//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityRates()
{
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer pricer = new ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(21);
CurrencyParameterSensitivities computed = pricer.presentValueSensitivityRates(CALL_UKI_C, RATE_PROVIDER, VOLS);
RatesFiniteDifferenceSensitivityCalculator calc = new RatesFiniteDifferenceSensitivityCalculator(1.0e-5);
CurrencyParameterSensitivities expected = calc.sensitivity(RATE_PROVIDER, p => pricer.presentValue(CALL_UKI_C, p, VOLS));
assertTrue(computed.equalWithTolerance(expected, 1.0e-13));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the FX barrier option trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// The sensitivity is computed by bump and re-price, returning <seealso cref="CurrencyParameterSensitivities"/>,
/// not <seealso cref="PointSensitivities"/>.
/// </para>
/// <para>
/// The trinomial tree is first calibrated to Black volatilities,
/// then the price is computed based on the calibrated tree.
///
/// </para>
/// </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 present value curve sensitivity of the trade </returns>
public virtual CurrencyParameterSensitivities presentValueSensitivityRates(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxSingleBarrierOption product = trade.Product;
CurrencyParameterSensitivities sensProduct = productPricer.presentValueSensitivityRates(product, ratesProvider, volatilities);
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
CurrencyParameterSensitivities sensPremium = ratesProvider.parameterSensitivity(pvcsPremium.build());
return(sensProduct.combinedWith(sensPremium));
}
public virtual void test_dataMismatch()
{
assertThrowsIllegalArg(() => PRICER_70.presentValueSensitivityRates(CALL_DKO, RATE_PROVIDER, VOLS, DATA_39));
}