public virtual void test_withCurrency()
{
PointSensitivityBuilder @base = PointSensitivityBuilder.none();
assertSame(@base.withCurrency(GBP), @base); // no effect
assertSame(@base.withCurrency(USD), @base); // no effect
}
/// <summary>
/// Calculates the present value sensitivity of the swap product converted in a given currency.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="currency"> the currency to convert to </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value curve sensitivity of the swap product converted in the given currency </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(ResolvedSwap swap, Currency currency, RatesProvider provider)
{
PointSensitivityBuilder builder = PointSensitivityBuilder.none();
foreach (ResolvedSwapLeg leg in swap.Legs)
{
PointSensitivityBuilder ls = legPricer.presentValueSensitivity(leg, provider);
PointSensitivityBuilder lsConverted = ls.withCurrency(currency).multipliedBy(provider.fxRate(leg.Currency, currency));
builder = builder.combinedWith(lsConverted);
}
return(builder);
}
/// <summary>
/// Calculates the par rate curve sensitivity for a swap with a fixed leg.
/// <para>
/// The par rate is the common rate on all payments of the fixed leg for which the total swap present value is 0.
/// </para>
/// <para>
/// At least one leg must be a fixed leg. The par rate will be computed with respect to the first fixed leg.
/// All the payments in that leg should be fixed payments with a unique accrual period (no compounding) and no FX reset.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate curve sensitivity of the swap product </returns>
public virtual PointSensitivityBuilder parRateSensitivity(ResolvedSwap swap, RatesProvider provider)
{
ResolvedSwapLeg fixedLeg = this.fixedLeg(swap);
Currency ccyFixedLeg = fixedLeg.Currency;
// other payments (not fixed leg coupons) converted in fixed leg currency
double otherLegsConvertedPv = 0.0;
foreach (ResolvedSwapLeg leg in swap.Legs)
{
if (leg != fixedLeg)
{
double pvLocal = legPricer.presentValueInternal(leg, provider);
otherLegsConvertedPv += (pvLocal * provider.fxRate(leg.Currency, ccyFixedLeg));
}
}
double fixedLegEventsPv = legPricer.presentValueEventsInternal(fixedLeg, provider);
double pvbpFixedLeg = legPricer.pvbp(fixedLeg, provider);
// Backward sweep
double otherLegsConvertedPvBar = -1.0d / pvbpFixedLeg;
double fixedLegEventsPvBar = -1.0d / pvbpFixedLeg;
double pvbpFixedLegBar = (otherLegsConvertedPv + fixedLegEventsPv) / (pvbpFixedLeg * pvbpFixedLeg);
PointSensitivityBuilder pvbpFixedLegDr = legPricer.pvbpSensitivity(fixedLeg, provider);
PointSensitivityBuilder fixedLegEventsPvDr = legPricer.presentValueSensitivityEventsInternal(fixedLeg, provider);
PointSensitivityBuilder otherLegsConvertedPvDr = PointSensitivityBuilder.none();
foreach (ResolvedSwapLeg leg in swap.Legs)
{
if (leg != fixedLeg)
{
PointSensitivityBuilder pvLegDr = legPricer.presentValueSensitivity(leg, provider).multipliedBy(provider.fxRate(leg.Currency, ccyFixedLeg));
otherLegsConvertedPvDr = otherLegsConvertedPvDr.combinedWith(pvLegDr);
}
}
otherLegsConvertedPvDr = otherLegsConvertedPvDr.withCurrency(ccyFixedLeg);
return(pvbpFixedLegDr.multipliedBy(pvbpFixedLegBar).combinedWith(fixedLegEventsPvDr.multipliedBy(fixedLegEventsPvBar)).combinedWith(otherLegsConvertedPvDr.multipliedBy(otherLegsConvertedPvBar)));
}