public virtual void test_presentValueSensitivityVolatility()
{
PointSensitivityBuilder computed1 = PRICER.presentValueSensitivityModelParamsVolatility(CAP_ONE_LEG, RATES, VOLS);
PointSensitivityBuilder computed2 = PRICER.presentValueSensitivityModelParamsVolatility(CAP_TWO_LEGS, RATES, VOLS);
PointSensitivityBuilder cap = PRICER_CAP_LEG.presentValueSensitivityModelParamsVolatility(CAP_LEG, RATES, VOLS);
assertEquals(computed1, cap);
assertEquals(computed2, cap);
}
public virtual void test_presentValueSensitivityModelParamsVolatility()
{
PointSensitivities computedWithPayLeg = PRICER.presentValueSensitivityModelParamsVolatility(TRADE_PAYLEG, RATES, VOLS).build();
PointSensitivities computedWithPremium = PRICER.presentValueSensitivityModelParamsVolatility(TRADE_PREMIUM, RATES, VOLS).build();
PointSensitivities pvOneLeg = PRICER_PRODUCT.presentValueSensitivityModelParamsVolatility(CAP_ONE_LEG, RATES, VOLS).build();
PointSensitivities pvTwoLegs = PRICER_PRODUCT.presentValueSensitivityModelParamsVolatility(CAP_TWO_LEGS, RATES, VOLS).build();
assertEquals(computedWithPayLeg, pvTwoLegs);
assertEquals(computedWithPremium, pvOneLeg);
}