public virtual void test_presentValueSensitivityStrike()
{
double sensi1 = PRODUCT_PRICER.presentValueSensitivityStrike(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
double sensi2 = PRODUCT_PRICER.presentValueSensitivityStrike(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
double sensiCms = CMS_LEG_PRICER.presentValueSensitivityStrike(CMS_LEG, RATES_PROVIDER, VOLATILITIES);
assertEquals(sensi1, sensiCms);
assertEquals(sensi2, sensiCms);
}
public virtual void test_presentValueSensitivityStrike()
{
double sensi1 = TRADE_PRICER.presentValueSensitivityStrike(CMS_TRADE_PREMIUM, RATES_PROVIDER, VOLATILITIES);
double sensi2 = TRADE_PRICER.presentValueSensitivityStrike(CMS_TRADE, RATES_PROVIDER, VOLATILITIES);
double sensiProd1 = PRODUCT_PRICER.presentValueSensitivityStrike(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
double sensiProd2 = PRODUCT_PRICER.presentValueSensitivityStrike(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
assertEquals(sensi1, sensiProd1);
assertEquals(sensi2, sensiProd2);
}
/// <summary>
/// Calculates the present value sensitivity to the strike value.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to the strike value.
///
/// </para>
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual double presentValueSensitivityStrike(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
return(productPricer.presentValueSensitivityStrike(trade.Product, ratesProvider, swaptionVolatilities));
}