public virtual void test_parSpreadSensitivity()
{
PointSensitivities computed = PRICER.parSpreadSensitivity(RTERM_DEPOSIT, IMM_PROV);
CurrencyParameterSensitivities sensiComputed = IMM_PROV.parameterSensitivity(computed);
CurrencyParameterSensitivities sensiExpected = CAL_FD.sensitivity(IMM_PROV, (p) => CurrencyAmount.of(EUR, PRICER.parSpread(RTERM_DEPOSIT, (p))));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, NOTIONAL * EPS_FD));
}
//-------------------------------------------------------------------------
public virtual void test_parSpreadSensitivity()
{
PointSensitivities ptsTrade = PRICER_TRADE.parSpreadSensitivity(RDEPOSIT_TRADE, IMM_PROV);
PointSensitivities ptsProduct = PRICER_PRODUCT.parSpreadSensitivity(RDEPOSIT_PRODUCT, IMM_PROV);
assertTrue(ptsTrade.equalWithTolerance(ptsProduct, TOLERANCE_PV_DELTA));
}
/// <summary>
/// Calculates the par spread curve sensitivity.
/// <para>
/// The calculation is based on both of initial and final payments.
/// Thus the number resulting may not be meaningful when deposit has already started and only the final
/// payment remains (no initial payment).
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread curve sensitivity </returns>
public virtual PointSensitivities parSpreadSensitivity(ResolvedTermDepositTrade trade, RatesProvider provider)
{
return(productPricer.parSpreadSensitivity(trade.Product, provider));
}
