public void test_presentValueSensitivityWithZSpread_continuous_noExcoupon() { PointSensitivities pointTrade = TRADE_PRICER.presentValueSensitivityWithZSpread(TRADE_NO_EXCOUPON, PROVIDER, Z_SPREAD, CONTINUOUS, 0); CurrencyParameterSensitivities computedTrade = PROVIDER.parameterSensitivity(pointTrade); CurrencyParameterSensitivities expectedTrade = FD_CAL.sensitivity(PROVIDER, (p) -> TRADE_PRICER.presentValueWithZSpread(TRADE_NO_EXCOUPON, (p), Z_SPREAD, CONTINUOUS, 0)); assertTrue(computedTrade.equalWithTolerance(expectedTrade, 20d * NOTIONAL * QUANTITY * EPS)); }
public void test_presentValueSensitivityWithZSpread_continuous() { PointSensitivities pointTrade = TRADE_PRICER.presentValueSensitivityWithZSpread(TRADE, PROVIDER, Z_SPREAD, CONTINUOUS, 0); CurrencyParameterSensitivities computedTrade = PROVIDER.parameterSensitivity(pointTrade); CurrencyParameterSensitivities expectedTrade = FD_CAL.sensitivity( PROVIDER, (p) -> TRADE_PRICER.presentValueWithZSpread(TRADE, (p), Z_SPREAD, CONTINUOUS, 0)); assertTrue(computedTrade.equalWithTolerance(expectedTrade, 20d * NOTIONAL * QUANTITY * EPS)); }
public void test_presentValueSensitivityWithZSpread_periodic() { PointSensitivities pointTrade = TRADE_PRICER.presentValueSensitivityWithZSpread(TRADE, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyParameterSensitivities computedTrade = PROVIDER.parameterSensitivity(pointTrade); CurrencyParameterSensitivities expectedTrade = FD_CAL.sensitivity(PROVIDER, (p) -> TRADE_PRICER.presentValueWithZSpread(TRADE, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR)); assertTrue(computedTrade.equalWithTolerance(expectedTrade, 20d * NOTIONAL * QUANTITY * EPS)); }
public void test_presentValueSensitivityWithZSpread_periodic_noExcoupon() { PointSensitivities pointTrade = TRADE_PRICER.presentValueSensitivityWithZSpread( TRADE_NO_EXCOUPON, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyParameterSensitivities computedTrade = PROVIDER.parameterSensitivity(pointTrade); CurrencyParameterSensitivities expectedTrade = FD_CAL.sensitivity(PROVIDER, (p) -> TRADE_PRICER.presentValueWithZSpread(TRADE_NO_EXCOUPON, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR)); assertTrue(computedTrade.equalWithTolerance(expectedTrade, 20d * NOTIONAL * QUANTITY * EPS)); }