@Test
/** Tests the present value curve sensitivity. */
public void presentValueCurveSensitivity() {
double spread = 0.0001; // Relative spread.
double strikeM = STRIKE * (1 - spread);
double strikeP = STRIKE * (1 + spread);
Forex forexM =
new Forex(
FOREX.getPaymentCurrency1().withAmount(1.0),
FOREX.getPaymentCurrency2().withAmount(-strikeM));
Forex forexP =
new Forex(
FOREX.getPaymentCurrency1().withAmount(1.0),
FOREX.getPaymentCurrency2().withAmount(-strikeP));
ForexOptionVanilla vanillaM =
new ForexOptionVanilla(forexM, FOREX_CALL_OPTION.getExpirationTime(), IS_CALL, IS_LONG);
ForexOptionVanilla vanillaP =
new ForexOptionVanilla(forexP, FOREX_CALL_OPTION.getExpirationTime(), IS_CALL, IS_LONG);
MultipleCurrencyInterestRateCurveSensitivity pvcsP =
METHOD_VANILLA_BLACK.presentValueCurveSensitivity(vanillaP, SMILE_BUNDLE);
MultipleCurrencyInterestRateCurveSensitivity pvcsM =
METHOD_VANILLA_BLACK.presentValueCurveSensitivity(vanillaM, SMILE_BUNDLE);
MultipleCurrencyInterestRateCurveSensitivity pvcsExpected =
pvcsM
.plus(pvcsP.multipliedBy(-1.0))
.multipliedBy(
1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
MultipleCurrencyInterestRateCurveSensitivity pvcsComputed =
METHOD_DIGITAL_SPREAD.presentValueCurveSensitivity(FOREX_CALL_OPTION, SMILE_BUNDLE);
assertTrue(
"Forex Digital option: call spread method - present value",
MultipleCurrencyInterestRateCurveSensitivity.compare(
pvcsExpected, pvcsComputed, TOLERANCE_DELTA));
}
@Test
/** Tests the present value curve sensitivity. Method vs Calculator. */
public void presentValueCurveSensitivityMethodVCalculator() {
MultipleCurrencyInterestRateCurveSensitivity pvcsMethod =
METHOD_DIGITAL_SPREAD.presentValueCurveSensitivity(FOREX_CALL_OPTION, SMILE_BUNDLE);
PresentValueCurveSensitivityCallSpreadBlackForexCalculator calculator =
new PresentValueCurveSensitivityCallSpreadBlackForexCalculator(STANDARD_SPREAD);
MultipleCurrencyInterestRateCurveSensitivity pvcsCalculator =
calculator.visit(FOREX_CALL_OPTION, SMILE_BUNDLE);
assertTrue(
"Forex Digital option: call spread method - present value",
MultipleCurrencyInterestRateCurveSensitivity.compare(
pvcsMethod, pvcsCalculator, TOLERANCE_DELTA));
}