// resolve the FX rate sensitivity from the FX reset
private PointSensitivityBuilder fxRateSensitivity(RatePaymentPeriod paymentPeriod, RatesProvider provider)
{
if (paymentPeriod.FxReset.Present)
{
FxReset fxReset = paymentPeriod.FxReset.get();
FxIndexRates rates = provider.fxIndexRates(fxReset.Observation.Index);
return(rates.ratePointSensitivity(fxReset.Observation, fxReset.ReferenceCurrency));
}
return(PointSensitivityBuilder.none());
}
public virtual PointSensitivityBuilder forecastValueSensitivity(FxResetNotionalExchange @event, RatesProvider provider)
{
FxIndexRates rates = provider.fxIndexRates(@event.Observation.Index);
return(rates.ratePointSensitivity(@event.Observation, @event.ReferenceCurrency).multipliedBy(@event.Notional));
}
