public virtual void test_priceSensitivity()
{
PointSensitivities point = PRICER.priceSensitivity(FUTURE, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(PROVIDER, (p) => CurrencyAmount.of(USD, PRICER.price(FUTURE, (p))));
assertTrue(computed.equalWithTolerance(expected, 10d * EPS));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price sensitivity of the deliverable swap futures product.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the price curve sensitivity of the trade </returns>
public virtual PointSensitivities priceSensitivity(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
return(productPricer.priceSensitivity(trade.Product, ratesProvider));
}