public void test_presentValueSensitivity() { PointSensitivities pvSensiTrade = PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS); PointSensitivities pvSensiProduct = PRICER_PRODUCT.presentValueSensitivityRates(OPTION_PRODUCT, RATES_PROVIDER, VOLS); PointSensitivities pvSensiPremium = PRICER_PAYMENT.presentValueSensitivity(PREMIUM, RATES_PROVIDER).build(); assertEquals(pvSensiTrade, pvSensiProduct.combinedWith(pvSensiPremium)); }
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()); }