@Override
protected Set<ComputedValue> getResult(
final InstrumentDerivative fxDigital,
final ForexOptionDataBundle<?> data,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues,
final FunctionInputs inputs,
final ValueSpecification spec,
final FunctionExecutionContext executionContext) {
final String spreadName =
Iterables.getOnlyElement(desiredValues)
.getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
final double spread = Double.parseDouble(spreadName);
final PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator calculator =
new PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator(spread);
final PresentValueForexBlackVolatilitySensitivity result = fxDigital.accept(calculator, data);
final CurrencyAmount vegaValue = result.toSingleValue();
return Collections.singleton(new ComputedValue(spec, vegaValue.getAmount()));
}
@Test
/** Tests the present value volatility sensitivity. Method vs Calculator. */
public void presentValueVolatilitySensitivityMethodVCalculator() {
PresentValueForexBlackVolatilitySensitivity pvbvMethod =
METHOD_DIGITAL_SPREAD.presentValueVolatilitySensitivity(FOREX_CALL_OPTION, SMILE_BUNDLE);
PresentValueVolatilitySensitivityCallSpreadBlackForexCalculator calculator =
new PresentValueVolatilitySensitivityCallSpreadBlackForexCalculator(STANDARD_SPREAD);
PresentValueForexBlackVolatilitySensitivity pvbvCalculator =
calculator.visit(FOREX_CALL_OPTION, SMILE_BUNDLE);
assertTrue(
"Forex Digital option: call spread method - present value volatility sensitivity",
PresentValueForexBlackVolatilitySensitivity.compare(
pvbvMethod, pvbvCalculator, TOLERANCE_DELTA));
}
@Test
/** Tests the present value curve sensitivity. */
public void presentValueVolatilitySensitivity() {
double strikeM = STRIKE * (1 - STANDARD_SPREAD);
double strikeP = STRIKE * (1 + STANDARD_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);
PresentValueForexBlackVolatilitySensitivity pvbvP =
METHOD_VANILLA_BLACK.presentValueVolatilitySensitivity(vanillaP, SMILE_BUNDLE);
PresentValueForexBlackVolatilitySensitivity pvbvM =
METHOD_VANILLA_BLACK.presentValueVolatilitySensitivity(vanillaM, SMILE_BUNDLE);
PresentValueForexBlackVolatilitySensitivity pvbvExpected =
pvbvM
.plus(pvbvP.multipliedBy(-1.0))
.multipliedBy(
1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
PresentValueForexBlackVolatilitySensitivity pvbvComputed =
METHOD_DIGITAL_SPREAD.presentValueVolatilitySensitivity(FOREX_CALL_OPTION, SMILE_BUNDLE);
assertEquals(
"Forex Digital option: call spread method - present value volatility sensitivity",
pvbvComputed.getVega().getMap().size(),
2);
assertTrue(
"Forex Digital option: call spread method - present value volatility sensitivity",
PresentValueForexBlackVolatilitySensitivity.compare(
pvbvExpected, pvbvComputed, TOLERANCE_DELTA));
}