public void test_dirtyPriceNominalPriceFromCurvesSensitivityWithZSpread() { PointSensitivities point = PRICER.dirtyNominalPriceSensitivityWithZSpread( PRODUCT, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR).build(); CurrencyParameterSensitivities computed1 = RATES_PROVIDER.parameterSensitivity(point); CurrencyParameterSensitivities computed2 = ISSUER_RATES_PROVIDER.parameterSensitivity(point); CurrencyParameterSensitivities expected = fdPriceSensitivityWithZSpread( PRODUCT, RATES_PROVIDER, ISSUER_RATES_PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); assertTrue(expected.equalWithTolerance(computed1.combinedWith(computed2), EPS * NOTIONAL)); }
public void test_dirtyPriceNominalPriceFromCurvesSensitivityWithZSpread_exCoupon() { PointSensitivities point = PRICER.dirtyNominalPriceSensitivityWithZSpread( PRODUCT_EX_COUPON, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, Z_SPREAD, CONTINUOUS, 0).build(); CurrencyParameterSensitivities computed1 = RATES_PROVIDER.parameterSensitivity(point); CurrencyParameterSensitivities computed2 = ISSUER_RATES_PROVIDER.parameterSensitivity(point); CurrencyParameterSensitivities expected = fdPriceSensitivityWithZSpread( PRODUCT_EX_COUPON, RATES_PROVIDER, ISSUER_RATES_PROVIDER, Z_SPREAD, CONTINUOUS, 0); assertTrue(expected.equalWithTolerance(computed1.combinedWith(computed2), EPS * NOTIONAL)); }
return dirtyNominalPriceSensitivityWithZSpread( bond, ratesProvider,