// current cash for one scenario
internal CurrencyAmount currentCash(ResolvedFxVanillaOptionTrade trade, LocalDate valuationDate, FxVanillaOptionMethod method)
{
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
return(vannaVolgaPricer.currentCash(trade, valuationDate));
}
else
{
return(blackPricer.currentCash(trade, valuationDate));
}
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = FxVanillaOptionTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
BlackFxVanillaOptionTradePricer pricer = BlackFxVanillaOptionTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider.ValuationDate);
assertEquals(FxVanillaOptionTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(FxVanillaOptionTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(FxVanillaOptionTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
