//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity_noFixing()
{
PointSensitivities computed = PRICER.presentValueSensitivity(RDEPOSIT, IMM_PROV_NOFIX);
CurrencyParameterSensitivities sensiComputed = IMM_PROV_NOFIX.parameterSensitivity(computed);
CurrencyParameterSensitivities sensiExpected = CAL_FD.sensitivity(IMM_PROV_NOFIX, (p) => PRICER.presentValue(RDEPOSIT, (p)));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, NOTIONAL * EPS_FD));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivities ptsTrade = PRICER_TRADE.presentValueSensitivity(RDEPOSIT_TRADE, IMM_PROV);
PointSensitivities ptsProduct = PRICER_PRODUCT.presentValueSensitivity(RDEPOSIT_PRODUCT, IMM_PROV);
assertTrue(ptsTrade.equalWithTolerance(ptsProduct, TOLERANCE_PV_DELTA));
}
/// <summary>
/// Calculates the present value sensitivity of the Ibor fixing deposit 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 trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedIborFixingDepositTrade trade, RatesProvider provider)
{
return(productPricer.presentValueSensitivity(trade.Product, provider));
}
