public virtual void test_presentValueSensitivityVolatility() { PointSensitivityBuilder computed1 = PRICER.presentValueSensitivityModelParamsVolatility(CAP_ONE_LEG, RATES, VOLS); PointSensitivityBuilder computed2 = PRICER.presentValueSensitivityModelParamsVolatility(CAP_TWO_LEGS, RATES, VOLS); PointSensitivityBuilder cap = PRICER_CAP_LEG.presentValueSensitivityModelParamsVolatility(CAP_LEG, RATES, VOLS); assertEquals(computed1, cap); assertEquals(computed2, cap); }
public virtual void test_presentValueSensitivityModelParamsVolatility() { PointSensitivities computedWithPayLeg = PRICER.presentValueSensitivityModelParamsVolatility(TRADE_PAYLEG, RATES, VOLS).build(); PointSensitivities computedWithPremium = PRICER.presentValueSensitivityModelParamsVolatility(TRADE_PREMIUM, RATES, VOLS).build(); PointSensitivities pvOneLeg = PRICER_PRODUCT.presentValueSensitivityModelParamsVolatility(CAP_ONE_LEG, RATES, VOLS).build(); PointSensitivities pvTwoLegs = PRICER_PRODUCT.presentValueSensitivityModelParamsVolatility(CAP_TWO_LEGS, RATES, VOLS).build(); assertEquals(computedWithPayLeg, pvTwoLegs); assertEquals(computedWithPremium, pvOneLeg); }