//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder pointCaplet = PRICER.presentValueSensitivityRates(CAPLET_LONG, RATES, VOLS);
CurrencyParameterSensitivities computedCaplet = RATES.parameterSensitivity(pointCaplet.build());
PointSensitivityBuilder pointFloorlet = PRICER.presentValueSensitivityRates(FLOORLET_SHORT, RATES, VOLS);
CurrencyParameterSensitivities computedFloorlet = RATES.parameterSensitivity(pointFloorlet.build());
CurrencyParameterSensitivities expectedCaplet = FD_CAL.sensitivity(RATES, p => PRICER_BASE.presentValue(CAPLET_LONG, p, VOLS));
CurrencyParameterSensitivities expectedFloorlet = FD_CAL.sensitivity(RATES, p => PRICER_BASE.presentValue(FLOORLET_SHORT, p, VOLS));
assertTrue(computedCaplet.equalWithTolerance(expectedCaplet, EPS_FD * NOTIONAL * 50d));
assertTrue(computedFloorlet.equalWithTolerance(expectedFloorlet, EPS_FD * NOTIONAL * 50d));
}
//-------------------------------------------------------------------------
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));
}
