public virtual void test_currencyExposure_from_pt_sensitivity()
{
MultiCurrencyAmount ceDirect = PRICER.currencyExposure(NDF, PROVIDER);
PointSensitivities pts = PRICER.presentValueSensitivity(NDF, PROVIDER);
MultiCurrencyAmount cePts = PROVIDER.currencyExposure(pts);
CurrencyAmount cePv = PRICER.presentValue(NDF, PROVIDER);
MultiCurrencyAmount ceExpected = cePts.plus(cePv);
assertEquals(ceDirect.getAmount(USD).Amount, ceExpected.getAmount(USD).Amount, NOMINAL_USD * TOL);
assertEquals(ceDirect.getAmount(KRW).Amount, ceExpected.getAmount(KRW).Amount, NOMINAL_USD * TOL * FX_MATRIX.fxRate(USD, KRW));
}
//-------------------------------------------------------------------------
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);
}
public virtual void test_currencyExposure()
{
MultiCurrencyAmount ceComputed = PRICER_TRADE.currencyExposure(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities point = PRICER_TRADE.presentValueSensitivityRatesStickyStrike(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount pv = PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount ceExpected = RATES_PROVIDER.currencyExposure(point).plus(pv);
assertEquals(ceComputed.size(), 2);
assertEquals(ceComputed.getAmount(EUR).Amount, ceExpected.getAmount(EUR).Amount, TOL * NOTIONAL);
assertEquals(ceComputed.getAmount(USD).Amount, ceExpected.getAmount(USD).Amount, TOL * NOTIONAL);
}
//-------------------------------------------------------------------------
public virtual void currency_exposure_GBP()
{
LocalDate startDate = LocalDate.of(2016, 8, 2);
LocalDate fixingDate = LocalDate.of(2016, 11, 2);
LocalDate endDate = LocalDate.of(2016, 11, 4);
double yearFraction = 0.25;
double rate = 0.10;
RateAccrualPeriod accrual = RateAccrualPeriod.builder().startDate(startDate).endDate(endDate).yearFraction(yearFraction).rateComputation(FixedRateComputation.of(rate)).build();
double notional = 1000000;
RatePaymentPeriod fixedFx = RatePaymentPeriod.builder().accrualPeriods(accrual).fxReset(FxReset.of(FxIndexObservation.of(FxIndices.GBP_USD_WM, fixingDate, REF_DATA), GBP)).notional(notional).paymentDate(endDate).dayCount(DayCounts.ONE_ONE).currency(USD).build(); // 1_000_000 GBP paid in USD at maturity
PointSensitivityBuilder pts = PERIOD_PRICER.presentValueSensitivity(fixedFx, PROVIDER);
MultiCurrencyAmount ceComputed = PERIOD_PRICER.currencyExposure(fixedFx, PROVIDER);
double dfGbp = PROVIDER.discountFactor(GBP, endDate);
double ceGbpExpected = notional * yearFraction * rate * dfGbp;
assertEquals(ceComputed.getAmount(GBP).Amount, ceGbpExpected, 1.0E-6);
MultiCurrencyAmount ceWithoutPvComputed = PROVIDER.currencyExposure(pts.build().convertedTo(GBP, PROVIDER));
CurrencyAmount pvComputed = CurrencyAmount.of(USD, PERIOD_PRICER.presentValue(fixedFx, PROVIDER));
MultiCurrencyAmount ceComputed2 = ceWithoutPvComputed.plus(pvComputed);
assertEquals(ceComputed2.getAmount(GBP).Amount, ceGbpExpected, TOLERANCE);
assertEquals(ceComputed2.getAmount(USD).Amount, 0.0, TOLERANCE);
}
