public virtual void test_parRateSensitivity()
{
PointSensitivities computedSpread = PRICER.parSpreadSensitivity(RTERM_DEPOSIT, IMM_PROV);
PointSensitivities computedRate = PRICER.parRateSensitivity(RTERM_DEPOSIT, IMM_PROV);
assertTrue(computedSpread.equalWithTolerance(computedRate, NOTIONAL * EPS_FD));
}
//-------------------------------------------------------------------------
public virtual void test_parRateSensitivity()
{
PointSensitivities ptsTrade = PRICER_TRADE.parRateSensitivity(RDEPOSIT_TRADE, IMM_PROV);
PointSensitivities ptsProduct = PRICER_PRODUCT.parRateSensitivity(RDEPOSIT_PRODUCT, IMM_PROV);
assertTrue(ptsTrade.equalWithTolerance(ptsProduct, TOLERANCE_PV_DELTA));
}
/// <summary>
/// Calculates the par rate curve sensitivity.
/// <para>
/// The calculation is based on both of initial and final payments.
/// Thus the number resulting may not be meaningful when deposit has already started and only the final
/// payment remains (no initial payment).
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate curve sensitivity </returns>
public virtual PointSensitivities parRateSensitivity(ResolvedTermDepositTrade trade, RatesProvider provider)
{
return(productPricer.parRateSensitivity(trade.Product, provider));
}
