public virtual void test_priceSensitivityWithZSpread_continuous()
{
PointSensitivities point = FUTURE_PRICER.priceSensitivityWithZSpread(FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(PROVIDER, (p) => CurrencyAmount.of(USD, FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, (p), Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
/// <summary>
/// Calculates the present value sensitivity of the bond future trade with z-spread.
/// <para>
/// The present value sensitivity of the trade 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="trade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodPerYear"> the number of periods per year </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public PointSensitivities presentValueSensitivityWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)
{
ResolvedBondFuture product = trade.Product;
PointSensitivities priceSensi = productPricer.priceSensitivityWithZSpread(product, discountingProvider, zSpread, compoundedRateType, periodPerYear);
PointSensitivities marginIndexSensi = productPricer.marginIndexSensitivity(product, priceSensi);
return(marginIndexSensi.multipliedBy(trade.Quantity));
}