//-------------------------------------------------------------------------
public virtual void test_price_presentValue()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
ResolvedFxVanillaOption call = CALLS[i];
ResolvedFxVanillaOptionTrade callTrade = ResolvedFxVanillaOptionTrade.builder().product(call).premium(Payment.of(EUR, 0, VAL_DATE)).build();
double computedPriceCall = PRICER.price(call, RATES_PROVIDER, VOLS);
CurrencyAmount computedCall = PRICER.presentValue(call, RATES_PROVIDER, VOLS);
double timeToExpiry = VOLS.relativeTime(EXPIRY);
FxRate forward = FX_PRICER.forwardFxRate(UNDERLYING[i], RATES_PROVIDER);
double forwardRate = forward.fxRate(CURRENCY_PAIR);
double strikeRate = call.Strike;
SmileDeltaParameters smileAtTime = VOLS.Smile.smileForExpiry(timeToExpiry);
double[] strikes = smileAtTime.strike(forwardRate).toArray();
double[] vols = smileAtTime.Volatility.toArray();
double df = RATES_PROVIDER.discountFactor(USD, PAY);
double[] weights = this.weights(forwardRate, strikeRate, strikes, timeToExpiry, vols[1]);
double expectedPriceCall = BlackFormulaRepository.price(forwardRate, strikeRate, timeToExpiry, vols[1], true);
for (int j = 0; j < 3; ++j)
{
expectedPriceCall += weights[j] * (BlackFormulaRepository.price(forwardRate, strikes[j], timeToExpiry, vols[j], true) - BlackFormulaRepository.price(forwardRate, strikes[j], timeToExpiry, vols[1], true));
}
expectedPriceCall *= df;
assertEquals(computedPriceCall, expectedPriceCall, TOL);
assertEquals(computedCall.Amount, expectedPriceCall * NOTIONAL, TOL * NOTIONAL);
// test against trade pricer
assertEquals(computedCall, TRADE_PRICER.presentValue(callTrade, RATES_PROVIDER, VOLS).getAmount(USD));
}
}
public virtual void test_price_presentValue_afterExpiry()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
ResolvedFxVanillaOption call = CALLS[i];
ResolvedFxVanillaOptionTrade callTrade = ResolvedFxVanillaOptionTrade.builder().product(call).premium(Payment.of(EUR, 0, VOLS_AFTER.ValuationDate)).build();
double computedPriceCall = PRICER.price(call, RATES_PROVIDER_AFTER, VOLS_AFTER);
CurrencyAmount computedCall = PRICER.presentValue(call, RATES_PROVIDER_AFTER, VOLS_AFTER);
assertEquals(computedPriceCall, 0d, TOL);
assertEquals(computedCall.Amount, 0d, TOL);
ResolvedFxVanillaOption put = PUTS[i];
ResolvedFxVanillaOptionTrade putTrade = ResolvedFxVanillaOptionTrade.builder().product(put).premium(Payment.of(EUR, 0, VOLS_AFTER.ValuationDate)).build();
double computedPricePut = PRICER.price(put, RATES_PROVIDER_AFTER, VOLS_AFTER);
CurrencyAmount computedPut = PRICER.presentValue(put, RATES_PROVIDER_AFTER, VOLS_AFTER);
assertEquals(computedPricePut, 0d, TOL);
assertEquals(computedPut.Amount, 0d, TOL);
// test against trade pricer
assertEquals(computedCall, TRADE_PRICER.presentValue(callTrade, RATES_PROVIDER_AFTER, VOLS_AFTER).getAmount(USD));
assertEquals(computedPut, TRADE_PRICER.presentValue(putTrade, RATES_PROVIDER_AFTER, VOLS_AFTER).getAmount(USD));
}
}
