/// <summary>
/// Compute the present value curve sensitivity of the payment with z-spread.
/// <para>
/// The present value sensitivity of the payment is the sensitivity of the
/// present value to the discount factor curve.
/// There is no sensitivity if the payment date is before the valuation date.
/// </para>
/// <para>
/// The specified discount factors should be for the payment currency, however this is not validated.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
///
/// </para>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="discountFactors"> the discount factors to price against </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivityBuilder presentValueSensitivityWithSpread(Payment payment, DiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (discountFactors.ValuationDate.isAfter(payment.Date))
{
return(PointSensitivityBuilder.none());
}
ZeroRateSensitivity sensi = discountFactors.zeroRatePointSensitivityWithSpread(payment.Date, zSpread, compoundedRateType, periodsPerYear);
return(sensi.multipliedBy(payment.Amount));
}
public virtual void presentValueSensitivity_zspread()
{
PointSensitivities sensiComputed = PRICER.presentValueSensitivityWithZSpread(BILL, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
PointSensitivities sensiExpected = IssuerCurveZeroRateSensitivity.of(DSC_FACTORS_ISSUER.zeroRatePointSensitivityWithSpread(MATURITY_DATE, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0), GROUP_ISSUER).multipliedBy(NOTIONAL.Amount).build();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, TOLERANCE_PV));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(sensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER.presentValueWithZSpread(BILL, p, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT));
}
