/// <summary>
/// Calculates the present value sensitivity of the FX swap product.
/// <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="provider"> the rates provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedFxSwap swap, RatesProvider provider)
{
PointSensitivities nearSens = fxPricer.presentValueSensitivity(swap.NearLeg, provider);
PointSensitivities farSens = fxPricer.presentValueSensitivity(swap.FarLeg, provider);
return(nearSens.combinedWith(farSens));
}
public virtual void test_presentValueSensitivity()
{
PointSensitivities point = PRICER.presentValueSensitivity(FWD, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expectedUsd = CAL_FD.sensitivity(PROVIDER, (p) => PRICER.presentValue(FWD, (p)).getAmount(USD));
CurrencyParameterSensitivities expectedKrw = CAL_FD.sensitivity(PROVIDER, (p) => PRICER.presentValue(FWD, (p)).getAmount(KRW));
assertTrue(computed.equalWithTolerance(expectedUsd.combinedWith(expectedKrw), NOMINAL_USD * FX_RATE * EPS_FD));
}
// Checks that the NDF present value sensitivity is coherent with the standard FX forward present value.
public virtual void test_presentValueCurveSensitivityVsForex()
{
PointSensitivities pvcsNDF = PRICER.presentValueSensitivity(NDF, PROVIDER).normalized();
CurrencyParameterSensitivities sensiNDF = PROVIDER.parameterSensitivity(pvcsNDF);
PointSensitivities pvcsFX = PRICER_FX.presentValueSensitivity(FOREX, PROVIDER).normalized();
CurrencyParameterSensitivities sensiFX = PROVIDER.parameterSensitivity(pvcsFX);
assertTrue(sensiNDF.equalWithTolerance(sensiFX.convertedTo(USD, PROVIDER), NOMINAL_USD * TOL));
}
public virtual void test_presentValueSensitivity()
{
assertEquals(TRADE_PRICER.presentValueSensitivity(TRADE, PROVIDER), PRODUCT_PRICER.presentValueSensitivity(PRODUCT, PROVIDER));
}
/// <summary>
/// Calculates the present value curve sensitivity of the trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.presentValueSensitivity(trade.Product, provider));
}
