Examples of MultipleCurrencyMulticurveSensitivity


Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity

  @Test
  /**
   * Compare the method figures to the Calculator figures.
   */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator = SWAPTION_LONG_REC.accept(PVCSBSC, BLACK_MULTICURVES);
    AssertSensivityObjects.assertEquals("Swaption Black method: present value", pvcsMethod, pvcsCalculator, TOLERANCE_DELTA);
  }
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