Esempi in Java per DiscountingCmsProductPricer.presentValueSensitivity

Esempio n. 1

File: DiscountingCmsTradePricerTest.java Progetto: Rowmance/Strata

 public void test_presentValueSensitivity() {
   PointSensitivities pt1 =
       TRADE_PRICER.presentValueSensitivity(CMS_TRADE_PREMIUM, RATES_PROVIDER);
   PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE, RATES_PROVIDER);
   PointSensitivityBuilder ptProd1 =
       PRODUCT_PRICER.presentValueSensitivity(CMS_ONE_LEG, RATES_PROVIDER);
   PointSensitivityBuilder ptProd2 =
       PRODUCT_PRICER.presentValueSensitivity(CMS_TWO_LEGS, RATES_PROVIDER);
   PointSensitivityBuilder ptPrem =
       PREMIUM_PRICER.presentValueSensitivity(PREMIUM, RATES_PROVIDER);
   assertEquals(pt1, ptProd1.combinedWith(ptPrem).build());
   assertEquals(pt2, ptProd2.build());
 }