//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
IborFutureOptionSensitivity a1 = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity a2 = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity b = IborFutureOptionSensitivity.of(NAME2, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity c = IborFutureOptionSensitivity.of(NAME, 13d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity d = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 9, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity e = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 8, 28), 0.99, 0.99, GBP, 32d);
IborFutureOptionSensitivity f = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 8, 28), 0.98, 1.00, GBP, 32d);
IborFutureOptionSensitivity g = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 8, 28), 0.98, 0.99, USD, 32d);
ZeroRateSensitivity other = ZeroRateSensitivity.of(GBP, 2d, 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) < 0, true);
assertEquals(b.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(e) < 0, true);
assertEquals(e.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(f) < 0, true);
assertEquals(f.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(g) < 0, true);
assertEquals(g.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
public virtual void priceSensitivityNormalVolatility_from_env()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
when(mockIbor.rate(OPTION.UnderlyingFuture.IborRate.Observation)).thenReturn(RATE);
double futurePrice = 1.0 - RATE;
IborFutureOptionSensitivity optionVegaExpected = OPTION_PRICER.priceSensitivityModelParamsVolatility(OPTION, prov, VOL_SIMPLE_MONEY_PRICE, futurePrice);
IborFutureOptionSensitivity optionVegaComputed = OPTION_PRICER.priceSensitivityModelParamsVolatility(OPTION, prov, VOL_SIMPLE_MONEY_PRICE);
assertTrue(optionVegaExpected.compareKey(optionVegaComputed) == 0);
assertEquals(optionVegaComputed.Sensitivity, optionVegaExpected.Sensitivity, TOLERANCE_PRICE_DELTA);
}
// ---------- present value normal vol sensitivity ----------
public virtual void presentvalue_normalVolSensitivity_from_env()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
when(mockIbor.rate(OPTION.UnderlyingFuture.IborRate.Observation)).thenReturn(RATE);
IborFutureOptionSensitivity psProduct = OPTION_PRODUCT_PRICER.priceSensitivityModelParamsVolatility(OPTION, prov, VOL_SIMPLE_MONEY_PRICE);
IborFutureOptionSensitivity psExpected = psProduct.withSensitivity(psProduct.Sensitivity * OPTION_PRODUCT_PRICER.marginIndex(OPTION, 1) * OPTION_QUANTITY);
IborFutureOptionSensitivity psComputed = OPTION_TRADE_PRICER.presentValueSensitivityModelParamsVolatility(FUTURE_OPTION_TRADE, prov, VOL_SIMPLE_MONEY_PRICE);
assertTrue(psExpected.compareKey(psComputed) == 0);
assertEquals(psComputed.Sensitivity, psExpected.Sensitivity, TOLERANCE_PV_DELTA);
}