/// <summary>
/// Calculates the present value sensitivity of the product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="cdsIndex"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="referenceDate"> the reference date </param>
/// <param name="refData"> the reference data </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
{
if (isExpired(cdsIndex, ratesProvider))
{
return(PointSensitivityBuilder.none());
}
ResolvedCds cds = cdsIndex.toSingleNameCds();
LocalDate stepinDate = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
double recoveryRate = underlyingPricer.recoveryRate(cds, ratesProvider);
Triple <CreditDiscountFactors, LegalEntitySurvivalProbabilities, double> rates = reduceDiscountFactors(cds, ratesProvider);
double signedNotional = cds.BuySell.normalize(cds.Notional);
PointSensitivityBuilder protectionLegSensi = underlyingPricer.protectionLegSensitivity(cds, rates.First, rates.Second, referenceDate, effectiveStartDate, recoveryRate);
protectionLegSensi = protectionLegSensi.multipliedBy(signedNotional * rates.Third);
PointSensitivityBuilder riskyAnnuitySensi = underlyingPricer.riskyAnnuitySensitivity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate);
riskyAnnuitySensi = riskyAnnuitySensi.multipliedBy(-cds.FixedRate * signedNotional * rates.Third);
return(protectionLegSensi.combinedWith(riskyAnnuitySensi));
}
