//-------------------------------------------------------------------------
public virtual void test_pvsensiZSpread_settle_before_val()
{
PointSensitivities pvsensiComputed = PRICER_TRADE.presentValueSensitivityWithZSpread(BILL_TRADE_SETTLE_BEFORE_VAL, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
PointSensitivities pvsensiExpected = PRICER_PRODUCT.presentValueSensitivityWithZSpread(BILL_PRODUCT.resolve(REF_DATA), PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0).multipliedBy(QUANTITY);
assertTrue(pvsensiComputed.equalWithTolerance(pvsensiExpected, TOLERANCE_PVSENSI));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(pvsensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER_TRADE.presentValueWithZSpread(BILL_TRADE_SETTLE_BEFORE_VAL, p, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT * QUANTITY));
}
public virtual void presentValueSensitivity_zspread()
{
PointSensitivities sensiComputed = PRICER.presentValueSensitivityWithZSpread(BILL, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
PointSensitivities sensiExpected = IssuerCurveZeroRateSensitivity.of(DSC_FACTORS_ISSUER.zeroRatePointSensitivityWithSpread(MATURITY_DATE, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0), GROUP_ISSUER).multipliedBy(NOTIONAL.Amount).build();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, TOLERANCE_PV));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(sensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER.presentValueWithZSpread(BILL, p, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT));
}
/// <summary>
/// Calculates the present value sensitivity of a bill trade with z-spread.
/// <para>
/// If the settlement details are provided, the sensitivity is the sum of the underlying product's sensitivity
/// multiplied by the quantity and the sensitivity of the settlement payment if still due at the valuation date.
/// If not it is the underlying product's sensitivity multiplied by the quantity.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of
/// the issuer discounting curve. The z-spread is applied only on the legal entity curve, not on the repo curve used
/// for the settlement amount.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </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 sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(trade.Product.Notional.Date))
{
return(PointSensitivities.empty());
}
PointSensitivities sensiProduct = productPricer.presentValueSensitivityWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear).multipliedBy(trade.Quantity);
if (!trade.Settlement.Present)
{
return(sensiProduct);
}
Payment settlement = trade.Settlement.get();
RepoCurveDiscountFactors repoDf = DiscountingBillProductPricer.repoCurveDf(trade.Product, provider);
PointSensitivities sensiSettle = presentValueSensitivitySettlement(settlement, repoDf);
return(sensiProduct.combinedWith(sensiSettle));
}