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)));
}
// point sensitivity
private CurrencyParameterSensitivities pointSensitivity(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
PointSensitivities pointSens;
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
pointSens = vannaVolgaPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkVannaVolgaVolatilities(volatilities));
}
else
{
pointSens = blackPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkBlackVolatilities(volatilities));
}
return(ratesProvider.parameterSensitivity(pointSens));
}
