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_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);
}
