//-------------------------------------------------------------------------
public virtual void test_marginIndexSensitivity()
{
double notional = FUTURE.Notional;
double accrualFactor = FUTURE.AccrualFactor;
PointSensitivities sensiExpected = PointSensitivities.of(IborRateSensitivity.of(FUTURE.IborRate.Observation, -notional * accrualFactor));
PointSensitivities priceSensitivity = PRICER.priceSensitivity(FUTURE, new MockRatesProvider());
PointSensitivities sensiComputed = PRICER.marginIndexSensitivity(FUTURE, priceSensitivity).normalized();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, 1e-5));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
PointSensitivities sensiPrice = PRICER_PRODUCT.priceSensitivity(FUTURE, prov);
PointSensitivities sensiPresentValueExpected = sensiPrice.multipliedBy(FUTURE.Notional * FUTURE.AccrualFactor * FUTURE_TRADE.Quantity);
PointSensitivities sensiPresentValueComputed = PRICER_TRADE.presentValueSensitivity(FUTURE_TRADE, prov);
assertTrue(sensiPresentValueComputed.equalWithTolerance(sensiPresentValueExpected, TOLERANCE_PV_DELTA));
}
/// <summary>
/// Calculates the price sensitivity of the Ibor future option product
/// based on the price of the underlying future.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
/// The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.
///
/// </para>
/// </summary>
/// <param name="futureOption"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <param name="futurePrice"> the price of the underlying future, in decimal form </param>
/// <returns> the price curve sensitivity of the product </returns>
public virtual PointSensitivities priceSensitivityRatesStickyStrike(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice)
{
double delta = deltaStickyStrike(futureOption, ratesProvider, volatilities, futurePrice);
PointSensitivities futurePriceSensitivity = futurePricer.priceSensitivity(futureOption.UnderlyingFuture, ratesProvider);
return(futurePriceSensitivity.multipliedBy(delta));
}
// ---------- priceSensitivity ----------
public virtual void priceSensitivityStickyStrike_from_future_price()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
when(mockIbor.rate(OPTION.UnderlyingFuture.IborRate.Observation)).thenReturn(RATE);
double futurePrice = 0.9875;
PointSensitivities futurePriceSensitivity = FUTURE_PRICER.priceSensitivity(OPTION.UnderlyingFuture, prov);
double delta = OPTION_PRICER.deltaStickyStrike(OPTION, prov, VOL_SIMPLE_MONEY_PRICE, futurePrice);
PointSensitivities optionPriceSensitivityExpected = futurePriceSensitivity.multipliedBy(delta);
PointSensitivities optionPriceSensitivityComputed = OPTION_PRICER.priceSensitivityRatesStickyStrike(OPTION, prov, VOL_SIMPLE_MONEY_PRICE, futurePrice);
assertTrue(optionPriceSensitivityExpected.equalWithTolerance(optionPriceSensitivityComputed, TOLERANCE_PRICE_DELTA));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price sensitivity of the Ibor future product.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the price curve sensitivity of the product </returns>
public virtual PointSensitivities priceSensitivity(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)
{
return(productPricer.priceSensitivity(trade.Product, ratesProvider));
}