public virtual void test_of_ZeroRateSensitivity() { ZeroRateSensitivity zeroPoint = ZeroRateSensitivity.of(USD, YEAR_FRACTION, GBP, VALUE); CreditCurveZeroRateSensitivity test = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, zeroPoint); assertEquals(test.Currency, GBP); assertEquals(test.CurveCurrency, USD); assertEquals(test.LegalEntityId, LEGAL_ENTITY); assertEquals(test.Sensitivity, VALUE); assertEquals(test.YearFraction, YEAR_FRACTION); assertEquals(test.toZeroRateSensitivity(), zeroPoint); }
/// <summary> /// Calculates the parameter sensitivity from the point sensitivity. /// <para> /// This is used to convert a single point sensitivity to parameter sensitivity. /// The calculation typically involves multiplying the point and unit sensitivities. /// /// </para> /// </summary> /// <param name="pointSensitivity"> the point sensitivity to convert </param> /// <returns> the parameter sensitivity </returns> /// <exception cref="RuntimeException"> if the result cannot be calculated </exception> public CurrencyParameterSensitivities parameterSensitivity(CreditCurveZeroRateSensitivity pointSensitivity) { return(survivalProbabilities.parameterSensitivity(pointSensitivity.toZeroRateSensitivity())); }