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

com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborLMMDDMethod.presentValue()

Computes the present value of the cap/floor in the LMM. It is computed using a Black formula (on the shifted rate). The volatility is the LMM volatilities for the relevant period multiplied by the time dependent factor square mean. The method is used mainly for calibration purposes. @param cap The cap. Should have the same underlying index as the model (same payment frequency). @param lmmData The Model parameters. @return The present value.

        INDEX_EURIBOR3M.getBusinessDayConvention(), INDEX_EURIBOR3M.isEndOfMonth(), NOTIONAL, 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 * methodCapLMM.presentValue(cap.getNthPayment(loopcpn), BUNDLE_LMM).getAmount();
      pvFlooredExpected += factor * fixed.getNthPayment(loopcpn).accept(PVC, CURVES);
    }
    final CurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, EUR, CURVES.getCurve(CURVES_NAMES[0]), BUNDLE_LMM);
    assertEquals("Annuity Ratchet Ibor - Hull-White - LMM - Degenerate in floor leg", pvFlooredExpected, pvFloorMC.getAmount(), 2.5E+3);
    // For 500,000 path the difference is 561.70

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