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_presentValueSensitivityRates() { 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)); }