// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE)
{
return(trinomialTreePricer.currencyExposure(trade, ratesProvider, checkTrinomialTreeVolatilities(volatilities)));
}
else
{
return(blackPricer.currencyExposure(trade, ratesProvider, checkBlackVolatilities(volatilities)));
}
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
ScenarioMarketData md = FxSingleBarrierOptionTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
BlackFxSingleBarrierOptionTradePricer pricer = BlackFxSingleBarrierOptionTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider.ValuationDate);
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}