//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityStrike()
{
double computed = LEG_PRICER.presentValueSensitivityStrike(CAP_LEG, RATES_PROVIDER, VOLATILITIES);
double expected = 0d;
IList <CmsPeriod> cms = CAP_LEG.CmsPeriods;
int size = cms.Count;
for (int i = 0; i < size; ++i)
{
expected += PERIOD_PRICER.presentValueSensitivityStrike(cms[i], RATES_PROVIDER, VOLATILITIES);
}
assertEquals(computed, expected, NOTIONAL_VALUE_0 * TOL);
}
public virtual void test_presentValueSensitivityStrike()
{
double sensi1 = PRODUCT_PRICER.presentValueSensitivityStrike(CMS_ONE_LEG, RATES_PROVIDER, VOLATILITIES);
double sensi2 = PRODUCT_PRICER.presentValueSensitivityStrike(CMS_TWO_LEGS, RATES_PROVIDER, VOLATILITIES);
double sensiCms = CMS_LEG_PRICER.presentValueSensitivityStrike(CMS_LEG, RATES_PROVIDER, VOLATILITIES);
assertEquals(sensi1, sensiCms);
assertEquals(sensi2, sensiCms);
}
/// <summary>
/// Calculates the present value sensitivity to the strike value.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to the strike value.
/// This is not relevant for CMS coupons and an exception is thrown in the underlying pricer.
///
/// </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 double presentValueSensitivityStrike(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
return(cmsLegPricer.presentValueSensitivityStrike(cms.CmsLeg, ratesProvider, swaptionVolatilities));
}
