/// <summary>
/// Test par spread sensitivity for ISDA FRA Discounting method.
/// </summary>
public virtual void test_parSpreadSensitivity_ISDA()
{
PointSensitivities sensiSpread = DEFAULT_PRICER.parSpreadSensitivity(RFRA, IMM_PROV);
CurrencyParameterSensitivities sensiComputed = IMM_PROV.parameterSensitivity(sensiSpread);
CurrencyParameterSensitivities sensiExpected = CAL_FD.sensitivity(IMM_PROV, (p) => CurrencyAmount.of(FRA.Currency, DEFAULT_PRICER.parSpread(RFRA, (p))));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, EPS_FD));
PointSensitivities sensiRate = DEFAULT_PRICER.parRateSensitivity(RFRA, IMM_PROV);
assertTrue(sensiSpread.equalWithTolerance(sensiRate, EPS_FD));
// test via FraTrade
assertEquals(DEFAULT_TRADE_PRICER.parRateSensitivity(RFRA_TRADE, IMM_PROV), DEFAULT_PRICER.parRateSensitivity(RFRA, IMM_PROV));
assertEquals(DEFAULT_TRADE_PRICER.parSpreadSensitivity(RFRA_TRADE, IMM_PROV), DEFAULT_PRICER.parSpreadSensitivity(RFRA, IMM_PROV));
}
/// <summary>
/// Calculates the par rate curve sensitivity of the FRA trade.
/// <para>
/// The par rate curve sensitivity of the product is the sensitivity of the par rate to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate sensitivity </returns>
public virtual PointSensitivities parRateSensitivity(ResolvedFraTrade trade, RatesProvider provider)
{
return(productPricer.parRateSensitivity(trade.Product, provider));
}
