public virtual void test_presentValueSensitivity()
{
PointSensitivities pvSensiTrade = PRICER_TRADE.presentValueSensitivityRatesStickyStrike(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct = PRICER_PRODUCT.presentValueSensitivityRatesStickyStrike(OPTION_PRODUCT, RATES_PROVIDER, VOLS).build();
PointSensitivities pvSensiPremium = PRICER_PAYMENT.presentValueSensitivity(PREMIUM, RATES_PROVIDER).build();
assertEquals(pvSensiTrade, pvSensiProduct.combinedWith(pvSensiPremium));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the FX barrier option trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// The volatility is fixed in this sensitivity computation, i.e., sticky-strike.
///
/// </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 curve sensitivity of the trade </returns>
public virtual PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxSingleBarrierOption product = trade.Product;
PointSensitivityBuilder pvcsProduct = productPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, volatilities);
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
return(pvcsProduct.combinedWith(pvcsPremium).build());
}