public virtual void test_priceSensitivity()
{
PointSensitivities point = PRICER.priceSensitivityRates(FUTURE, RATE_PROVIDER, HW_PROVIDER);
CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATE_PROVIDER, (p) => CurrencyAmount.of(EUR, PRICER.price(FUTURE, (p), HW_PROVIDER)));
assertTrue(computed.equalWithTolerance(expected, TOL_FD));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price sensitivity of the Ibor future product.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the price curve sensitivity of the product </returns>
public virtual PointSensitivities priceSensitivityRates(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
return(productPricer.priceSensitivityRates(trade.Product, ratesProvider, hwProvider));
}
