public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder computed1 = PRICER.presentValueSensitivityRates(CAP_ONE_LEG, RATES, VOLS);
PointSensitivityBuilder computed2 = PRICER.presentValueSensitivityRates(CAP_TWO_LEGS, RATES, VOLS);
PointSensitivityBuilder cap = PRICER_CAP_LEG.presentValueSensitivityRates(CAP_LEG, RATES, VOLS);
PointSensitivityBuilder pay = PRICER_PAY_LEG.presentValueSensitivity(PAY_LEG, RATES);
assertEquals(computed1, cap);
assertEquals(computed2, cap.combinedWith(pay));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityRates(CAP, RATES, VOLS);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityRates(FLOOR, RATES, VOLS);
PointSensitivityBuilder capExpected = PointSensitivityBuilder.none();
PointSensitivityBuilder floorExpected = PointSensitivityBuilder.none();
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 0; i < nPeriods; ++i)
{
capExpected = capExpected.combinedWith(PRICER_PERIOD.presentValueSensitivityRates(CAP.CapletFloorletPeriods.get(i), RATES, VOLS));
floorExpected = floorExpected.combinedWith(PRICER_PERIOD.presentValueSensitivityRates(FLOOR.CapletFloorletPeriods.get(i), RATES, VOLS));
}
CurrencyParameterSensitivities capSensiComputed = RATES_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = RATES_AFTER.parameterSensitivity(floorComputed.build());
CurrencyParameterSensitivities capSensiExpected = RATES_AFTER.parameterSensitivity(capExpected.build());
CurrencyParameterSensitivities floorSensiExpected = RATES_AFTER.parameterSensitivity(floorExpected.build());
assertTrue(capSensiComputed.equalWithTolerance(capSensiExpected, NOTIONAL_VALUE * TOL));
assertTrue(floorSensiComputed.equalWithTolerance(floorSensiExpected, NOTIONAL_VALUE * TOL));
}
