//-------------------------------------------------------------------------
/// <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, BlackFxOptionVolatilities 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()
{
MultiCurrencyAmount computedPricer = PRICER.currencyExposure(CALL_OTM, RATES_PROVIDER, VOLS);
CurrencyAmount pv = PRICER.presentValue(CALL_OTM, RATES_PROVIDER, VOLS);
PointSensitivities point = PRICER.presentValueSensitivityRatesStickyStrike(CALL_OTM, RATES_PROVIDER, VOLS);
MultiCurrencyAmount computedPoint = RATES_PROVIDER.currencyExposure(point).plus(pv);
assertEquals(computedPricer.getAmount(EUR).Amount, computedPoint.getAmount(EUR).Amount, NOTIONAL * TOL);
assertEquals(computedPricer.getAmount(USD).Amount, computedPoint.getAmount(USD).Amount, NOTIONAL * TOL);
}
