public void test_currencyExposure() {
MultiCurrencyAmount ceComputed =
PRICER_TRADE.currencyExposure(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities point =
PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount pv = PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount ceExpected = RATES_PROVIDER.currencyExposure(point).plus(pv);
assertEquals(ceComputed.size(), 2);
assertEquals(
ceComputed.getAmount(EUR).getAmount(),
ceExpected.getAmount(EUR).getAmount(),
TOL * NOTIONAL);
assertEquals(
ceComputed.getAmount(USD).getAmount(),
ceExpected.getAmount(USD).getAmount(),
TOL * NOTIONAL);
}
public void test_presentValue() {
MultiCurrencyAmount pvSensiTrade =
PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiProduct =
PRICER_PRODUCT.presentValue(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiPremium = PRICER_PAYMENT.presentValue(PREMIUM, RATES_PROVIDER);
assertEquals(pvSensiTrade, MultiCurrencyAmount.of(pvSensiProduct, pvSensiPremium));
}
public void test_presentValueSensitivity() {
PointSensitivities pvSensiTrade =
PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct =
PRICER_PRODUCT.presentValueSensitivityRates(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiPremium =
PRICER_PAYMENT.presentValueSensitivity(PREMIUM, RATES_PROVIDER).build();
assertEquals(pvSensiTrade, pvSensiProduct.combinedWith(pvSensiPremium));
}
public void test_presentValueSensitivityBlackVolatility() {
PointSensitivities pvSensiTrade =
PRICER_TRADE.presentValueSensitivityModelParamsVolatility(
OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct =
PRICER_PRODUCT
.presentValueSensitivityModelParamsVolatility(OPTION_PRODUCT, RATES_PROVIDER, VOLS)
.build();
assertEquals(pvSensiTrade, pvSensiProduct);
}
public void test_currentCash_onSettle() {
assertEquals(PRICER_TRADE.currentCash(OPTION_TRADE, CASH_SETTLE_DATE), PREMIUM.getValue());
}
public void test_currentCash_zero() {
assertEquals(
PRICER_TRADE.currentCash(OPTION_TRADE, VAL_DATE),
CurrencyAmount.zero(PREMIUM.getCurrency()));
}
