//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = SwaptionTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
VolatilitySwaptionTradePricer pricer = VolatilitySwaptionTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider.ValuationDate);
assertEquals(SwaptionTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(SwaptionTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(SwaptionTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(tradePricer.currencyExposure(trade, ratesProvider, volatilities));
}