private double dscSensitivity(
Fra fra, double forwardRate, double discountFactor, double paymentTime, double eps) {
RatesProvider provNew = mock(RatesProvider.class);
when(provNew.getValuationDate()).thenReturn(VAL_DATE);
RateObservationFn<RateObservation> obsFuncNew = mock(RateObservationFn.class);
ExpandedFra fraExp = fra.expand();
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate);
when(provNew.discountFactor(fra.getCurrency(), fraExp.getPaymentDate()))
.thenReturn(discountFactor * Math.exp(-eps * paymentTime));
CurrencyAmount upDscValue =
new DiscountingFraProductPricer(obsFuncNew).presentValue(fraExp, provNew);
when(provNew.discountFactor(fra.getCurrency(), fraExp.getPaymentDate()))
.thenReturn(discountFactor * Math.exp(eps * paymentTime));
CurrencyAmount downDscValue =
new DiscountingFraProductPricer(obsFuncNew).presentValue(fraExp, provNew);
return upDscValue.minus(downDscValue).multipliedBy(0.5 / eps).getAmount();
}
