// Calcualate BnR disc risk on a linear rate instrument
public double BumpAndRunDisc(LinearRateInstrument product, int curvePoint, double bump = 0.0001)
{
double valueNoBump = ValueLinearRateProduct(product);
LinearRateModel newModel = BumpDiscCurveAndReturn(curvePoint, bump);
double valueBump = newModel.ValueLinearRateProduct(product);
return((valueBump - valueNoBump) / bump * 0.0001);
}
// Calculate BnR forward risk on a linear rate instrument
public double BumpAndRunFwdRisk(LinearRateInstrument product, CurveTenor fwdCurve, int curvePoint, double bump = 0.0001)
{
double valueNoBump = ValueLinearRateProduct(product);
LinearRateModel newModel = BumpFwdCurveAndReturn(fwdCurve, curvePoint, bump);
double valueBump = newModel.ValueLinearRateProduct(product);
return((valueBump - valueNoBump) / bump * 0.0001);
}