/// <summary>
/// Calculates the present value sensitivity of the bill product with z-spread.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or
/// periodic compounded rates of the issuer discounting curve.
///
/// </para>
/// </summary>
/// <param name="bill"> the product </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the present value curve sensitivity of the product </returns>
public virtual PointSensitivities presentValueSensitivityWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(bill.Notional.Date))
{
return(PointSensitivities.empty());
}
IssuerCurveDiscountFactors issuerDf = issuerCurveDf(bill, provider);
double dfEndBar = bill.Notional.Amount;
ZeroRateSensitivity zeroSensMaturity = issuerDf.DiscountFactors.zeroRatePointSensitivityWithSpread(bill.Notional.Date, zSpread, compoundedRateType, periodsPerYear);
IssuerCurveZeroRateSensitivity dscSensMaturity = IssuerCurveZeroRateSensitivity.of(zeroSensMaturity, issuerDf.LegalEntityGroup).multipliedBy(dfEndBar);
return(dscSensMaturity.build());
}
