/**
* Computes the present value curve sensitivity of a transaction.
*
* @param transaction The future option transaction.
* @param curves The yield curve bundle.
* @return The present value curve sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(
final InterestRateFutureOptionMarginTransaction transaction, final YieldCurveBundle curves) {
InterestRateCurveSensitivity securitySensitivity =
_securityMethod.priceCurveSensitivity(transaction.getUnderlyingOption(), curves);
return securitySensitivity.multipliedBy(
transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
}
/**
* Computes the present value of a transaction from the future price and curve/volatility data.
*
* @param transaction The future option transaction.
* @param curves The yield curve bundle.
* @param priceFuture The price of the underlying future.
* @return The present value.
*/
public CurrencyAmount presentValueFromFuturePrice(
final InterestRateFutureOptionMarginTransaction transaction,
final YieldCurveBundle curves,
final double priceFuture) {
double priceSecurity =
_securityMethod.optionPriceFromFuturePrice(
transaction.getUnderlyingOption(), curves, priceFuture);
CurrencyAmount priceTransaction = presentValueFromPrice(transaction, priceSecurity);
return priceTransaction;
}
@Override
public CurrencyAmount presentValue(
final InstrumentDerivative instrument, final YieldCurveBundle curves) {
ArgumentChecker.isTrue(
instrument instanceof InterestRateFutureOptionMarginTransaction,
"The instrument should be a InterestRateFutureOptionMarginTransaction");
final InterestRateFutureOptionMarginTransaction transaction =
(InterestRateFutureOptionMarginTransaction) instrument;
double priceSecurity = _securityMethod.optionPrice(transaction.getUnderlyingOption(), curves);
CurrencyAmount pvTransaction = presentValueFromPrice(transaction, priceSecurity);
return pvTransaction;
}
