOL);
}
public virtual void test_presentValue()
{
MultiCurrencyAmount pv1 = PRODUCT_PRICER.presentValue(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
MultiCurrencyAmount pv2 = PRODUCT_PRICER.presentValue(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
CurrencyAmount pvCms = CMS_LEG_PRICER.presentValue(CMS_LEG, RATES_PROVIDER, VOLATILITIES);
CurrencyAmount pvPay = SWAP_LEG_PRICER.presentValue(PAY_LEG, RATES_PROVIDER);
assertEquals(pv1, MultiCurrencyAmount.of(pvCms));
assertEquals(pv2, MultiCurrencyAmount.of(pvCms).plus(pvPay));
}
