//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the FX barrier option trade.
/// </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 currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
Payment premium = trade.Premium;
CurrencyAmount pvPremium = paymentPricer.presentValue(premium, ratesProvider);
ResolvedFxSingleBarrierOption product = trade.Product;
return(productPricer.currencyExposure(product, ratesProvider, volatilities).plus(pvPremium));
}
public virtual void test_currencyExposure()
{
MultiCurrencyAmount ceComputed = PRICER_TRADE.currencyExposure(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount ceExpected = PRICER_PRODUCT.currencyExposure(OPTION_PRODUCT, RATES_PROVIDER, VOLS).plus(PRICER_PAYMENT.presentValue(PREMIUM, RATES_PROVIDER));
assertEquals(ceComputed.size(), 2);
assertEquals(ceComputed.getAmount(EUR).Amount, ceExpected.getAmount(EUR).Amount, TOL * NOTIONAL);
assertEquals(ceComputed.getAmount(USD).Amount, ceExpected.getAmount(USD).Amount, TOL * NOTIONAL);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test_black_currencyExposure()
public virtual void test_black_currencyExposure()
{
double tol = 7.0e-2; // large tol due to approximated delta
for (int i = 0; i < 8; ++i)
{
// up barrier
double lowerBarrier = 1.1 + 0.025 * i;
SimpleConstantContinuousBarrier dko = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, lowerBarrier);
ResolvedFxSingleBarrierOption optionDko = ResolvedFxSingleBarrierOption.of(CALL, dko, REBATE_BASE);
MultiCurrencyAmount ceDkoBlack = BLACK_PRICER.currencyExposure(optionDko, RATE_PROVIDER_FLAT, VOLS_FLAT);
MultiCurrencyAmount ceDko = PRICER_70.currencyExposure(optionDko, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEquals(ceDko.getAmount(EUR).Amount, ceDkoBlack.getAmount(EUR).Amount, NOTIONAL * tol);
assertEquals(ceDko.getAmount(USD).Amount, ceDkoBlack.getAmount(USD).Amount, NOTIONAL * tol);
SimpleConstantContinuousBarrier dki = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_IN, lowerBarrier);
ResolvedFxSingleBarrierOption optionDki = ResolvedFxSingleBarrierOption.of(CALL, dki, REBATE);
MultiCurrencyAmount ceDkiBlack = BLACK_PRICER.currencyExposure(optionDki, RATE_PROVIDER_FLAT, VOLS_FLAT);
MultiCurrencyAmount ceDki = PRICER_70.currencyExposure(optionDki, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEquals(ceDki.getAmount(EUR).Amount, ceDkiBlack.getAmount(EUR).Amount, NOTIONAL * tol);
assertEquals(ceDki.getAmount(USD).Amount, ceDkiBlack.getAmount(USD).Amount, NOTIONAL * tol);
// down barrier
double higherBarrier = 1.45 + 0.025 * i;
SimpleConstantContinuousBarrier uko = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_OUT, higherBarrier);
ResolvedFxSingleBarrierOption optionUko = ResolvedFxSingleBarrierOption.of(CALL, uko, REBATE);
MultiCurrencyAmount ceUkoBlack = BLACK_PRICER.currencyExposure(optionUko, RATE_PROVIDER_FLAT, VOLS_FLAT);
MultiCurrencyAmount ceUko = PRICER_70.currencyExposure(optionUko, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEquals(ceUko.getAmount(EUR).Amount, ceUkoBlack.getAmount(EUR).Amount, NOTIONAL * tol);
assertEquals(ceUko.getAmount(USD).Amount, ceUkoBlack.getAmount(USD).Amount, NOTIONAL * tol);
SimpleConstantContinuousBarrier uki = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, higherBarrier);
ResolvedFxSingleBarrierOption optionUki = ResolvedFxSingleBarrierOption.of(CALL, uki, REBATE_BASE);
MultiCurrencyAmount ceUkiBlack = BLACK_PRICER.currencyExposure(optionUki, RATE_PROVIDER_FLAT, VOLS_FLAT);
MultiCurrencyAmount ceUki = PRICER_70.currencyExposure(optionUki, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEquals(ceUki.getAmount(EUR).Amount, ceUkiBlack.getAmount(EUR).Amount, NOTIONAL * tol);
assertEquals(ceUki.getAmount(USD).Amount, ceUkiBlack.getAmount(USD).Amount, NOTIONAL * tol);
}
}