//------------------------------------------------------------------------- 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)); }