public virtual void test_price()
{
double computed = PRICER.price(FUTURE_TRADE, RATE_PROVIDER, HW_PROVIDER);
double expected = PRICER_PRODUCT.price(FUTURE, RATE_PROVIDER, HW_PROVIDER);
assertEquals(computed, expected, TOL);
}
public virtual void test_price()
{
double computed = PRICER.price(FUTURE, RATE_PROVIDER, HW_PROVIDER);
LocalDate start = FUTURE.IborRate.Observation.EffectiveDate;
LocalDate end = FUTURE.IborRate.Observation.MaturityDate;
double fixingYearFraction = FUTURE.IborRate.Observation.YearFraction;
double convexity = HW_PROVIDER.futuresConvexityFactor(FUTURE.LastTradeDate, start, end);
double forward = RATE_PROVIDER.iborIndexRates(EUR_EURIBOR_3M).rate(FUTURE.IborRate.Observation);
double expected = 1d - convexity * forward + (1d - convexity) / fixingYearFraction;
assertEquals(computed, expected, TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the Ibor future trade.
/// <para>
/// The price of the trade is the price on the valuation date.
/// The price is calculated using the Hull-White model.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the price of the trade, in decimal form </returns>
public virtual double price(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
return(productPricer.price(trade.Product, ratesProvider, hwProvider));
}
