// Compute the accrued interest sensitivity on a given period by approximation
private static PointSensitivityBuilder approximatedInterestSensitivity(OvernightIndexObservation observation, LocalDate endDate, OvernightIndexRates rates)
{
DayCount dayCount = observation.Index.DayCount;
double remainingFixingAccrualFactor = dayCount.yearFraction(observation.EffectiveDate, endDate);
double forwardRate = rates.periodRate(observation, endDate);
PointSensitivityBuilder forwardRateSensitivity = rates.periodRatePointSensitivity(observation, endDate);
double rateExp = 1.0 + forwardRate * remainingFixingAccrualFactor;
forwardRateSensitivity = forwardRateSensitivity.multipliedBy(remainingFixingAccrualFactor / rateExp);
return(forwardRateSensitivity);
}
// Composition - forward part in non-cutoff period; past/valuation date case dealt with in previous methods
internal ObjDoublePair <PointSensitivityBuilder> compositionFactorAndSensitivityNonCutoff()
{
if (!nextFixing.isAfter(lastFixingNonCutoff))
{
OvernightIndexObservation obs = computation.observeOn(nextFixing);
LocalDate startDate = obs.EffectiveDate;
LocalDate endDate = computation.calculateMaturityFromFixing(lastFixingNonCutoff);
double accrualFactor = dayCount.yearFraction(startDate, endDate);
double rate = rates.periodRate(obs, endDate);
PointSensitivityBuilder rateSensitivity = rates.periodRatePointSensitivity(obs, endDate);
rateSensitivity = rateSensitivity.multipliedBy(accrualFactor);
return(ObjDoublePair.of(rateSensitivity, 1.0d + accrualFactor * rate));
}
return(ObjDoublePair.of(PointSensitivityBuilder.none(), 1.0d));
}