//-------------------------------------------------------------------------
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));
}
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));
}
/// <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));
}