public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder computed1 = PRICER.presentValueSensitivityRates(CAP_ONE_LEG, RATES, VOLS);
PointSensitivityBuilder computed2 = PRICER.presentValueSensitivityRates(CAP_TWO_LEGS, RATES, VOLS);
PointSensitivityBuilder cap = PRICER_CAP_LEG.presentValueSensitivityRates(CAP_LEG, RATES, VOLS);
PointSensitivityBuilder pay = PRICER_PAY_LEG.presentValueSensitivity(PAY_LEG, RATES);
assertEquals(computed1, cap);
assertEquals(computed2, cap.combinedWith(pay));
}
public virtual void test_presentValueSensitivity()
{
PointSensitivities computedWithPayLeg = PRICER.presentValueSensitivityRates(TRADE_PAYLEG, RATES, VOLS);
PointSensitivities computedWithPremium = PRICER.presentValueSensitivityRates(TRADE_PREMIUM, RATES, VOLS);
PointSensitivities pvOneLeg = PRICER_PRODUCT.presentValueSensitivityRates(CAP_ONE_LEG, RATES, VOLS).build();
PointSensitivities pvTwoLegs = PRICER_PRODUCT.presentValueSensitivityRates(CAP_TWO_LEGS, RATES, VOLS).build();
PointSensitivities pvPrem = PRICER_PREMIUM.presentValueSensitivity(PREMIUM, RATES).build();
assertEquals(computedWithPayLeg, pvTwoLegs);
assertEquals(computedWithPremium, pvOneLeg.combinedWith(pvPrem));
}
