public virtual void parellelCs01Test()
{
double fromExcel = 4238.557409;
CurrencyAmount fd = CS01_FD.parallelCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
CurrencyAmount analytic = CS01_AN.parallelCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.Amount * ONE_BP, fromExcel, TOL * NOTIONAL);
assertEquals(analytic.Currency, USD);
assertEquals(analytic.Amount * ONE_BP, fd.Amount * ONE_BP, ONE_BP * NOTIONAL);
// equivalence to market quote sensitivity for par spread quote
PointSensitivities point = PRICER.presentValueOnSettleSensitivity(CDS1, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, LEGAL_ENTITY, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
double cs01FromQuoteSensi = quoteSensi.Sensitivities.get(0).Sensitivity.sum();
assertEquals(cs01FromQuoteSensi * ONE_BP, analytic.Amount * ONE_BP, TOL * NOTIONAL);
}
public virtual void test_presentValueOnSettleSensitivity()
{
PointSensitivities computed = PRICER.presentValueOnSettleSensitivity(TRADE, RATES_PROVIDER, REF_DATA);
PointSensitivities expected = PRICER_PRODUCT.presentValueSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA).build();
PointSensitivities computedMf = PRICER_MF.presentValueOnSettleSensitivity(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, REF_DATA);
PointSensitivities expectedMf = PRICER_PRODUCT_MF.presentValueSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA).build();
assertTrue(computed.equalWithTolerance(expected, TOL));
assertTrue(computedMf.equalWithTolerance(expectedMf, TOL));
}
