public virtual void test_forwardFxRateSpotSensitivity()
{
double computed = PRICER.forwardFxRateSpotSensitivity(FWD, PROVIDER);
double df1 = PROVIDER.discountFactor(USD, PAYMENT_DATE);
double df2 = PROVIDER.discountFactor(KRW, PAYMENT_DATE);
assertEquals(computed, df1 / df2);
}
public virtual void test_forwardFxRateSpotSensitivity()
{
assertEquals(TRADE_PRICER.forwardFxRateSpotSensitivity(TRADE, PROVIDER), PRODUCT_PRICER.forwardFxRateSpotSensitivity(PRODUCT, PROVIDER));
}
/// <summary>
/// Calculates the sensitivity of the forward exchange rate to the spot rate.
/// <para>
/// The returned value is based on the direction of the FX product.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the sensitivity to spot </returns>
public virtual double forwardFxRateSpotSensitivity(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.forwardFxRateSpotSensitivity(trade.Product, provider));
}
