public virtual void test_pv01() { ScenarioMarketData md = FxSingleBarrierOptionTradeCalculationFunctionTest.marketData(); RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); BlackFxSingleBarrierOptionTradePricer pricer = BlackFxSingleBarrierOptionTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivityRatesStickyStrike(RTRADE, provider, VOLS); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4); assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal))); assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))); }
//------------------------------------------------------------------------- public virtual void test_presentValue() { ScenarioMarketData md = FxSingleBarrierOptionTradeCalculationFunctionTest.marketData(); RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); BlackFxSingleBarrierOptionTradePricer pricer = BlackFxSingleBarrierOptionTradePricer.DEFAULT; MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS); CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider.ValuationDate); assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.presentValue(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv))); assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.currencyExposure(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure))); assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.currentCash(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash))); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="blackPricer"> the pricer for <seealso cref="ResolvedFxSingleBarrierOptionTrade"/> </param> /// <param name="trinomialTreePricer"> the pricer for <seealso cref="ResolvedFxSingleBarrierOptionTrade"/> SABR </param> internal FxSingleBarrierOptionMeasureCalculations(BlackFxSingleBarrierOptionTradePricer blackPricer, ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer trinomialTreePricer) { this.blackPricer = ArgChecker.notNull(blackPricer, "blackPricer"); this.trinomialTreePricer = ArgChecker.notNull(trinomialTreePricer, "trinomialTreePricer"); }
/// <summary> /// Creates an instance. /// <para> /// In most cases, applications should use the <seealso cref="#DEFAULT"/> instance. /// /// </para> /// </summary> /// <param name="blackPricer"> the pricer for <seealso cref="ResolvedFxSingleBarrierOptionTrade"/> using Black </param> /// <param name="trinomialTreePricer"> the pricer for <seealso cref="ResolvedFxSingleBarrierOptionTrade"/> using Trinomial-Tree </param> public FxSingleBarrierOptionTradeCalculations(BlackFxSingleBarrierOptionTradePricer blackPricer, ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer trinomialTreePricer) { this.calc = new FxSingleBarrierOptionMeasureCalculations(blackPricer, trinomialTreePricer); }