//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
ResolvedFxVanillaOption option = CALLS[i];
PointSensitivityBuilder point = PRICER.presentValueSensitivityRatesStickyStrike(option, RATES_PROVIDER, VOLS);
CurrencyParameterSensitivities sensiComputed = RATES_PROVIDER.parameterSensitivity(point.build());
double timeToExpiry = VOLS.relativeTime(EXPIRY);
double forwardRate = FX_PRICER.forwardFxRate(UNDERLYING[i], RATES_PROVIDER).fxRate(CURRENCY_PAIR);
double strikeRate = option.Strike;
SmileDeltaParameters smileAtTime = VOLS.Smile.smileForExpiry(timeToExpiry);
double[] vols = smileAtTime.Volatility.toArray();
double df = RATES_PROVIDER.discountFactor(USD, PAY);
CurrencyParameterSensitivities sensiExpected = FD_CAL.sensitivity(RATES_PROVIDER, p => PRICER.presentValue(option, p, VOLS));
CurrencyParameterSensitivities sensiRes = FD_CAL.sensitivity(RATES_PROVIDER, (ImmutableRatesProvider p) =>
{
double fwd = FX_PRICER.forwardFxRate(option.Underlying, p).fxRate(CURRENCY_PAIR);
double[] strs = smileAtTime.strike(fwd).toArray();
double[] wghts = weights(fwd, strikeRate, strs, timeToExpiry, vols[1]);
double res = 0d;
for (int j = 0; j < 3; ++j)
{
res += wghts[j] * (BlackFormulaRepository.price(forwardRate, strs[j], timeToExpiry, vols[j], true) - BlackFormulaRepository.price(forwardRate, strs[j], timeToExpiry, vols[1], true));
}
return(CurrencyAmount.of(USD, -res * df * NOTIONAL));
});
assertTrue(sensiComputed.equalWithTolerance(sensiExpected.combinedWith(sensiRes), FD_EPS * NOTIONAL * 10d));
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the FX vanilla option trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// The volatility is fixed in this sensitivity computation.
///
/// </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 curve sensitivity of the trade </returns>
public virtual PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)
{
ResolvedFxVanillaOption product = trade.Product;
PointSensitivities pvcsProduct = productPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, volatilities).build();
Payment premium = trade.Premium;
PointSensitivities pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider).build();
return(pvcsProduct.combinedWith(pvcsPremium));
}