//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityRates()
{
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer pricer = new ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(21);
CurrencyParameterSensitivities computed = pricer.presentValueSensitivityRates(CALL_UKI_C, RATE_PROVIDER, VOLS);
RatesFiniteDifferenceSensitivityCalculator calc = new RatesFiniteDifferenceSensitivityCalculator(1.0e-5);
CurrencyParameterSensitivities expected = calc.sensitivity(RATE_PROVIDER, p => pricer.presentValue(CALL_UKI_C, p, VOLS));
assertTrue(computed.equalWithTolerance(expected, 1.0e-13));
}
//-------------------------------------------------------------------------
public virtual void test_withData()
{
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer pricer = new ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(5);
RecombiningTrinomialTreeData data = pricer.Calibrator.calibrateTrinomialTree(CALL_DKO.UnderlyingOption, RATE_PROVIDER, VOLS);
double price = pricer.price(CALL_UKI_C, RATE_PROVIDER, VOLS);
double priceWithData = pricer.price(CALL_UKI_C, RATE_PROVIDER, VOLS, data);
assertEquals(price, priceWithData);
CurrencyAmount pv = pricer.presentValue(CALL_DKO, RATE_PROVIDER, VOLS);
CurrencyAmount pvWithData = pricer.presentValue(CALL_DKO, RATE_PROVIDER, VOLS, data);
assertEquals(pv, pvWithData);
MultiCurrencyAmount ce = pricer.currencyExposure(CALL_UKI_C, RATE_PROVIDER, VOLS);
MultiCurrencyAmount ceWithData = pricer.currencyExposure(CALL_UKI_C, RATE_PROVIDER, VOLS, data);
assertEquals(ce, ceWithData);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="productPricer"> the pricer for <seealso cref="ResolvedFxSingleBarrierOption"/> </param>
/// <param name="paymentPricer"> the pricer for <seealso cref="Payment"/> </param>
public ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer(ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer productPricer, DiscountingPaymentPricer paymentPricer)
{
this.productPricer = ArgChecker.notNull(productPricer, "productPricer");
this.paymentPricer = ArgChecker.notNull(paymentPricer, "paymentPricer");
}
