//-------------------------------------------------------------------------
private ValueDerivatives priceDerivatives(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData data)
{
validate(option, ratesProvider, volatilities);
validateData(option, ratesProvider, volatilities, data);
int nSteps = data.NumberOfSteps;
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
double timeToExpiry = data.getTime(nSteps);
ResolvedFxSingle underlyingFx = underlyingOption.Underlying;
Currency ccyBase = underlyingFx.CounterCurrencyPayment.Currency;
Currency ccyCounter = underlyingFx.CounterCurrencyPayment.Currency;
DiscountFactors baseDiscountFactors = ratesProvider.discountFactors(ccyBase);
DiscountFactors counterDiscountFactors = ratesProvider.discountFactors(ccyCounter);
double rebateAtExpiry = 0d; // used to price knock-in option
double rebateAtExpiryDerivative = 0d; // used to price knock-in option
double notional = Math.Abs(underlyingFx.BaseCurrencyPayment.Amount);
double[] rebateArray = new double[nSteps + 1];
SimpleConstantContinuousBarrier barrier = (SimpleConstantContinuousBarrier)option.Barrier;
if (option.Rebate.Present)
{
CurrencyAmount rebateCurrencyAmount = option.Rebate.get();
double rebatePerUnit = rebateCurrencyAmount.Amount / notional;
bool isCounter = rebateCurrencyAmount.Currency.Equals(ccyCounter);
double rebate = isCounter ? rebatePerUnit : rebatePerUnit * barrier.BarrierLevel;
if (barrier.KnockType.KnockIn)
{ // use in-out parity
double dfCounterAtExpiry = counterDiscountFactors.discountFactor(timeToExpiry);
double dfBaseAtExpiry = baseDiscountFactors.discountFactor(timeToExpiry);
for (int i = 0; i < nSteps + 1; ++i)
{
rebateArray[i] = isCounter ? rebate * dfCounterAtExpiry / counterDiscountFactors.discountFactor(data.getTime(i)) : rebate * dfBaseAtExpiry / baseDiscountFactors.discountFactor(data.getTime(i));
}
if (isCounter)
{
rebateAtExpiry = rebatePerUnit * dfCounterAtExpiry;
}
else
{
rebateAtExpiry = rebatePerUnit * data.Spot * dfBaseAtExpiry;
rebateAtExpiryDerivative = rebatePerUnit * dfBaseAtExpiry;
}
}
else
{
Arrays.fill(rebateArray, rebate);
}
}
ConstantContinuousSingleBarrierKnockoutFunction barrierFunction = ConstantContinuousSingleBarrierKnockoutFunction.of(underlyingOption.Strike, timeToExpiry, underlyingOption.PutCall, nSteps, barrier.BarrierType, barrier.BarrierLevel, DoubleArray.ofUnsafe(rebateArray));
ValueDerivatives barrierPrice = TREE.optionPriceAdjoint(barrierFunction, data);
if (barrier.KnockType.KnockIn)
{ // use in-out parity
EuropeanVanillaOptionFunction vanillaFunction = EuropeanVanillaOptionFunction.of(underlyingOption.Strike, timeToExpiry, underlyingOption.PutCall, nSteps);
ValueDerivatives vanillaPrice = TREE.optionPriceAdjoint(vanillaFunction, data);
return(ValueDerivatives.of(vanillaPrice.Value + rebateAtExpiry - barrierPrice.Value, DoubleArray.of(vanillaPrice.getDerivative(0) + rebateAtExpiryDerivative - barrierPrice.getDerivative(0))));
}
return(barrierPrice);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount pvComputed = PRICER.presentValue(BILL, PROVIDER);
double pvExpected = DSC_FACTORS_ISSUER.discountFactor(MATURITY_DATE) * NOTIONAL.Amount;
assertEquals(pvComputed.Currency, EUR);
assertEquals(pvComputed.Amount, pvExpected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_dirtyPriceFromCurves()
{
double computed = PRICER.dirtyPriceFromCurves(PRODUCT, PROVIDER, REF_DATA);
CurrencyAmount pv = PRICER.presentValue(PRODUCT, PROVIDER);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE, REF_DATA);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.Amount / df / NOTIONAL);
}
public virtual void test_discountFactorTimeDerivative()
{
DiscountFactors test = DiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double expectedP = test.discountFactor(relativeYearFraction + EPS);
double expectedM = test.discountFactor(relativeYearFraction - EPS);
assertEquals(test.discountFactorTimeDerivative(relativeYearFraction), (expectedP - expectedM) / (2 * EPS), TOL_FD);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the deposit fair rate given the start and end time and the accrual factor.
/// <para>
/// When the deposit has already started the number may not be meaningful as the remaining period
/// is not in line with the accrual factor.
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate </returns>
public virtual double parRate(ResolvedTermDeposit deposit, RatesProvider provider)
{
Currency currency = deposit.Currency;
DiscountFactors discountFactors = provider.discountFactors(currency);
double dfStart = discountFactors.discountFactor(deposit.StartDate);
double dfEnd = discountFactors.discountFactor(deposit.EndDate);
double accrualFactor = deposit.YearFraction;
return((dfStart / dfEnd - 1d) / accrualFactor);
}
private SimpleRatesProvider provider(LocalDate valuationDate, double dfStart, double dfEnd)
{
DiscountFactors mockDf = mock(typeof(DiscountFactors));
when(mockDf.discountFactor(START_DATE)).thenReturn(dfStart);
when(mockDf.discountFactor(END_DATE)).thenReturn(dfEnd);
SimpleRatesProvider prov = new SimpleRatesProvider(valuationDate, mockDf);
return(prov);
}
//-------------------------------------------------------------------------
public virtual void priceFromCurves()
{
LocalDate settlementDate = VAL_DATE.plusDays(1);
double priceComputed = PRICER.priceFromCurves(BILL, PROVIDER, settlementDate);
double dfMaturity = DSC_FACTORS_ISSUER.discountFactor(MATURITY_DATE);
double dfSettle = DSC_FACTORS_REPO.discountFactor(settlementDate);
double priceExpected = dfMaturity / dfSettle;
assertEquals(priceComputed, priceExpected, TOLERANCE_PRICE);
}
/// <summary>
/// Test present value sensitivity for AFMA FRA discounting method.
/// </summary>
public virtual void test_presentValueSensitivity_AFMA()
{
RateComputationFn<RateComputation> mockObs = mock(typeof(RateComputationFn));
DiscountFactors mockDf = mock(typeof(DiscountFactors));
SimpleRatesProvider simpleProv = new SimpleRatesProvider(VAL_DATE, mockDf);
ResolvedFra fraExp = RFRA_AFMA;
double forwardRate = 0.05;
double discountRate = 0.025;
double paymentTime = 0.3;
double discountFactor = Math.Exp(-discountRate * paymentTime);
LocalDate fixingDate = FRA_AFMA.StartDate;
IborIndexObservation obs = IborIndexObservation.of(FRA.Index, fixingDate, REF_DATA);
PointSensitivityBuilder sens = IborRateSensitivity.of(obs, 1d);
when(mockDf.discountFactor(fraExp.PaymentDate)).thenReturn(discountFactor);
when(mockDf.zeroRatePointSensitivity(fraExp.PaymentDate)).thenReturn(ZeroRateSensitivity.of(fraExp.Currency, paymentTime, -discountFactor * paymentTime));
when(mockObs.rateSensitivity(fraExp.FloatingRate, fraExp.StartDate, fraExp.EndDate, simpleProv)).thenReturn(sens);
when(mockObs.rate(fraExp.FloatingRate, FRA_AFMA.StartDate, FRA_AFMA.EndDate, simpleProv)).thenReturn(forwardRate);
DiscountingFraProductPricer test = new DiscountingFraProductPricer(mockObs);
PointSensitivities sensitivity = test.presentValueSensitivity(fraExp, simpleProv);
double eps = 1.e-7;
double fdDscSense = dscSensitivity(RFRA_AFMA, forwardRate, discountFactor, paymentTime, eps);
double fdSense = presentValueFwdSensitivity(RFRA_AFMA, forwardRate, discountFactor, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.Sensitivities;
assertEquals(sensitivities.size(), 2);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.Index, FRA_AFMA.Index);
assertEquals(sensitivity0.Observation.FixingDate, fixingDate);
assertEquals(sensitivity0.Sensitivity, fdSense, FRA_AFMA.Notional * eps);
ZeroRateSensitivity sensitivity1 = (ZeroRateSensitivity) sensitivities.get(1);
assertEquals(sensitivity1.Currency, FRA_AFMA.Currency);
assertEquals(sensitivity1.YearFraction, paymentTime);
assertEquals(sensitivity1.Sensitivity, fdDscSense, FRA_AFMA.Notional * eps);
}
/// <summary>
/// Calibrate trinomial tree to Black volatilities.
/// <para>
/// {@code timeToExpiry} determines the coverage of the resulting trinomial tree.
/// Thus this should match the time to expiry of the target instrument to price using the calibrated tree.
///
/// </para>
/// </summary>
/// <param name="timeToExpiry"> the time to expiry </param>
/// <param name="currencyPair"> the currency pair </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the trinomial tree data </returns>
public virtual RecombiningTrinomialTreeData calibrateTrinomialTree(double timeToExpiry, CurrencyPair currencyPair, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
validate(ratesProvider, volatilities);
if (timeToExpiry <= 0d)
{
throw new System.ArgumentException("option expired");
}
Currency ccyBase = currencyPair.Base;
Currency ccyCounter = currencyPair.Counter;
double todayFx = ratesProvider.fxRate(currencyPair);
DiscountFactors baseDiscountFactors = ratesProvider.discountFactors(ccyBase);
DiscountFactors counterDiscountFactors = ratesProvider.discountFactors(ccyCounter);
System.Func <double, double> interestRate = (double?t) =>
{
return(counterDiscountFactors.zeroRate(t.Value));
};
System.Func <double, double> dividendRate = (double?t) =>
{
return(baseDiscountFactors.zeroRate(t.Value));
};
System.Func <DoublesPair, double> impliedVolSurface = (DoublesPair tk) =>
{
double dfBase = baseDiscountFactors.discountFactor(tk.First);
double dfCounter = counterDiscountFactors.discountFactor(tk.First);
double forward = todayFx * dfBase / dfCounter;
return(volatilities.volatility(currencyPair, tk.First, tk.Second, forward));
};
ImpliedTrinomialTreeLocalVolatilityCalculator localVol = new ImpliedTrinomialTreeLocalVolatilityCalculator(nSteps, timeToExpiry);
return(localVol.calibrateImpliedVolatility(impliedVolSurface, todayFx, interestRate, dividendRate));
}
//-------------------------------------------------------------------------
public virtual void calibration_test()
{
RatesProvider result2 = CALIBRATOR.calibrate(CURVE_GROUP_DEFN, ALL_QUOTES, REF_DATA);
// pv test
CurveNode[] fwd3Nodes = CURVES_NODES[0][0];
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.Length; i++)
{
fwd3Trades.Add(fwd3Nodes[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
for (int i = 0; i < FWD6_NB_NODES; i++)
{
MultiCurrencyAmount pvIrs2 = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i]).Product, result2);
assertEquals(pvIrs2.getAmount(GBP).Amount, 0.0, TOLERANCE_PV);
}
// regression test for curve
DiscountFactors dsc = result2.discountFactors(GBP);
double prevDsc = 0d;
for (int i = 0; i < 121; ++i)
{
double time = ((double)i);
double curDsc = dsc.discountFactor(time);
if (i > 59)
{
double fwd = prevDsc / curDsc - 1d;
assertEquals(fwd, 0.042, 2d * ONE_BP);
}
assertEquals(curDsc, DSC_EXP.get(i), ONE_PC);
prevDsc = curDsc;
}
}
/// <summary>
/// Computes the present value of the payment by discounting.
/// <para>
/// The present value is zero if the payment date is before the valuation date.
/// </para>
/// <para>
/// The specified discount factors should be for the payment currency, however this is not validated.
///
/// </para>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="discountFactors"> the discount factors to price against </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(Payment payment, DiscountFactors discountFactors)
{
if (discountFactors.ValuationDate.isAfter(payment.Date))
{
return(CurrencyAmount.zero(payment.Currency));
}
return(payment.Value.multipliedBy(discountFactors.discountFactor(payment.Date)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value by discounting the final cash flow (nominal + interest)
/// and the initial payment (initial amount).
/// <para>
/// The present value of the product is the value on the valuation date.
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the product </returns>
public virtual CurrencyAmount presentValue(ResolvedTermDeposit deposit, RatesProvider provider)
{
Currency currency = deposit.Currency;
if (provider.ValuationDate.isAfter(deposit.EndDate))
{
return(CurrencyAmount.of(currency, 0.0d));
}
DiscountFactors discountFactors = provider.discountFactors(currency);
double dfStart = discountFactors.discountFactor(deposit.StartDate);
double dfEnd = discountFactors.discountFactor(deposit.EndDate);
double pvStart = initialAmount(deposit, provider) * dfStart;
double pvEnd = (deposit.Notional + deposit.Interest) * dfEnd;
double pv = pvEnd - pvStart;
return(CurrencyAmount.of(currency, pv));
}
public virtual void test_of()
{
RepoCurveDiscountFactors test = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
assertEquals(test.RepoGroup, GROUP);
assertEquals(test.Currency, GBP);
assertEquals(test.ValuationDate, DATE);
assertEquals(test.discountFactor(DATE_AFTER), DSC_FACTORS.discountFactor(DATE_AFTER));
}
/// <summary>
/// Calculates the present value sensitivity of the Ibor fixing product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider)
{
double forwardRate = this.forwardRate(deposit, provider);
DiscountFactors discountFactors = provider.discountFactors(deposit.Currency);
double discountFactor = discountFactors.discountFactor(deposit.EndDate);
// sensitivity
PointSensitivityBuilder sensiFwd = forwardRateSensitivity(deposit, provider).multipliedBy(-discountFactor * deposit.Notional * deposit.YearFraction);
PointSensitivityBuilder sensiDsc = discountFactors.zeroRatePointSensitivity(deposit.EndDate).multipliedBy(deposit.Notional * deposit.YearFraction * (deposit.FixedRate - forwardRate));
return(sensiFwd.combinedWith(sensiDsc).build());
}
public virtual PointSensitivityBuilder presentValueSensitivity(FxResetNotionalExchange @event, RatesProvider provider)
{
DiscountFactors discountFactors = provider.discountFactors(@event.Currency);
PointSensitivityBuilder sensiDsc = discountFactors.zeroRatePointSensitivity(@event.PaymentDate);
sensiDsc = sensiDsc.multipliedBy(forecastValue(@event, provider));
PointSensitivityBuilder sensiFx = forecastValueSensitivity(@event, provider);
sensiFx = sensiFx.multipliedBy(discountFactors.discountFactor(@event.PaymentDate));
return(sensiDsc.combinedWith(sensiFx));
}
/// <summary>
/// Calculates the present value sensitivity of the FRA product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="fra"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedFra fra, RatesProvider provider)
{
DiscountFactors discountFactors = provider.discountFactors(fra.Currency);
double df = discountFactors.discountFactor(fra.PaymentDate);
double notional = fra.Notional;
double unitAmount = this.unitAmount(fra, provider);
double derivative = this.derivative(fra, provider);
PointSensitivityBuilder iborSens = forwardRateSensitivity(fra, provider).multipliedBy(derivative * df * notional);
PointSensitivityBuilder discSens = discountFactors.zeroRatePointSensitivity(fra.PaymentDate).multipliedBy(unitAmount * notional);
return(iborSens.withCurrency(fra.Currency).combinedWith(discSens).build());
}
static DiscountingFraTradePricerTest()
{
DiscountFactors mockDf = mock(typeof(DiscountFactors));
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
RATES_PROVIDER = new SimpleRatesProvider(VAL_DATE, mockDf);
RATES_PROVIDER.IborRates = mockIbor;
IborIndexObservation obs = ((IborRateComputation)RFRA.FloatingRate).Observation;
IborRateSensitivity sens = IborRateSensitivity.of(obs, 1d);
when(mockIbor.ratePointSensitivity(obs)).thenReturn(sens);
when(mockIbor.rate(obs)).thenReturn(FORWARD_RATE);
when(mockDf.discountFactor(RFRA.PaymentDate)).thenReturn(DISCOUNT_FACTOR);
}
//-------------------------------------------------------------------------
public virtual PointSensitivityBuilder presentValueSensitivity(RatePaymentPeriod period, RatesProvider provider)
{
Currency ccy = period.Currency;
DiscountFactors discountFactors = provider.discountFactors(ccy);
LocalDate paymentDate = period.PaymentDate;
double df = discountFactors.discountFactor(paymentDate);
PointSensitivityBuilder forecastSensitivity = forecastValueSensitivity(period, provider);
forecastSensitivity = forecastSensitivity.multipliedBy(df);
double forecastValue = this.forecastValue(period, provider);
PointSensitivityBuilder dscSensitivity = discountFactors.zeroRatePointSensitivity(paymentDate);
dscSensitivity = dscSensitivity.multipliedBy(forecastValue);
return(forecastSensitivity.combinedWith(dscSensitivity));
}
//-------------------------------------------------------------------------
// The derivatives are [0] spot, [1] strike, [2] rate, [3] cost-of-carry, [4] volatility, [5] timeToExpiry, [6] spot twice
private ValueDerivatives priceDerivatives(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
validate(option, ratesProvider, volatilities);
SimpleConstantContinuousBarrier barrier = (SimpleConstantContinuousBarrier)option.Barrier;
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
double[] derivatives = new double[7];
if (volatilities.relativeTime(underlyingOption.Expiry) < 0d)
{
return(ValueDerivatives.of(0d, DoubleArray.ofUnsafe(derivatives)));
}
ResolvedFxSingle underlyingFx = underlyingOption.Underlying;
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
Currency ccyBase = currencyPair.Base;
Currency ccyCounter = currencyPair.Counter;
DiscountFactors baseDiscountFactors = ratesProvider.discountFactors(ccyBase);
DiscountFactors counterDiscountFactors = ratesProvider.discountFactors(ccyCounter);
double rateBase = baseDiscountFactors.zeroRate(underlyingFx.PaymentDate);
double rateCounter = counterDiscountFactors.zeroRate(underlyingFx.PaymentDate);
double costOfCarry = rateCounter - rateBase;
double dfBase = baseDiscountFactors.discountFactor(underlyingFx.PaymentDate);
double dfCounter = counterDiscountFactors.discountFactor(underlyingFx.PaymentDate);
double todayFx = ratesProvider.fxRate(currencyPair);
double strike = underlyingOption.Strike;
double forward = todayFx * dfBase / dfCounter;
double volatility = volatilities.volatility(currencyPair, underlyingOption.Expiry, strike, forward);
double timeToExpiry = volatilities.relativeTime(underlyingOption.Expiry);
ValueDerivatives valueDerivatives = BARRIER_PRICER.priceAdjoint(todayFx, strike, timeToExpiry, costOfCarry, rateCounter, volatility, underlyingOption.PutCall.Call, barrier);
if (!option.Rebate.Present)
{
return(valueDerivatives);
}
CurrencyAmount rebate = option.Rebate.get();
ValueDerivatives valueDerivativesRebate = rebate.Currency.Equals(ccyCounter) ? CASH_REBATE_PRICER.priceAdjoint(todayFx, timeToExpiry, costOfCarry, rateCounter, volatility, barrier.inverseKnockType()) : ASSET_REBATE_PRICER.priceAdjoint(todayFx, timeToExpiry, costOfCarry, rateCounter, volatility, barrier.inverseKnockType());
double rebateRate = rebate.Amount / Math.Abs(underlyingFx.BaseCurrencyPayment.Amount);
double price = valueDerivatives.Value + rebateRate * valueDerivativesRebate.Value;
derivatives[0] = valueDerivatives.getDerivative(0) + rebateRate * valueDerivativesRebate.getDerivative(0);
derivatives[1] = valueDerivatives.getDerivative(1);
for (int i = 2; i < 7; ++i)
{
derivatives[i] = valueDerivatives.getDerivative(i) + rebateRate * valueDerivativesRebate.getDerivative(i - 1);
}
return(ValueDerivatives.of(price, DoubleArray.ofUnsafe(derivatives)));
}
//-------------------------------------------------------------------------
// creates a simple provider
private SimpleRatesProvider createProvider(NotionalExchange ne)
{
LocalDate paymentDate = ne.PaymentDate;
double paymentTime = DAY_COUNT.relativeYearFraction(VAL_DATE, paymentDate);
Currency currency = ne.Currency;
DiscountFactors mockDf = mock(typeof(DiscountFactors));
when(mockDf.discountFactor(paymentDate)).thenReturn(DISCOUNT_FACTOR);
ZeroRateSensitivity sens = ZeroRateSensitivity.of(currency, paymentTime, -DISCOUNT_FACTOR * paymentTime);
when(mockDf.zeroRatePointSensitivity(paymentDate)).thenReturn(sens);
SimpleRatesProvider prov = new SimpleRatesProvider(VAL_DATE, mockDf);
prov.DayCount = DAY_COUNT;
return(prov);
}
//-------------------------------------------------------------------------
// creates a simple provider
private SimpleRatesProvider createProvider(FxResetNotionalExchange ne)
{
LocalDate paymentDate = ne.PaymentDate;
double paymentTime = ACT_360.relativeYearFraction(VAL_DATE, paymentDate);
Currency currency = ne.Currency;
DiscountFactors mockDf = mock(typeof(DiscountFactors));
when(mockDf.discountFactor(paymentDate)).thenReturn(DISCOUNT_FACTOR);
ZeroRateSensitivity sens = ZeroRateSensitivity.of(currency, paymentTime, -DISCOUNT_FACTOR * paymentTime);
when(mockDf.zeroRatePointSensitivity(paymentDate)).thenReturn(sens);
FxIndexRates mockFxRates = mock(typeof(FxIndexRates));
when(mockFxRates.rate(ne.Observation, ne.ReferenceCurrency)).thenReturn(FX_RATE);
SimpleRatesProvider prov = new SimpleRatesProvider(VAL_DATE);
prov.DiscountFactors = mockDf;
prov.FxIndexRates = mockFxRates;
prov.DayCount = ACT_360;
return(prov);
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(FxForwardSensitivity pointSensitivity)
{
// use the specified base currency to determine the desired currency pair
// then derive sensitivity from discount factors based off desired currency pair, not that of the index
CurrencyPair currencyPair = pointSensitivity.CurrencyPair;
Currency refBaseCurrency = pointSensitivity.ReferenceCurrency;
Currency refCounterCurrency = pointSensitivity.ReferenceCounterCurrency;
Currency sensitivityCurrency = pointSensitivity.Currency;
LocalDate referenceDate = pointSensitivity.ReferenceDate;
bool inverse = refBaseCurrency.Equals(currencyPair.Counter);
DiscountFactors discountFactorsRefBase = (inverse ? counterCurrencyDiscountFactors : baseCurrencyDiscountFactors);
DiscountFactors discountFactorsRefCounter = (inverse ? baseCurrencyDiscountFactors : counterCurrencyDiscountFactors);
double dfCcyBaseAtMaturity = discountFactorsRefBase.discountFactor(referenceDate);
double dfCcyCounterAtMaturityInv = 1d / discountFactorsRefCounter.discountFactor(referenceDate);
double fxRate = fxRateProvider.fxRate(refBaseCurrency, refCounterCurrency);
ZeroRateSensitivity dfCcyBaseAtMaturitySensitivity = discountFactorsRefBase.zeroRatePointSensitivity(referenceDate, sensitivityCurrency).multipliedBy(fxRate * dfCcyCounterAtMaturityInv * pointSensitivity.Sensitivity);
ZeroRateSensitivity dfCcyCounterAtMaturitySensitivity = discountFactorsRefCounter.zeroRatePointSensitivity(referenceDate, sensitivityCurrency).multipliedBy(-fxRate * dfCcyBaseAtMaturity * dfCcyCounterAtMaturityInv * dfCcyCounterAtMaturityInv * pointSensitivity.Sensitivity);
return(discountFactorsRefBase.parameterSensitivity(dfCcyBaseAtMaturitySensitivity).combinedWith(discountFactorsRefCounter.parameterSensitivity(dfCcyCounterAtMaturitySensitivity)));
}
/// <summary>
/// Calculates the price of the FX barrier option product.
/// <para>
/// The price of the product is the value on the valuation date for one unit of the base currency
/// and is expressed in the counter currency. The price does not take into account the long/short flag.
/// See <seealso cref="#presentValue"/> for scaling and currency.
/// </para>
/// <para>
/// The volatility used in this computation is the Black implied volatility at expiry time and strike.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the price of the product </returns>
public virtual double price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
validate(option, ratesProvider, volatilities);
SimpleConstantContinuousBarrier barrier = (SimpleConstantContinuousBarrier)option.Barrier;
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
if (volatilities.relativeTime(underlyingOption.Expiry) < 0d)
{
return(0d);
}
ResolvedFxSingle underlyingFx = underlyingOption.Underlying;
Currency ccyBase = underlyingFx.BaseCurrencyPayment.Currency;
Currency ccyCounter = underlyingFx.CounterCurrencyPayment.Currency;
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
DiscountFactors baseDiscountFactors = ratesProvider.discountFactors(ccyBase);
DiscountFactors counterDiscountFactors = ratesProvider.discountFactors(ccyCounter);
double rateBase = baseDiscountFactors.zeroRate(underlyingFx.PaymentDate);
double rateCounter = counterDiscountFactors.zeroRate(underlyingFx.PaymentDate);
double costOfCarry = rateCounter - rateBase;
double dfBase = baseDiscountFactors.discountFactor(underlyingFx.PaymentDate);
double dfCounter = counterDiscountFactors.discountFactor(underlyingFx.PaymentDate);
double todayFx = ratesProvider.fxRate(currencyPair);
double strike = underlyingOption.Strike;
double forward = todayFx * dfBase / dfCounter;
double volatility = volatilities.volatility(currencyPair, underlyingOption.Expiry, strike, forward);
double timeToExpiry = volatilities.relativeTime(underlyingOption.Expiry);
double price = BARRIER_PRICER.price(todayFx, strike, timeToExpiry, costOfCarry, rateCounter, volatility, underlyingOption.PutCall.Call, barrier);
if (option.Rebate.Present)
{
CurrencyAmount rebate = option.Rebate.get();
double priceRebate = rebate.Currency.Equals(ccyCounter) ? CASH_REBATE_PRICER.price(todayFx, timeToExpiry, costOfCarry, rateCounter, volatility, barrier.inverseKnockType()) : ASSET_REBATE_PRICER.price(todayFx, timeToExpiry, costOfCarry, rateCounter, volatility, barrier.inverseKnockType());
price += priceRebate * rebate.Amount / Math.Abs(underlyingFx.BaseCurrencyPayment.Amount);
}
return(price);
}