public virtual void test_presentValueSensitivityWithZSpread_continuous()
{
PointSensitivityBuilder point = PRICER.presentValueSensitivityWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point.build());
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(PROVIDER, p => PRICER.presentValueWithZSpread(PRODUCT, p, Z_SPREAD, CONTINUOUS, 0));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
/// <summary>
/// Calculates the present value sensitivity of the fixed coupon bond trade with z-spread.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
/// </para>
/// <para>
/// Coupon payments of the underlying product are considered based on the settlement date of the trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public virtual PointSensitivities presentValueSensitivityWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
LocalDate settlementDate = this.settlementDate(trade, provider.ValuationDate);
PointSensitivityBuilder sensiProduct = productPricer.presentValueSensitivityWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear, settlementDate);
return(presentValueSensitivityFromProductPresentValueSensitivity(trade, provider, sensiProduct).build());
}