public virtual void test_dirtyPriceSensitivityWithZspread_continuous()
{
PointSensitivityBuilder point = PRICER.dirtyPriceSensitivityWithZspread(PRODUCT, PROVIDER, REF_DATA, Z_SPREAD, CONTINUOUS, 0);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point.build());
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(PROVIDER, p => CurrencyAmount.of(EUR, PRICER.dirtyPriceFromCurvesWithZSpread(PRODUCT, p, REF_DATA, Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
/// <summary>
/// Calculates the price sensitivity of the bond future product with z-spread.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price 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>
/// <para>
/// Note that the price sensitivity should be no currency.
///
/// </para>
/// </summary>
/// <param name="future"> the future </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 price curve sensitivity of the product </returns>
public PointSensitivities priceSensitivityWithZSpread(ResolvedBondFuture future, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)
{
ImmutableList <ResolvedFixedCouponBond> basket = future.DeliveryBasket;
int size = basket.size();
double[] priceBonds = new double[size];
int indexCTD = 0;
double priceMin = 2d;
for (int i = 0; i < size; i++)
{
ResolvedFixedCouponBond bond = basket.get(i);
double dirtyPrice = bondPricer.dirtyPriceFromCurvesWithZSpread(bond, discountingProvider, zSpread, compoundedRateType, periodPerYear, future.LastDeliveryDate);
priceBonds[i] = bondPricer.cleanPriceFromDirtyPrice(bond, future.LastDeliveryDate, dirtyPrice) / future.ConversionFactors.get(i);
if (priceBonds[i] < priceMin)
{
priceMin = priceBonds[i];
indexCTD = i;
}
}
ResolvedFixedCouponBond bond = basket.get(indexCTD);
PointSensitivityBuilder pointSensi = bondPricer.dirtyPriceSensitivityWithZspread(bond, discountingProvider, zSpread, compoundedRateType, periodPerYear, future.LastDeliveryDate);
return(pointSensi.multipliedBy(1d / future.ConversionFactors.get(indexCTD)).build());
}