/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.sensitivity.multicurve;
/**
*
*/
public class AnnuallyCompoundedForwardSensitivity extends ForwardSensitivity {
public AnnuallyCompoundedForwardSensitivity(final double startTime, final double endTime, final double accrualFactor, final double value) {
super(startTime, endTime, accrualFactor, value);
}
@Override
public double derivativeToYieldStart(final double dicountfactorStart, final double dicountfactorEnd) {
return -getStartTime() / getAccrualFactor() * Math.pow(dicountfactorStart / dicountfactorEnd, 1 / getAccrualFactor());
}
@Override
public double derivativeToYieldEnd(final double dicountfactorStart, final double dicountfactorEnd) {
return getEndTime() / getAccrualFactor() * Math.pow(dicountfactorStart / dicountfactorEnd, 1 / getAccrualFactor());
}
/* (non-Javadoc)
* @see java.lang.Object#toString()
*/
@Override
public String toString() {
return "AnnuallyCompoundedForwardSensitivity []";
}
}