public virtual void test_presentValueSensitivityBlackVolatility()
{
PointSensitivities pvSensiTrade = PRICER_TRADE.presentValueSensitivityModelParamsVolatility(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct = PRICER_PRODUCT.presentValueSensitivityModelParamsVolatility(OPTION_PRODUCT, RATES_PROVIDER, VOLS).build();
assertEquals(pvSensiTrade, pvSensiProduct);
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value sensitivity to the black volatility used in the pricing.
/// <para>
/// The result is a single sensitivity to the volatility used.
///
/// </para>
/// </summary>
/// <param name="trade"> the option trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxSingleBarrierOption product = trade.Product;
return(productPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, volatilities).build());
}