Package com.opengamma.analytics.financial.interestrate.payments.method

Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborHullWhiteMethod.presentValue()

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        strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    double pvFlooredExpected = 0.0;
    pvFlooredExpected += ratchetFixed.getNthPayment(0).accept(PVC, CURVES);
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected += factor * methodCapHW.presentValue(cap.getNthPayment(loopcpn), BUNDLE_HW).getAmount();
      pvFlooredExpected += factor * fixed.getNthPayment(loopcpn).accept(PVC, CURVES);
    }
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in floor leg", pvFlooredExpected, pvFloorMC.getAmount(), 2.5E+3);
  }

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        strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(referenceDate, CURVES_NAMES);
    double pvFlooredExpected = 0.0;
    pvFlooredExpected += ratchetIbor.getNthPayment(0).accept(PVC, CURVES);
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected += factor * methodCapHW.presentValue(cap.getNthPayment(loopcpn), BUNDLE_HW).getAmount();
      pvFlooredExpected += factor * fixed.getNthPayment(loopcpn).accept(PVC, CURVES);
    }
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in floor leg", pvFlooredExpected, pvFlooredMC.getAmount(), 2.5E+3);
  }

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