//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityVolatility()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
PointSensitivities computedCall = PRICER.presentValueSensitivityModelParamsVolatility(CALLS[i], RATES_PROVIDER, VOLS).build();
double timeToExpiry = VOLS.relativeTime(EXPIRY);
FxRate forward = FX_PRICER.forwardFxRate(UNDERLYING[i], RATES_PROVIDER);
double forwardRate = forward.fxRate(CURRENCY_PAIR);
double strikeRate = CALLS[i].Strike;
SmileDeltaParameters smileAtTime = VOLS.Smile.smileForExpiry(timeToExpiry);
double[] strikes = smileAtTime.strike(forwardRate).toArray();
double[] vols = smileAtTime.Volatility.toArray();
double df = RATES_PROVIDER.discountFactor(USD, PAY);
double[] weights = this.weights(forwardRate, strikeRate, strikes, timeToExpiry, vols[1]);
double[] vegas = new double[3];
vegas[2] = BlackFormulaRepository.vega(forwardRate, strikeRate, timeToExpiry, vols[1]) * df * NOTIONAL;
for (int j = 0; j < 3; j += 2)
{
vegas[2] -= weights[j] * NOTIONAL *df *BlackFormulaRepository.vega(forwardRate, strikes[j], timeToExpiry, vols[1]);
}
vegas[0] = weights[0] * NOTIONAL *df *BlackFormulaRepository.vega(forwardRate, strikes[0], timeToExpiry, vols[0]);
vegas[1] = weights[2] * NOTIONAL *df *BlackFormulaRepository.vega(forwardRate, strikes[2], timeToExpiry, vols[2]);
double[] expStrikes = new double[] { strikes[0], strikes[2], strikes[1] };
for (int j = 0; j < 3; ++j)
{
FxOptionSensitivity sensi = (FxOptionSensitivity)computedCall.Sensitivities.get(j);
assertEquals(sensi.Sensitivity, vegas[j], TOL * NOTIONAL);
assertEquals(sensi.Strike, expStrikes[j], TOL);
assertEquals(sensi.Forward, forwardRate, TOL);
assertEquals(sensi.Currency, USD);
assertEquals(sensi.CurrencyPair, CURRENCY_PAIR);
assertEquals(sensi.Expiry, timeToExpiry);
}
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value sensitivity to the black volatility used in the pricing.
/// <para>
/// The result is a single sensitivity to the volatility used.
///
/// </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 sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)
{
ResolvedFxVanillaOption product = trade.Product;
return(productPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, volatilities).build());
}