public virtual PointSensitivityBuilder rateSensitivity(OvernightCompoundedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
OvernightIndexRates rates = provider.overnightIndexRates(computation.Index);
ObservationDetails details = new ObservationDetails(computation, rates);
return(details.calculateRateSensitivity());
}
public virtual PointSensitivityBuilder rateSensitivity(OvernightAveragedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
OvernightIndexRates rates = provider.overnightIndexRates(computation.Index);
LocalDate valuationDate = rates.ValuationDate;
LocalDate startFixingDate = computation.StartDate;
LocalDate startPublicationDate = computation.calculatePublicationFromFixing(startFixingDate);
// No fixing to analyze. Go directly to approximation and cut-off.
if (valuationDate.isBefore(startPublicationDate))
{
return(rateForwardSensitivity(computation, rates));
}
ObservationDetails details = new ObservationDetails(computation, rates);
return(details.calculateRateSensitivity());
}