//-------------------------------------------------------------------------
public virtual void test_pvsensi_settle_before_val()
{
PointSensitivities pvsensiComputed = PRICER_TRADE.presentValueSensitivity(BILL_TRADE_SETTLE_BEFORE_VAL, PROVIDER);
PointSensitivities pvsensiExpected = PRICER_PRODUCT.presentValueSensitivity(BILL_PRODUCT.resolve(REF_DATA), PROVIDER).multipliedBy(QUANTITY);
assertTrue(pvsensiComputed.equalWithTolerance(pvsensiExpected, TOLERANCE_PVSENSI));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(pvsensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER_TRADE.presentValue(BILL_TRADE_SETTLE_BEFORE_VAL, p));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT * QUANTITY));
}
//-------------------------------------------------------------------------
public virtual void presentValueSensitivity()
{
PointSensitivities sensiComputed = PRICER.presentValueSensitivity(BILL, PROVIDER);
PointSensitivities sensiExpected = IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER).zeroRatePointSensitivity(MATURITY_DATE).multipliedBy(NOTIONAL.Amount).build();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, TOLERANCE_PV));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(sensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER.presentValue(BILL, p));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT));
}
/// <summary>
/// Calculates the present value sensitivity of a bill trade.
/// <para>
/// If the settlement details are provided, the sensitivity is the sum of the underlying product's sensitivity
/// multiplied by the quantity and the sensitivity of the settlement payment if still due at the valuation date.
/// If not it is the underlying product's sensitivity multiplied by the quantity.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider)
{
if (provider.ValuationDate.isAfter(trade.Product.Notional.Date))
{
return(PointSensitivities.empty());
}
PointSensitivities sensiProduct = productPricer.presentValueSensitivity(trade.Product, provider).multipliedBy(trade.Quantity);
if (!trade.Settlement.Present)
{
return(sensiProduct);
}
Payment settlement = trade.Settlement.get();
RepoCurveDiscountFactors repoDf = DiscountingBillProductPricer.repoCurveDf(trade.Product, provider);
PointSensitivities sensiSettle = presentValueSensitivitySettlement(settlement, repoDf);
return(sensiProduct.combinedWith(sensiSettle));
}