Package com.opengamma.util.money

Examples of com.opengamma.util.money.MultipleCurrencyAmount

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    final Map<LocalDate, MultipleCurrencyAmount> result = new HashMap<>();
    for (final PaymentDefinition payment : annuity.getPayments()) {
      final Map<LocalDate, MultipleCurrencyAmount> payments = payment.accept(this);
      for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
        final int scale = entry.getValue().getCurrencyAmounts()[0].getAmount() < 0 ? -1 : 1;
        final MultipleCurrencyAmount mca = entry.getValue().multipliedBy(scale);
        final LocalDate key = entry.getKey();
        if (result.containsKey(key)) {
          result.put(key, result.get(key).plus(mca));
        } else {
          result.put(key, mca);
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    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, shiftTime);
    final SmileDeltaTermStructureDataBundle tomorrowData = data.with(shiftedCurves);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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    final Map<LocalDate, MultipleCurrencyAmount> result = new HashMap<>();
    for (final PaymentDefinition payment : annuity.getPayments()) {
      final Map<LocalDate, MultipleCurrencyAmount> payments = payment.accept(this);
      for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
        final int scale = entry.getValue().getCurrencyAmounts()[0].getAmount() < 0 ? -1 : 1;
        final MultipleCurrencyAmount mca = entry.getValue().multipliedBy(scale);
        final LocalDate key = entry.getKey();
        if (result.containsKey(key)) {
          result.put(key, result.get(key).plus(mca));
        } else {
          result.put(key, mca);
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    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityData = data.getVolatilityModel();
    final SmileDeltaTermStructureParametersStrikeInterpolation smile = new SmileDeltaTermStructureParametersStrikeInterpolation(volatilityData.getVolatilityTerm(),
        volatilityData.getStrikeInterpolator()) {

      @Override
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   */
  public MultipleCurrencyAmount presentValue(final InterestRateFutureOptionMarginTransaction transaction, final DATA_TYPE data) {
    ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
    ArgumentChecker.notNull(data, "data provider");
    double priceSecurity = _methodSecurity.price(transaction.getUnderlyingOption(), data);
    MultipleCurrencyAmount pvTransaction = presentValueFromPrice(transaction, priceSecurity);
    return pvTransaction;
  }
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   * @param cap The caplet/floorlet.
   * @param black The Black implied volatility and multi-curve provider.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CapFloorInflationZeroCouponMonthly cap, final BlackSmileCapInflationZeroCouponProviderInterface black) {
    final MultipleCurrencyAmount nonDiscountedPresentValue = netAmount(cap, black);
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    return nonDiscountedPresentValue.multipliedBy(df);
  }
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   * @param black The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final BlackSmileCapInflationYearOnYearProviderDiscount black) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, black);
    final MultipleCurrencyAmount pvInitMinus = pvInit.multipliedBy(-1.0);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }

    // Inflation
    final Set<IndexPrice> indexPrice = black.getInflationProvider().getPriceIndexes();
    for (final IndexPrice index : indexPrice) {
      final PriceIndexCurve curveIndex = black.getInflationProvider().getCurve(index);

      ArgumentChecker.isTrue(curveIndex.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveIndex.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final PriceIndexCurve dscBumped = new PriceIndexCurve(new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketDscBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withPriceIndex(index, dscBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }

    // Discounting
    final Set<Currency> ccyDiscounting = black.getInflationProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = black.getInflationProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketDscBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withDiscountFactor(ccy, dscBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = black.getInflationProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = black.getInflationProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketFwdBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withForward(index, fwdBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = black.getInflationProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = black.getInflationProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketFwdBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withForward(index, fwdBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
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   * @param cap The caplet/floorlet.
   * @param black The Black implied volatility and multi-curve provider.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CapFloorInflationYearOnYearInterpolation cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    final MultipleCurrencyAmount nonDiscountedPresentValue = netAmount(cap, black);
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    return nonDiscountedPresentValue.multipliedBy(df);
  }
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   * @param data The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final BlackForexSmileProviderDiscount data) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, data);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = data.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = data.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketDscBumpedPlus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketDscBumpedMinus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = data.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = data.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = data.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketFwdBumpedPlus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withForward(index, dscBumpedPlus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketFwdBumpedMinus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withForward(index, dscBumpedMinus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = data.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = data.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = data.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketFwdBumpedPlus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withForward(index, dscBumpedPlus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketFwdBumpedMinus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withForward(index, dscBumpedMinus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = data.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
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   * @param cap The caplet/floorlet.
   * @param black The Black implied volatility and multi-curve provider.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CapFloorInflationYearOnYearMonthly cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    final MultipleCurrencyAmount nonDiscountedPresentValue = netAmount(cap, black);
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    return nonDiscountedPresentValue.multipliedBy(df);
  }
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