public virtual void test_forwardFxRateSpotSensitivity() { double computed = PRICER.forwardFxRateSpotSensitivity(FWD, PROVIDER); double df1 = PROVIDER.discountFactor(USD, PAYMENT_DATE); double df2 = PROVIDER.discountFactor(KRW, PAYMENT_DATE); assertEquals(computed, df1 / df2); }
public virtual void test_forwardFxRateSpotSensitivity() { assertEquals(TRADE_PRICER.forwardFxRateSpotSensitivity(TRADE, PROVIDER), PRODUCT_PRICER.forwardFxRateSpotSensitivity(PRODUCT, PROVIDER)); }
/// <summary> /// Calculates the sensitivity of the forward exchange rate to the spot rate. /// <para> /// The returned value is based on the direction of the FX product. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the rates provider </param> /// <returns> the sensitivity to spot </returns> public virtual double forwardFxRateSpotSensitivity(ResolvedFxSingleTrade trade, RatesProvider provider) { return(productPricer.forwardFxRateSpotSensitivity(trade.Product, provider)); }