public virtual void test_cashFlowEquivalent_pv() { ResolvedSwap swap = ResolvedSwap.of(IBOR_LEG, FIXED_LEG); ResolvedSwapLeg cfe = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, PROVIDER); DiscountingSwapLegPricer pricerLeg = DiscountingSwapLegPricer.DEFAULT; DiscountingSwapProductPricer pricerSwap = DiscountingSwapProductPricer.DEFAULT; CurrencyAmount pvCfe = pricerLeg.presentValue(cfe, PROVIDER); MultiCurrencyAmount pvSwap = pricerSwap.presentValue(swap, PROVIDER); assertEquals(pvCfe.Amount, pvSwap.getAmount(GBP).Amount, TOLERANCE_PV); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param> /// <param name="paymentPricer"> the pricer for <seealso cref="Payment"/> </param> public DiscountingCmsTradePricer(DiscountingSwapProductPricer swapPricer, DiscountingPaymentPricer paymentPricer) { this.paymentPricer = ArgChecker.notNull(paymentPricer, "paymentPricer"); this.productPricer = new DiscountingCmsProductPricer(swapPricer); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param> public BlackSwaptionPhysicalProductPricer(DiscountingSwapProductPricer swapPricer) : base(swapPricer) { }
/// <summary> /// Creates an instance. /// </summary> /// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param> public DiscountingCmsProductPricer(DiscountingSwapProductPricer swapPricer) { this.swapPricer = ArgChecker.notNull(swapPricer, "swapPricer"); this.cmsLegPricer = new DiscountingCmsLegPricer(new DiscountingCmsPeriodPricer(swapPricer)); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="swapPricer"> the pricer for <seealso cref="ResolvedSwap"/>. </param> public DiscountingDsfProductPricer(DiscountingSwapProductPricer swapPricer) { this.swapPricer = ArgChecker.notNull(swapPricer, "swapPricer"); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param> public SabrSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer) : base(swapPricer) { }