/// <summary>
/// Test present value sensitivity for AFMA FRA discounting method.
/// </summary>
public virtual void test_presentValueSensitivity_AFMA()
{
RateComputationFn<RateComputation> mockObs = mock(typeof(RateComputationFn));
DiscountFactors mockDf = mock(typeof(DiscountFactors));
SimpleRatesProvider simpleProv = new SimpleRatesProvider(VAL_DATE, mockDf);
ResolvedFra fraExp = RFRA_AFMA;
double forwardRate = 0.05;
double discountRate = 0.025;
double paymentTime = 0.3;
double discountFactor = Math.Exp(-discountRate * paymentTime);
LocalDate fixingDate = FRA_AFMA.StartDate;
IborIndexObservation obs = IborIndexObservation.of(FRA.Index, fixingDate, REF_DATA);
PointSensitivityBuilder sens = IborRateSensitivity.of(obs, 1d);
when(mockDf.discountFactor(fraExp.PaymentDate)).thenReturn(discountFactor);
when(mockDf.zeroRatePointSensitivity(fraExp.PaymentDate)).thenReturn(ZeroRateSensitivity.of(fraExp.Currency, paymentTime, -discountFactor * paymentTime));
when(mockObs.rateSensitivity(fraExp.FloatingRate, fraExp.StartDate, fraExp.EndDate, simpleProv)).thenReturn(sens);
when(mockObs.rate(fraExp.FloatingRate, FRA_AFMA.StartDate, FRA_AFMA.EndDate, simpleProv)).thenReturn(forwardRate);
DiscountingFraProductPricer test = new DiscountingFraProductPricer(mockObs);
PointSensitivities sensitivity = test.presentValueSensitivity(fraExp, simpleProv);
double eps = 1.e-7;
double fdDscSense = dscSensitivity(RFRA_AFMA, forwardRate, discountFactor, paymentTime, eps);
double fdSense = presentValueFwdSensitivity(RFRA_AFMA, forwardRate, discountFactor, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.Sensitivities;
assertEquals(sensitivities.size(), 2);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.Index, FRA_AFMA.Index);
assertEquals(sensitivity0.Observation.FixingDate, fixingDate);
assertEquals(sensitivity0.Sensitivity, fdSense, FRA_AFMA.Notional * eps);
ZeroRateSensitivity sensitivity1 = (ZeroRateSensitivity) sensitivities.get(1);
assertEquals(sensitivity1.Currency, FRA_AFMA.Currency);
assertEquals(sensitivity1.YearFraction, paymentTime);
assertEquals(sensitivity1.Sensitivity, fdDscSense, FRA_AFMA.Notional * eps);
}
public virtual void test_presentValueSensitivity_dfCurve_FD()
{
double eps = 1.0e-6;
ImmutableRatesProvider prov = RatesProviderDataSets.MULTI_GBP_USD_SIMPLE;
RatesFiniteDifferenceSensitivityCalculator cal = new RatesFiniteDifferenceSensitivityCalculator(eps);
DiscountingFraProductPricer pricer = DiscountingFraProductPricer.DEFAULT;
ResolvedFra fraExp = RFRA;
PointSensitivities point = pricer.presentValueSensitivity(fraExp, prov);
CurrencyParameterSensitivities computed = prov.parameterSensitivity(point);
CurrencyParameterSensitivities expected = cal.sensitivity(prov, p => pricer.presentValue(fraExp, p));
assertTrue(computed.equalWithTolerance(expected, eps * FRA.Notional));
}
/// <summary>
/// Calculates the present value sensitivity of the FRA trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedFraTrade trade, RatesProvider provider)
{
return(productPricer.presentValueSensitivity(trade.Product, provider));
}
