OpenGamma/OG-Platform — pull request #177 by marc-opengamma (2014-08-29 13:07:03+00:00)
Title: Topic/plt 415

When the curves have been calibrated using spread curves over existing curves, the sensitivity of the present value to the curve parameters should take into account the dependency and extract to sensitivity to the underlying. Such a calculator exists for the par spread in "ParameterSensitivityMulticurveUnderlyingMatrixCalculator". A similar calculator in term of underlying curve but with output similar to "ParameterSensitivityParameterCalculator" has been created: ParameterSensitivityUnderlyingParameterCalculator.

The abstract parent calculator has been renamed to be in line with other names of similar calculators.

The rest of the PR are tests on that calculator by comparing to a finite difference computation with full recalibration and tutorial on how to use the calculator. The tests are done in SwapCalculatorTest. The coverage of the new calculator is 100% (one main method). Build 1127.

Several test files have been reformatted to have line length below 120 characters.