//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the FX vanilla option trade.
/// </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 currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)
{
Payment premium = trade.Premium;
CurrencyAmount pvPremium = paymentPricer.presentValue(premium, ratesProvider);
ResolvedFxVanillaOption product = trade.Product;
return(productPricer.currencyExposure(product, ratesProvider, volatilities).plus(pvPremium));
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
CurrencyAmount pvCall = PRICER.presentValue(CALLS[i], RATES_PROVIDER, VOLS);
PointSensitivityBuilder pvSensiCall = PRICER.presentValueSensitivityRatesStickyStrike(CALLS[i], RATES_PROVIDER, VOLS);
MultiCurrencyAmount computedCall = PRICER.currencyExposure(CALLS[i], RATES_PROVIDER, VOLS);
MultiCurrencyAmount expectedCall = RATES_PROVIDER.currencyExposure(pvSensiCall.build()).plus(pvCall);
assertEquals(computedCall.getAmount(EUR).Amount, expectedCall.getAmount(EUR).Amount, NOTIONAL * TOL);
assertEquals(computedCall.getAmount(USD).Amount, expectedCall.getAmount(USD).Amount, NOTIONAL * TOL);
CurrencyAmount pvPut = PRICER.presentValue(PUTS[i], RATES_PROVIDER, VOLS);
PointSensitivityBuilder pvSensiPut = PRICER.presentValueSensitivityRatesStickyStrike(PUTS[i], RATES_PROVIDER, VOLS);
MultiCurrencyAmount computedPut = PRICER.currencyExposure(PUTS[i], RATES_PROVIDER, VOLS);
MultiCurrencyAmount expectedPut = RATES_PROVIDER.currencyExposure(pvSensiPut.build()).plus(pvPut);
assertEquals(computedPut.getAmount(EUR).Amount, expectedPut.getAmount(EUR).Amount, NOTIONAL * TOL);
assertEquals(computedPut.getAmount(USD).Amount, expectedPut.getAmount(USD).Amount, NOTIONAL * TOL);
}
}