FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, INDEX_EURIBOR3M, IS_PAYER, strike, true, TARGET);
final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
final CapFloorIborLMMDDMethod methodCapLMM = new CapFloorIborLMMDDMethod();
final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_EURIBOR3M.getTenor(), TARGET, INDEX_EURIBOR3M.getDayCount(),
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