//-------------------------------------------------------------------------
/// <summary>
/// Test forecast value sensitivity for ISDA FRA discounting method.
/// </summary>
public virtual void test_forecastValueSensitivity_ISDA()
{
SimpleRatesProvider prov = createProvider(RFRA);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
PointSensitivities sensitivity = test.forecastValueSensitivity(RFRA, prov);
double eps = 1.e-7;
double fdSense = forecastValueFwdSensitivity(RFRA, FORWARD_RATE, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.Sensitivities;
assertEquals(sensitivities.size(), 1);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.Index, FRA.Index);
assertEquals(sensitivity0.Observation.FixingDate, FRA.StartDate);
assertEquals(sensitivity0.Sensitivity, fdSense, FRA.Notional * eps);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(testTrade.forecastValueSensitivity(RFRA_TRADE, prov), test.forecastValueSensitivity(RFRA, prov));
}
/// <summary>
/// Calculates the forecast value sensitivity of the FRA trade.
/// <para>
/// The forecast value sensitivity of the product is the sensitivity of the forecast value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the forecast value </returns>
public virtual PointSensitivities forecastValueSensitivity(ResolvedFraTrade trade, RatesProvider provider)
{
return(productPricer.forecastValueSensitivity(trade.Product, provider));
}
