public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder pt1 = PRODUCT_PRICER.presentValueSensitivityRates(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder pt2 = PRODUCT_PRICER.presentValueSensitivityRates(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder ptCms = CMS_LEG_PRICER.presentValueSensitivityRates(CMS_LEG, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder ptPay = SWAP_LEG_PRICER.presentValueSensitivity(PAY_LEG, RATES_PROVIDER);
assertEquals(pt1, ptCms);
assertEquals(pt2, ptCms.combinedWith(ptPay));
}
public virtual void test_presentValueSensitivity()
{
PointSensitivities pt1 = TRADE_PRICER.presentValueSensitivityRates(CMS_TRADE_PREMIUM, RATES_PROVIDER, VOLATILITIES);
PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivityRates(CMS_TRADE, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder ptProd1 = PRODUCT_PRICER.presentValueSensitivityRates(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder ptProd2 = PRODUCT_PRICER.presentValueSensitivityRates(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder ptPrem = PREMIUM_PRICER.presentValueSensitivity(PREMIUM, RATES_PROVIDER);
assertEquals(pt1, ptProd1.combinedWith(ptPrem).build());
assertEquals(pt2, ptProd2.build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value curve sensitivity of the CMS trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityRates(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
PointSensitivityBuilder pvSensiCms = productPricer.presentValueSensitivityRates(trade.Product, ratesProvider, swaptionVolatilities);
if (!trade.Premium.Present)
{
return(pvSensiCms.build());
}
PointSensitivityBuilder pvSensiPremium = paymentPricer.presentValueSensitivity(trade.Premium.get(), ratesProvider);
return(pvSensiCms.combinedWith(pvSensiPremium).build());
}