//-------------------------------------------------------------------------
public virtual void test_parSpreadSensitivity()
{
PointSensitivities ptsTrade = PRICER_TRADE.parSpreadSensitivity(RDEPOSIT_TRADE, IMM_PROV);
PointSensitivities ptsProduct = PRICER_PRODUCT.parSpreadSensitivity(RDEPOSIT_PRODUCT, IMM_PROV);
assertTrue(ptsTrade.equalWithTolerance(ptsProduct, TOLERANCE_PV_DELTA));
}
//-------------------------------------------------------------------------
public virtual void test_parSpreadSensitivity_noFixing()
{
PointSensitivities computedNoFix = PRICER.parSpreadSensitivity(RDEPOSIT, IMM_PROV_NOFIX);
CurrencyParameterSensitivities sensiComputedNoFix = IMM_PROV_NOFIX.parameterSensitivity(computedNoFix);
CurrencyParameterSensitivities sensiExpected = CAL_FD.sensitivity(IMM_PROV_NOFIX, (p) => CurrencyAmount.of(EUR, PRICER.parSpread(RDEPOSIT, (p))));
assertTrue(sensiComputedNoFix.equalWithTolerance(sensiExpected, TOLERANCE_RATE_DELTA));
// Par rate and par spread sensitivities are equal
PointSensitivities computedParRateNoFix = PRICER.parRateSensitivity(RDEPOSIT, IMM_PROV_NOFIX);
CurrencyParameterSensitivities sensiComputedParRateNoFix = IMM_PROV_NOFIX.parameterSensitivity(computedParRateNoFix);
assertTrue(sensiComputedNoFix.equalWithTolerance(sensiComputedParRateNoFix, TOLERANCE_RATE_DELTA));
PointSensitivities computedFix = PRICER.parSpreadSensitivity(RDEPOSIT, IMM_PROV_FIX);
CurrencyParameterSensitivities sensiComputedFix = IMM_PROV_NOFIX.parameterSensitivity(computedFix);
assertTrue(sensiComputedFix.equalWithTolerance(sensiExpected, TOLERANCE_RATE_DELTA));
}
/// <summary>
/// Calculates the par spread curve sensitivity.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread curve sensitivity </returns>
public virtual PointSensitivities parSpreadSensitivity(ResolvedIborFixingDepositTrade trade, RatesProvider provider)
{
return(productPricer.parSpreadSensitivity(trade.Product, provider));
}