public virtual void test_presentValueSensitivity()
{
PointSensitivities computed = PRICER.presentValueSensitivity(TRADE, RATES_PROVIDER, REF_DATA);
PointSensitivities expected = PRICER_PRODUCT.presentValueSensitivity(PRODUCT, RATES_PROVIDER, VALUATION_DATE, REF_DATA).combinedWith(PRICER_PAYMENT.presentValueSensitivity(UPFRONT, YIELD_CRVE.toDiscountFactors())).build();
PointSensitivities computedMf = PRICER_MF.presentValueSensitivity(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, REF_DATA);
PointSensitivities expectedMf = PRICER_PRODUCT_MF.presentValueSensitivity(PRODUCT, RATES_PROVIDER, VALUATION_DATE, REF_DATA).build();
assertTrue(computed.equalWithTolerance(expected, TOL));
assertTrue(computedMf.equalWithTolerance(expectedMf, TOL));
}
/// <summary>
/// Calculates the present value sensitivity of the trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivityBuilder pvSensiProduct = productPricer.presentValueSensitivity(trade.Product, ratesProvider, ratesProvider.ValuationDate, refData);
if (!trade.UpfrontFee.Present)
{
return(pvSensiProduct.build());
}
Payment upfront = trade.UpfrontFee.get();
PointSensitivityBuilder pvUpfront = upfrontPricer.presentValueSensitivity(upfront, ratesProvider.discountFactors(upfront.Currency).toDiscountFactors());
return(pvSensiProduct.combinedWith(pvUpfront).build());
}
