private System.Func <ResolvedCdsTrade, DoubleArray> getPointsUpfrontSensitivityFunction(CreditRatesProvider ratesProvider, CurveName curveName, Currency currency, ReferenceData refData)
{
System.Func <ResolvedCdsTrade, DoubleArray> func = (ResolvedCdsTrade trade) =>
{
PointSensitivities point = tradePricer.priceSensitivity(trade, ratesProvider, refData);
return(ratesProvider.parameterSensitivity(point).getSensitivity(curveName, currency).Sensitivity);
};
return(func);
}
public virtual void test_priceSensitivity()
{
PointSensitivities computed = PRICER.priceSensitivity(TRADE, RATES_PROVIDER, REF_DATA);
PointSensitivities expected = PRICER_PRODUCT.priceSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA).build();
PointSensitivities computedMf = PRICER_MF.priceSensitivity(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, REF_DATA);
PointSensitivities expectedMf = PRICER_PRODUCT_MF.priceSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA).build();
assertTrue(computed.equalWithTolerance(expected, TOL));
assertTrue(computedMf.equalWithTolerance(expectedMf, TOL));
}