public virtual void test_pv01()
{
ScenarioMarketData md = FxVanillaOptionTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
BlackFxVanillaOptionTradePricer pricer = BlackFxVanillaOptionTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivityRatesStickyStrike(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(FxVanillaOptionTradeCalculations.DEFAULT.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(FxVanillaOptionTradeCalculations.DEFAULT.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
//-------------------------------------------------------------------------
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)));
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="blackPricer"> the pricer for <seealso cref="ResolvedFxVanillaOptionTrade"/> using Black </param>
/// <param name="vannaVolgaPricer"> the pricer for <seealso cref="ResolvedFxVanillaOptionTrade"/> using Vanna-Volga </param>
internal FxVanillaOptionMeasureCalculations(BlackFxVanillaOptionTradePricer blackPricer, VannaVolgaFxVanillaOptionTradePricer vannaVolgaPricer)
{
this.blackPricer = ArgChecker.notNull(blackPricer, "blackPricer");
this.vannaVolgaPricer = ArgChecker.notNull(vannaVolgaPricer, "vannaVolgaPricer");
}
/// <summary>
/// Creates an instance.
/// <para>
/// In most cases, applications should use the <seealso cref="#DEFAULT"/> instance.
///
/// </para>
/// </summary>
/// <param name="blackPricer"> the pricer for <seealso cref="ResolvedFxVanillaOptionTrade"/> using Black </param>
/// <param name="vannaVolgaPricer"> the pricer for <seealso cref="ResolvedFxVanillaOptionTrade"/> using Vanna-Volga </param>
public FxVanillaOptionTradeCalculations(BlackFxVanillaOptionTradePricer blackPricer, VannaVolgaFxVanillaOptionTradePricer vannaVolgaPricer)
{
this.calc = new FxVanillaOptionMeasureCalculations(blackPricer, vannaVolgaPricer);
}
