public virtual void test_pv01_calibrated()
{
ScenarioMarketData md = BillTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
PointSensitivities pvPointSens = PRICER.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(BillTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(BillTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
assertEquals(BillTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, provider), expectedPv01Cal);
assertEquals(BillTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, provider), expectedPv01CalBucketed);
}
// calibrated sum PV01 for one scenario
internal virtual MultiCurrencyAmount pv01CalibratedSum(ResolvedBillTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, discountingProvider);
return(discountingProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT));
}
