コード例 #1
0
        //-------------------------------------------------------------------------
        public virtual void test_presentValueSensitivity()
        {
            PointSensitivityBuilder        point    = LEG_PRICER.presentValueSensitivity(COUPON_LEG, RATES_PROVIDER);
            CurrencyParameterSensitivities computed = RATES_PROVIDER.parameterSensitivity(point.build());
            CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p => LEG_PRICER.presentValue(COUPON_LEG, p));

            assertTrue(computed.equalWithTolerance(expected, TOLERANCE_DELTA));
        }
コード例 #2
0
        public virtual void test_presentValueSensitivity()
        {
            PointSensitivityBuilder pt1   = PRODUCT_PRICER.presentValueSensitivity(CMS_ONE_LEG, RATES_PROVIDER);
            PointSensitivityBuilder pt2   = PRODUCT_PRICER.presentValueSensitivity(CMS_TWO_LEGS, RATES_PROVIDER);
            PointSensitivityBuilder ptCms = CMS_LEG_PRICER.presentValueSensitivity(CMS_LEG, RATES_PROVIDER);
            PointSensitivityBuilder ptPay = SWAP_LEG_PRICER.presentValueSensitivity(PAY_LEG, RATES_PROVIDER);

            assertEquals(pt1, ptCms);
            assertEquals(pt2, ptCms.combinedWith(ptPay));
        }
コード例 #3
0
        /// <summary>
        /// Calculates the present value curve sensitivity of the CMS product by simple forward estimation.
        /// <para>
        /// The present value sensitivity of the product is the sensitivity of the present value to the underlying curves.
        ///
        /// </para>
        /// </summary>
        /// <param name="cms">  the CMS product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <returns> the present value sensitivity </returns>
        public virtual PointSensitivityBuilder presentValueSensitivity(ResolvedCms cms, RatesProvider ratesProvider)
        {
            PointSensitivityBuilder pvSensiCmsLeg = cmsLegPricer.presentValueSensitivity(cms.CmsLeg, ratesProvider);

            if (!cms.PayLeg.Present)
            {
                return(pvSensiCmsLeg);
            }
            PointSensitivityBuilder pvSensiPayLeg = swapPricer.LegPricer.presentValueSensitivity(cms.PayLeg.get(), ratesProvider);

            return(pvSensiCmsLeg.combinedWith(pvSensiPayLeg));
        }