//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the Ibor future trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)
{
ResolvedIborFuture product = trade.Product;
PointSensitivities priceSensi = productPricer.priceSensitivity(product, ratesProvider);
PointSensitivities marginIndexSensi = productPricer.marginIndexSensitivity(product, priceSensi);
return(marginIndexSensi.multipliedBy(trade.Quantity));
}
//-------------------------------------------------------------------------
public virtual void test_marginIndexSensitivity()
{
double notional = FUTURE.Notional;
double accrualFactor = FUTURE.AccrualFactor;
PointSensitivities sensiExpected = PointSensitivities.of(IborRateSensitivity.of(FUTURE.IborRate.Observation, -notional * accrualFactor));
PointSensitivities priceSensitivity = PRICER.priceSensitivity(FUTURE, new MockRatesProvider());
PointSensitivities sensiComputed = PRICER.marginIndexSensitivity(FUTURE, priceSensitivity).normalized();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, 1e-5));
}
