Examples of PresentValueSABRSensitivityDataBundle


Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle

  @Test
  /**
   * Tests the present value SABR parameters sensitivity: Method vs Calculator.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD_SWPT_CASH.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvssCalculator = SWAPTION_LONG_PAYER.accept(PVSSSSC, SABR_MULTICURVES);
    assertEquals("Swaption Cash SABR: Present value SABR sensitivity: method vs calculator", pvssMethod, pvssCalculator);
  }
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