//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
double eps = 1.0e-14;
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
// USD
MultiCurrencyAmount computedUSD = test.currencyExposure(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
PointSensitivities pointUSD = test.presentValueSensitivity(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov).build();
MultiCurrencyAmount expectedUSD = prov.currencyExposure(pointUSD.convertedTo(USD, prov)).plus(CurrencyAmount.of(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Currency, test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov)));
assertFalse(computedUSD.contains(GBP)); // 0 GBP
assertEquals(computedUSD.getAmount(USD).Amount, expectedUSD.getAmount(USD).Amount, eps * NOTIONAL);
// GBP
MultiCurrencyAmount computedGBP = test.currencyExposure(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov);
PointSensitivities pointGBP = test.presentValueSensitivity(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov).build();
MultiCurrencyAmount expectedGBP = prov.currencyExposure(pointGBP.convertedTo(GBP, prov)).plus(CurrencyAmount.of(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP.Currency, test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov)));
assertFalse(computedGBP.contains(USD)); // 0 USD
assertEquals(computedGBP.getAmount(GBP).Amount, expectedGBP.getAmount(GBP).Amount, eps * NOTIONAL);
// FD approximation
FxMatrix fxMatrixUp = FxMatrix.of(GBP, USD, FX_RATE + EPS_FD);
ImmutableRatesProvider provUp = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(fxMatrixUp).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
double expectedFdUSD = -(test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, provUp) - test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov)) * FX_RATE * FX_RATE / EPS_FD;
assertEquals(computedUSD.getAmount(USD).Amount, expectedFdUSD, EPS_FD * NOTIONAL);
double expectedFdGBP = (test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, provUp) - test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov)) / EPS_FD;
assertEquals(computedGBP.getAmount(GBP).Amount, expectedFdGBP, EPS_FD * NOTIONAL);
}
public virtual void test_currencyExposureOnFixing_noTimeSeries()
{
double eps = 1.0e-14;
LocalDate valuationDate = date(2014, 6, 27);
LocalDate paymentDate = date(2014, 7, 1);
LocalDate fixingDate = date(2014, 6, 27);
FxResetNotionalExchange resetNotionalUSD = FxResetNotionalExchange.of(CurrencyAmount.of(USD, NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
FxResetNotionalExchange resetNotionalGBP = FxResetNotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
// USD
MultiCurrencyAmount computedUSD = test.currencyExposure(resetNotionalUSD, prov);
PointSensitivities pointUSD = test.presentValueSensitivity(resetNotionalUSD, prov).build();
MultiCurrencyAmount expectedUSD = prov.currencyExposure(pointUSD.convertedTo(USD, prov)).plus(CurrencyAmount.of(resetNotionalUSD.Currency, test.presentValue(resetNotionalUSD, prov)));
assertFalse(computedUSD.contains(GBP)); // 0 GBP
assertEquals(computedUSD.getAmount(USD).Amount, expectedUSD.getAmount(USD).Amount, eps * NOTIONAL);
// GBP
MultiCurrencyAmount computedGBP = test.currencyExposure(resetNotionalGBP, prov);
PointSensitivities pointGBP = test.presentValueSensitivity(resetNotionalGBP, prov).build();
MultiCurrencyAmount expectedGBP = prov.currencyExposure(pointGBP.convertedTo(GBP, prov)).plus(CurrencyAmount.of(resetNotionalGBP.Currency, test.presentValue(resetNotionalGBP, prov)));
assertFalse(computedGBP.contains(USD)); // 0 USD
assertEquals(computedGBP.getAmount(GBP).Amount, expectedGBP.getAmount(GBP).Amount, eps * NOTIONAL);
// FD approximation
FxMatrix fxMatrixUp = FxMatrix.of(GBP, USD, FX_RATE + EPS_FD);
ImmutableRatesProvider provUp = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(fxMatrixUp).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
double expectedFdUSD = -(test.presentValue(resetNotionalUSD, provUp) - test.presentValue(resetNotionalUSD, prov)) * FX_RATE * FX_RATE / EPS_FD;
assertEquals(computedUSD.getAmount(USD).Amount, expectedFdUSD, EPS_FD * NOTIONAL);
double expectedFdGBP = (test.presentValue(resetNotionalGBP, provUp) - test.presentValue(resetNotionalGBP, prov)) / EPS_FD;
assertEquals(computedGBP.getAmount(GBP).Amount, expectedFdGBP, EPS_FD * NOTIONAL);
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
MultiCurrencyAmount computedRec = PRICER_SWAPTION.currencyExposure(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
MultiCurrencyAmount computedPay = PRICER_SWAPTION.currencyExposure(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
PointSensitivityBuilder pointRec = PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
MultiCurrencyAmount expectedRec = RATE_PROVIDER.currencyExposure(pointRec.build()).plus(PRICER_SWAPTION.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS));
assertEquals(computedRec.size(), 1);
assertEquals(computedRec.getAmount(USD).Amount, expectedRec.getAmount(USD).Amount, NOTIONAL * TOL);
PointSensitivityBuilder pointPay = PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
MultiCurrencyAmount expectedPay = RATE_PROVIDER.currencyExposure(pointPay.build()).plus(PRICER_SWAPTION.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS));
assertEquals(computedPay.size(), 1);
assertEquals(computedPay.getAmount(USD).Amount, expectedPay.getAmount(USD).Amount, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
MultiCurrencyAmount computed = test.currencyExposure(NOTIONAL_EXCHANGE_REC_GBP, prov);
PointSensitivities point = test.presentValueSensitivity(NOTIONAL_EXCHANGE_REC_GBP, prov).build();
MultiCurrencyAmount expected = prov.currencyExposure(point).plus(CurrencyAmount.of(NOTIONAL_EXCHANGE_REC_GBP.Currency, test.presentValue(NOTIONAL_EXCHANGE_REC_GBP, prov)));
assertEquals(computed, expected);
}
