public virtual void test_presentValue()
{
MultiCurrencyAmount pvSensiTrade = PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiProduct = PRICER_PRODUCT.presentValue(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiPremium = PRICER_PAYMENT.presentValue(PREMIUM, RATES_PROVIDER);
assertEquals(pvSensiTrade, MultiCurrencyAmount.of(pvSensiProduct, pvSensiPremium));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the FX barrier option trade.
/// <para>
/// The present value of the trade is the value on the valuation date.
///
/// </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 of the trade </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxSingleBarrierOption product = trade.Product;
CurrencyAmount pvProduct = productPricer.presentValue(product, ratesProvider, volatilities);
Payment premium = trade.Premium;
CurrencyAmount pvPremium = paymentPricer.presentValue(premium, ratesProvider);
return(MultiCurrencyAmount.of(pvProduct, pvPremium));
}