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 vanilla 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(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxVanillaOption product = trade.Product;
CurrencyAmount pvProduct = productPricer.presentValue(product, ratesProvider, volatilities);
Payment premium = trade.Premium;
CurrencyAmount pvPremium = paymentPricer.presentValue(premium, ratesProvider);
return(MultiCurrencyAmount.of(pvProduct).plus(pvPremium));
}
//-------------------------------------------------------------------------
public virtual void test_price_presentValue()
{
double priceCallOtm = PRICER.price(CALL_OTM, RATES_PROVIDER, VOLS);
CurrencyAmount pvCallOtm = PRICER.presentValue(CALL_OTM, RATES_PROVIDER, VOLS);
double pricePutOtm = PRICER.price(PUT_OTM, RATES_PROVIDER, VOLS);
CurrencyAmount pvPutOtm = PRICER.presentValue(PUT_OTM, RATES_PROVIDER, VOLS);
double timeToExpiry = VOLS.relativeTime(EXPIRY);
double df = RATES_PROVIDER.discountFactor(USD, PAYMENT_DATE);
double forward = PRICER.DiscountingFxSingleProductPricer.forwardFxRate(FX_PRODUCT_HIGH, RATES_PROVIDER).fxRate(CURRENCY_PAIR);
double volHigh = SMILE_TERM.volatility(timeToExpiry, STRIKE_RATE_HIGH, forward);
double volLow = SMILE_TERM.volatility(timeToExpiry, STRIKE_RATE_LOW, forward);
double expectedPriceCallOtm = df * BlackFormulaRepository.price(forward, STRIKE_RATE_HIGH, timeToExpiry, volHigh, true);
double expectedPricePutOtm = df * BlackFormulaRepository.price(forward, STRIKE_RATE_LOW, timeToExpiry, volLow, false);
double expectedPvCallOtm = -NOTIONAL *df *BlackFormulaRepository.price(forward, STRIKE_RATE_HIGH, timeToExpiry, volHigh, true);
double expectedPvPutOtm = -NOTIONAL *df *BlackFormulaRepository.price(forward, STRIKE_RATE_LOW, timeToExpiry, volLow, false);
assertEquals(priceCallOtm, expectedPriceCallOtm, TOL);
assertEquals(pvCallOtm.Currency, USD);
assertEquals(pvCallOtm.Amount, expectedPvCallOtm, NOTIONAL * TOL);
assertEquals(pricePutOtm, expectedPricePutOtm, TOL);
assertEquals(pvPutOtm.Currency, USD);
assertEquals(pvPutOtm.Amount, expectedPvPutOtm, NOTIONAL * TOL);
}
