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); }