//-------------------------------------------------------------------------
private static CurrencyParameterSensitivity buildSensitivities(Curve bumpedCurve, ImmutableRatesProvider ratesProvider)
{
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
RatesProvider bumpedRatesProvider = ratesProvider.toBuilder().discountCurves(ratesProvider.DiscountCurves.Keys.collect(toImmutableMap(System.Func.identity(), k => bumpedCurve))).indexCurves(ratesProvider.IndexCurves.Keys.collect(toImmutableMap(System.Func.identity(), k => bumpedCurve))).build();
PointSensitivities pointSensitivities = PRICER_SWAP.presentValueSensitivity(SWAP, bumpedRatesProvider).build();
CurrencyParameterSensitivities paramSensitivities = bumpedRatesProvider.parameterSensitivity(pointSensitivities);
return(Iterables.getOnlyElement(paramSensitivities.Sensitivities));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price sensitivity of the deliverable swap futures product.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="future"> the future </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the price curve sensitivity of the product </returns>
public PointSensitivities priceSensitivity(ResolvedDsf future, RatesProvider ratesProvider)
{
ResolvedSwap swap = future.UnderlyingSwap;
Currency currency = future.Currency;
double pvSwap = swapPricer.presentValue(swap, currency, ratesProvider).Amount;
double dfInv = 1d / ratesProvider.discountFactor(currency, future.DeliveryDate);
PointSensitivityBuilder sensiSwapPv = swapPricer.presentValueSensitivity(swap, ratesProvider).multipliedBy(dfInv);
PointSensitivityBuilder sensiDf = ratesProvider.discountFactors(currency).zeroRatePointSensitivity(future.DeliveryDate).multipliedBy(-pvSwap * dfInv * dfInv);
return(sensiSwapPv.combinedWith(sensiDf).build());
}