public virtual void test_price_from_generic_provider()
{
BondFutureVolatilities vols = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, SURFACE);
double computed = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, vols);
double expected = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS);
assertEquals(computed, expected, TOL);
}
public virtual void test_priceSensitivity_from_generic_provider()
{
BondFutureVolatilities volProvider = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, SURFACE);
PointSensitivities expected = OPTION_PRICER.priceSensitivityRatesStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS);
PointSensitivities computed = OPTION_PRICER.priceSensitivity(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, volProvider);
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the bond future option trade.
/// <para>
/// The price of the trade is the price on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the price of the product, in decimal form </returns>
public double price(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
return(productPricer.price(trade.Product, discountingProvider, volatilities));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the bond future option trade.
/// <para>
/// This method calculates based on the difference between the model price and the
/// last settlement price, or the trade price if traded on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <param name="lastOptionSettlementPrice"> the last settlement price used for margining for the option, in decimal form </param>
/// <returns> the currency exposure of the bond future option trade </returns>
public MultiCurrencyAmount currencyExposure(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities, double lastOptionSettlementPrice)
{
double price = this.price(trade, discountingProvider, volatilities);
return(currencyExposure(trade, discountingProvider.ValuationDate, price, lastOptionSettlementPrice));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the bond future option trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public PointSensitivities presentValueSensitivityRates(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
ResolvedBondFutureOption product = trade.Product;
PointSensitivities priceSensi = productPricer.priceSensitivity(product, discountingProvider, volatilities);
PointSensitivities marginIndexSensi = productPricer.marginIndexSensitivity(product, priceSensi);
return(marginIndexSensi.multipliedBy(trade.Quantity));
}
internal PointSensitivities priceSensitivity(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
ArgChecker.isTrue(volatilities is BlackBondFutureVolatilities, "Provider must be of type BlackVolatilityBondFutureProvider");
return(priceSensitivityRatesStickyStrike(futureOption, discountingProvider, (BlackBondFutureVolatilities)volatilities));
}
internal double price(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
ArgChecker.isTrue(volatilities is BlackBondFutureVolatilities, "Provider must be of type BlackVolatilityBondFutureProvider");
return(price(futureOption, discountingProvider, (BlackBondFutureVolatilities)volatilities));
}
