//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder point = LEG_PRICER.presentValueSensitivityRates(FLOOR_LEG, RATES_PROVIDER, VOLATILITIES);
CurrencyParameterSensitivities computed = RATES_PROVIDER.parameterSensitivity(point.build());
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p => LEG_PRICER.presentValue(FLOOR_LEG, p, VOLATILITIES));
assertTrue(computed.equalWithTolerance(expected, EPS * NOTIONAL_VALUE_0 * 80d));
}
public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder pt1 = PRODUCT_PRICER.presentValueSensitivityRates(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder pt2 = PRODUCT_PRICER.presentValueSensitivityRates(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder ptCms = CMS_LEG_PRICER.presentValueSensitivityRates(CMS_LEG, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder ptPay = SWAP_LEG_PRICER.presentValueSensitivity(PAY_LEG, RATES_PROVIDER);
assertEquals(pt1, ptCms);
assertEquals(pt2, ptCms.combinedWith(ptPay));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value curve sensitivity of the CMS product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityRates(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
PointSensitivityBuilder pvSensiCmsLeg = cmsLegPricer.presentValueSensitivityRates(cms.CmsLeg, ratesProvider, swaptionVolatilities);
if (!cms.PayLeg.Present)
{
return(pvSensiCmsLeg);
}
PointSensitivityBuilder pvSensiPayLeg = payLegPricer.presentValueSensitivity(cms.PayLeg.get(), ratesProvider);
return(pvSensiCmsLeg.combinedWith(pvSensiPayLeg));
}
