public virtual void test_parSpread()
{
double spread = PRICER.parSpread(FWD, PROVIDER);
ResolvedFxSingle fwdSp = ResolvedFxSingle.of(CurrencyAmount.of(USD, NOMINAL_USD), FxRate.of(USD, KRW, FX_RATE + spread), PAYMENT_DATE);
MultiCurrencyAmount pv = PRICER.presentValue(fwdSp, PROVIDER);
assertEquals(pv.convertedTo(USD, PROVIDER).Amount, 0d, NOMINAL_USD * TOL);
}
//-------------------------------------------------------------------------
public virtual void test_parSpread_beforeStart()
{
double parSpread = PRICER.parSpread(SWAP_PRODUCT, PROVIDER);
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS + parSpread, PAYMENT_DATE_NEAR, PAYMENT_DATE_FAR);
MultiCurrencyAmount pv = PRICER.presentValue(product, PROVIDER);
assertEquals(pv.convertedTo(USD, PROVIDER).Amount, 0d, NOMINAL_USD * TOL);
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
CurrencyAmount pv = PRICER.presentValue(NDF, PROVIDER);
MultiCurrencyAmount ce = PRICER.currencyExposure(NDF, PROVIDER);
CurrencyAmount ceConverted = ce.convertedTo(pv.Currency, PROVIDER);
assertEquals(pv.Amount, ceConverted.Amount, NOMINAL_USD * TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par spread.
/// <para>
/// The par spread is the spread that should be added to the FX forward points to have a zero value.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the spread </returns>
public virtual double parSpread(ResolvedFxSwap swap, RatesProvider provider)
{
Payment counterPaymentNear = swap.NearLeg.CounterCurrencyPayment;
MultiCurrencyAmount pv = presentValue(swap, provider);
double pvCounterCcy = pv.convertedTo(counterPaymentNear.Currency, provider).Amount;
double dfEnd = provider.discountFactor(counterPaymentNear.Currency, swap.FarLeg.PaymentDate);
double notionalBaseCcy = swap.NearLeg.BaseCurrencyPayment.Amount;
return(-pvCounterCcy / (notionalBaseCcy * dfEnd));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par spread.
/// <para>
/// This is the spread that should be added to the FX points to have a zero value.
///
/// </para>
/// </summary>
/// <param name="fx"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the spread </returns>
public virtual double parSpread(ResolvedFxSingle fx, RatesProvider provider)
{
Payment basePayment = fx.BaseCurrencyPayment;
Payment counterPayment = fx.CounterCurrencyPayment;
MultiCurrencyAmount pv = presentValue(fx, provider);
double pvCounterCcy = pv.convertedTo(counterPayment.Currency, provider).Amount;
double dfEnd = provider.discountFactor(counterPayment.Currency, fx.PaymentDate);
double notionalBaseCcy = basePayment.Amount;
return(pvCounterCcy / (notionalBaseCcy * dfEnd));
}
/// <summary>
/// Calculates the par spread sensitivity to the curves.
/// <para>
/// The sensitivity is reported in the counter currency of the product, but is actually dimensionless.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the spread curve sensitivity </returns>
public virtual PointSensitivities parSpreadSensitivity(ResolvedFxSwap swap, RatesProvider provider)
{
Payment counterPaymentNear = swap.NearLeg.CounterCurrencyPayment;
MultiCurrencyAmount pv = presentValue(swap, provider);
double pvCounterCcy = pv.convertedTo(counterPaymentNear.Currency, provider).Amount;
double dfEnd = provider.discountFactor(counterPaymentNear.Currency, swap.FarLeg.PaymentDate);
double notionalBaseCcy = swap.NearLeg.BaseCurrencyPayment.Amount;
double ps = -pvCounterCcy / (notionalBaseCcy * dfEnd);
// backward sweep
double psBar = 1d;
double pvCounterCcyBar = -1d / (notionalBaseCcy * dfEnd) * psBar;
double dfEndBar = -ps / dfEnd * psBar;
ZeroRateSensitivity ddfEnddr = provider.discountFactors(counterPaymentNear.Currency).zeroRatePointSensitivity(swap.FarLeg.PaymentDate);
PointSensitivities result = ddfEnddr.multipliedBy(dfEndBar).build();
PointSensitivities dpvdr = presentValueSensitivity(swap, provider);
PointSensitivities dpvdrConverted = dpvdr.convertedTo(counterPaymentNear.Currency, provider);
return(result.combinedWith(dpvdrConverted.multipliedBy(pvCounterCcyBar)));
}
