public virtual void test_parameterSensitivity()
{
RepoCurveDiscountFactors @base = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
RepoCurveZeroRateSensitivity sensi = @base.zeroRatePointSensitivity(DATE_AFTER, USD);
CurrencyParameterSensitivities computed = @base.parameterSensitivity(sensi);
CurrencyParameterSensitivities expected = DSC_FACTORS.parameterSensitivity(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD));
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(FxForwardSensitivity pointSensitivity)
{
// use the specified base currency to determine the desired currency pair
// then derive sensitivity from discount factors based off desired currency pair, not that of the index
CurrencyPair currencyPair = pointSensitivity.CurrencyPair;
Currency refBaseCurrency = pointSensitivity.ReferenceCurrency;
Currency refCounterCurrency = pointSensitivity.ReferenceCounterCurrency;
Currency sensitivityCurrency = pointSensitivity.Currency;
LocalDate referenceDate = pointSensitivity.ReferenceDate;
bool inverse = refBaseCurrency.Equals(currencyPair.Counter);
DiscountFactors discountFactorsRefBase = (inverse ? counterCurrencyDiscountFactors : baseCurrencyDiscountFactors);
DiscountFactors discountFactorsRefCounter = (inverse ? baseCurrencyDiscountFactors : counterCurrencyDiscountFactors);
double dfCcyBaseAtMaturity = discountFactorsRefBase.discountFactor(referenceDate);
double dfCcyCounterAtMaturityInv = 1d / discountFactorsRefCounter.discountFactor(referenceDate);
double fxRate = fxRateProvider.fxRate(refBaseCurrency, refCounterCurrency);
ZeroRateSensitivity dfCcyBaseAtMaturitySensitivity = discountFactorsRefBase.zeroRatePointSensitivity(referenceDate, sensitivityCurrency).multipliedBy(fxRate * dfCcyCounterAtMaturityInv * pointSensitivity.Sensitivity);
ZeroRateSensitivity dfCcyCounterAtMaturitySensitivity = discountFactorsRefCounter.zeroRatePointSensitivity(referenceDate, sensitivityCurrency).multipliedBy(-fxRate * dfCcyBaseAtMaturity * dfCcyCounterAtMaturityInv * dfCcyCounterAtMaturityInv * pointSensitivity.Sensitivity);
return(discountFactorsRefBase.parameterSensitivity(dfCcyBaseAtMaturitySensitivity).combinedWith(discountFactorsRefCounter.parameterSensitivity(dfCcyCounterAtMaturitySensitivity)));
}
