public virtual void test_expired_calibration()
{
assertThrowsIllegalArg(() => PRICER_39.Calibrator.calibrateTrinomialTree(CALL_DKO.UnderlyingOption, RATE_PROVIDER_AFTER, VOLS_AFTER));
// pricing also fails because trinomial data can not be obtained
assertThrowsIllegalArg(() => PRICER_39.price(CALL_DKO, RATE_PROVIDER_AFTER, VOLS_AFTER));
assertThrowsIllegalArg(() => PRICER_39.presentValue(CALL_DKO, RATE_PROVIDER_AFTER, VOLS_AFTER));
assertThrowsIllegalArg(() => PRICER_39.currencyExposure(CALL_DKO, RATE_PROVIDER_AFTER, VOLS_AFTER));
}
//-------------------------------------------------------------------------
public virtual void test_withData()
{
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer pricer = new ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(5);
RecombiningTrinomialTreeData data = pricer.Calibrator.calibrateTrinomialTree(CALL_DKO.UnderlyingOption, RATE_PROVIDER, VOLS);
double price = pricer.price(CALL_UKI_C, RATE_PROVIDER, VOLS);
double priceWithData = pricer.price(CALL_UKI_C, RATE_PROVIDER, VOLS, data);
assertEquals(price, priceWithData);
CurrencyAmount pv = pricer.presentValue(CALL_DKO, RATE_PROVIDER, VOLS);
CurrencyAmount pvWithData = pricer.presentValue(CALL_DKO, RATE_PROVIDER, VOLS, data);
assertEquals(pv, pvWithData);
MultiCurrencyAmount ce = pricer.currencyExposure(CALL_UKI_C, RATE_PROVIDER, VOLS);
MultiCurrencyAmount ceWithData = pricer.currencyExposure(CALL_UKI_C, RATE_PROVIDER, VOLS, data);
assertEquals(ce, ceWithData);
}
//-------------------------------------------------------------------------
/// <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>
/// <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 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));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityRates()
{
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer pricer = new ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(21);
CurrencyParameterSensitivities computed = pricer.presentValueSensitivityRates(CALL_UKI_C, RATE_PROVIDER, VOLS);
RatesFiniteDifferenceSensitivityCalculator calc = new RatesFiniteDifferenceSensitivityCalculator(1.0e-5);
CurrencyParameterSensitivities expected = calc.sensitivity(RATE_PROVIDER, p => pricer.presentValue(CALL_UKI_C, p, VOLS));
assertTrue(computed.equalWithTolerance(expected, 1.0e-13));
}
