public void present_value_sensitivity_premium_valuedate() { PointSensitivities pvcsTrade = PRICER_TRADE.presentValueSensitivityRatesStickyStrike(SWAPTION_PRETOD_LONG_REC, RATE_PROVIDER, VOLS); PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT.presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_REC, RATE_PROVIDER, VOLS); CurrencyParameterSensitivities pvpsTrade = RATE_PROVIDER.parameterSensitivity(pvcsTrade); CurrencyParameterSensitivities pvpsProduct = RATE_PROVIDER.parameterSensitivity(pvcsProduct.build()); assertTrue(pvpsTrade.equalWithTolerance(pvpsProduct, NOTIONAL * TOL)); }
public void present_value_sensitivity_premium_past() { PointSensitivities pvcsTrade = PRICER_TRADE .presentValueSensitivityRatesStickyStrike(SWAPTION_PREPAST_LONG_REC, MULTI_USD, NORMAL_VOLS_USD); PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT .presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD); CurrencyParameterSensitivities pvpsTrade = MULTI_USD.parameterSensitivity(pvcsTrade); CurrencyParameterSensitivities pvpsProduct = MULTI_USD.parameterSensitivity(pvcsProduct.build()); assertTrue(pvpsTrade.equalWithTolerance(pvpsProduct, TOLERANCE_PV_DELTA)); }
public void present_value_sensitivity_premium_past() { PointSensitivities pvcsTrade = PRICER_TRADE.presentValueSensitivityRatesStickyStrike(SWAPTION_PREPAST_LONG_REC, RATE_PROVIDER, VOLS); PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT.presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_REC, RATE_PROVIDER, VOLS); CurrencyParameterSensitivities pvpsTrade = RATE_PROVIDER.parameterSensitivity(pvcsTrade); CurrencyParameterSensitivities pvpsProduct = RATE_PROVIDER.parameterSensitivity(pvcsProduct.build()); assertTrue(pvpsTrade.equalWithTolerance(pvpsProduct, NOTIONAL * TOL)); }
public void present_value_sensitivity_premium_valuedate() { PointSensitivities pvcsTrade = PRICER_TRADE .presentValueSensitivityRatesStickyStrike(SWAPTION_PRETOD_LONG_REC, MULTI_USD, NORMAL_VOLS_USD); PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT .presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD); CurrencyParameterSensitivities pvpsTrade = MULTI_USD.parameterSensitivity(pvcsTrade); CurrencyParameterSensitivities pvpsProduct = MULTI_USD.parameterSensitivity(pvcsProduct.build()); assertTrue(pvpsTrade.equalWithTolerance(pvpsProduct, TOLERANCE_PV_DELTA)); }
public void present_value_sensitivity_premium_forward() { PointSensitivities pvcsTrade = PRICER_TRADE.presentValueSensitivityRatesStickyStrike(SWAPTION_PREFWD_LONG_REC, RATE_PROVIDER, VOLS); PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT.presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_REC, RATE_PROVIDER, VOLS); PointSensitivityBuilder pvcsPremium = PRICER_PAYMENT.presentValueSensitivity(PREMIUM_FWD_PAY, RATE_PROVIDER); CurrencyParameterSensitivities pvpsTrade = RATE_PROVIDER.parameterSensitivity(pvcsTrade); CurrencyParameterSensitivities pvpsProduct = RATE_PROVIDER.parameterSensitivity(pvcsProduct.combinedWith(pvcsPremium).build()); assertTrue(pvpsTrade.equalWithTolerance(pvpsProduct, NOTIONAL * TOL)); }
public void present_value_sensitivity_premium_forward() { PointSensitivities pvcsTrade = PRICER_TRADE .presentValueSensitivityRatesStickyStrike(SWAPTION_PREFWD_LONG_REC, MULTI_USD, NORMAL_VOLS_USD); PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT .presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD); PointSensitivityBuilder pvcsPremium = PRICER_PAYMENT.presentValueSensitivity(PREMIUM_FWD_PAY, MULTI_USD); CurrencyParameterSensitivities pvpsTrade = MULTI_USD.parameterSensitivity(pvcsTrade); CurrencyParameterSensitivities pvpsProduct = MULTI_USD.parameterSensitivity(pvcsProduct.combinedWith(pvcsPremium).build()); assertTrue(pvpsTrade.equalWithTolerance(pvpsProduct, TOLERANCE_PV_DELTA)); }