//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the FX barrier option trade.
/// <para>
/// The trinomial tree is first calibrated to Black volatilities,
/// then the price is computed based on the calibrated tree.
///
/// </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 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));
}
//-------------------------------------------------------------------------
/// <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());
}
//-------------------------------------------------------------------------
/// <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 sensitivity is computed by bump and re-price, returning <seealso cref="CurrencyParameterSensitivities"/>,
/// not <seealso cref="PointSensitivities"/>.
/// </para>
/// <para>
/// The trinomial tree is first calibrated to Black volatilities,
/// then the price is computed based on the calibrated tree.
///
/// </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 CurrencyParameterSensitivities presentValueSensitivityRates(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxSingleBarrierOption product = trade.Product;
CurrencyParameterSensitivities sensProduct = productPricer.presentValueSensitivityRates(product, ratesProvider, volatilities);
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
CurrencyParameterSensitivities sensPremium = ratesProvider.parameterSensitivity(pvcsPremium.build());
return(sensProduct.combinedWith(sensPremium));
}
//-------------------------------------------------------------------------
/// <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());
}
