/**
* The sensitivity of a CDS to the recovery rate. Note this is per unit amount, so the change
* in PV due to a one percent (say from 40% to 41%) rise is RR will be 0.01 * the returned value.
*
* @param cds the analytic description of a CDS traded at a certain time
* @param yieldCurve the yield (or discount) curve
* @param creditCurve the credit (or survival) curve
* @return the recovery rate sensitivity (on a unit notional)
*/
public double recoveryRateSensitivity(
CDS cds,
YieldTermStructure yieldCurve,
PiecewiseconstantHazardRate creditCurve)
{
CDS zeroRR = cds.withRecoveryRate(0);
return(-_pricer.protectionLeg(zeroRR, yieldCurve, creditCurve));
}
