public virtual void test_zeroRatePointSensitivity_sensitivityCurrency()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, DATE_AFTER);
double df = Math.Exp(-relativeYearFraction * CURVE.yValue(relativeYearFraction));
ZeroRateSensitivity expected = ZeroRateSensitivity.of(USD, relativeYearFraction, GBP, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, GBP), expected);
}
//-------------------------------------------------------------------------
public virtual void test_unitParameterSensitivity()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER);
double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, DATE_AFTER);
CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of(CURVE.yValueParameterSensitivity(relativeYearFraction).multipliedBy(sens.Currency, sens.Sensitivity));
assertEquals(test.parameterSensitivity(sens), expected);
}