// interpolate the observations at the end
private PointSensitivityBuilder endSensitivity(InflationInterpolatedRateComputation computation, PriceIndexValues values)
{
double weight = computation.Weight;
PointSensitivityBuilder sensi1 = values.valuePointSensitivity(computation.EndObservation).multipliedBy(weight);
PointSensitivityBuilder sensi2 = values.valuePointSensitivity(computation.EndSecondObservation).multipliedBy(1d - weight);
return(sensi1.combinedWith(sensi2));
}
public virtual PointSensitivityBuilder rateSensitivity(InflationMonthlyRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
PriceIndex index = computation.Index;
PriceIndexValues values = provider.priceIndexValues(index);
double indexStart = values.value(computation.StartObservation);
double indexEnd = values.value(computation.EndObservation);
double indexStartInv = 1d / indexStart;
PointSensitivityBuilder sensi1 = values.valuePointSensitivity(computation.StartObservation).multipliedBy(-indexEnd * indexStartInv * indexStartInv);
PointSensitivityBuilder sensi2 = values.valuePointSensitivity(computation.EndObservation).multipliedBy(indexStartInv);
return(sensi1.combinedWith(sensi2));
}
public virtual PointSensitivityBuilder rateSensitivity(InflationEndMonthRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
PriceIndexValues values = provider.priceIndexValues(computation.Index);
return(values.valuePointSensitivity(computation.EndObservation).multipliedBy(1d / computation.StartIndexValue));
}
