//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityBlackVolatility()
{
FxOptionSensitivity computedCall = (FxOptionSensitivity)PRICER.presentValueSensitivityModelParamsVolatility(CALL_OTM, RATES_PROVIDER, VOLS);
FxOptionSensitivity computedPut = (FxOptionSensitivity)PRICER.presentValueSensitivityModelParamsVolatility(PUT_ITM, RATES_PROVIDER, VOLS);
double timeToExpiry = VOLS.relativeTime(EXPIRY);
double df = RATES_PROVIDER.discountFactor(USD, PAYMENT_DATE);
double forward = PRICER.DiscountingFxSingleProductPricer.forwardFxRate(FX_PRODUCT_HIGH, RATES_PROVIDER).fxRate(CURRENCY_PAIR);
double vol = SMILE_TERM.volatility(timeToExpiry, STRIKE_RATE_HIGH, forward);
FxOptionSensitivity expected = FxOptionSensitivity.of(VOLS.Name, CURRENCY_PAIR, timeToExpiry, STRIKE_RATE_HIGH, forward, USD, -NOTIONAL * df * BlackFormulaRepository.vega(forward, STRIKE_RATE_HIGH, timeToExpiry, vol));
assertTrue(computedCall.build().equalWithTolerance(expected.build(), NOTIONAL * TOL));
assertTrue(computedPut.build().equalWithTolerance(expected.build().multipliedBy(-1d), NOTIONAL * TOL));
}
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(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxVanillaOption product = trade.Product;
return(productPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, volatilities).build());
}
