//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivities ptsTrade = PRICER_TRADE.presentValueSensitivity(RDEPOSIT_TRADE, IMM_PROV);
PointSensitivities ptsProduct = PRICER_PRODUCT.presentValueSensitivity(RDEPOSIT_PRODUCT, IMM_PROV);
assertTrue(ptsTrade.equalWithTolerance(ptsProduct, TOLERANCE_PV_DELTA));
}
public virtual void test_presentValueSensitivity()
{
PointSensitivities computed = PRICER.presentValueSensitivity(RTERM_DEPOSIT, IMM_PROV);
CurrencyParameterSensitivities sensiComputed = IMM_PROV.parameterSensitivity(computed);
CurrencyParameterSensitivities sensiExpected = CAL_FD.sensitivity(IMM_PROV, (p) => PRICER.presentValue(RTERM_DEPOSIT, (p)));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, NOTIONAL * EPS_FD));
}
/// <summary>
/// Calculates the present value sensitivity by discounting the final cash flow (nominal + interest)
/// and the initial payment (initial amount).
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedTermDepositTrade trade, RatesProvider provider)
{
return(productPricer.presentValueSensitivity(trade.Product, provider));
}
