public void test_mergedWith_map_empty() { CurveSensitivities base = sut(); Map<CurveSensitivitiesType, CurrencyParameterSensitivities> additional = ImmutableMap.of(); CurveSensitivities test = base.mergedWith(additional); assertEquals(test, base); }
public void test_of_map() { CurveSensitivities test = sut2(); assertEquals(test.getId(), Optional.of(ID2)); assertEquals(test.getInfo(), INFO2); assertEquals(test.getTypedSensitivities(), ImmutableMap.of(ZERO_RATE_DELTA, SENSI1, ZERO_RATE_GAMMA, SENSI2)); assertEquals(test.getTypedSensitivity(ZERO_RATE_DELTA), SENSI1); assertEquals(test.getTypedSensitivity(ZERO_RATE_GAMMA), SENSI2); }
public void test_mergedWith_sens_empty() { CurveSensitivities base = sut(); CurveSensitivities test = base.mergedWith(CurveSensitivities.empty()); assertEquals(test, base); }
public void test_convertedTo_multipleCurrency() { CurveSensitivities base = sut2(); CurveSensitivities test = base.convertedTo(USD, FX_RATE); assertEquals(test.getTypedSensitivities().get(ZERO_RATE_DELTA).getSensitivities(), ImmutableList.of(ENTRY_USD)); assertEquals( test.getTypedSensitivities().get(ZERO_RATE_GAMMA).getSensitivities(), ImmutableList.of(ENTRY_USD2, ENTRY_EUR_IN_USD)); }
public void test_mergedWith_map_mergeAndAdd() { CurveSensitivities base1 = sut(); CurveSensitivities base2 = sut2(); CurveSensitivities test = base1.mergedWith(base2.getTypedSensitivities()); assertEquals(test.getInfo(), base1.getInfo()); assertEquals(test.getTypedSensitivities().keySet(), ImmutableSet.of(ZERO_RATE_DELTA, ZERO_RATE_GAMMA)); assertEquals(test.getTypedSensitivities().get(ZERO_RATE_DELTA), SENSI1.multipliedBy(2)); assertEquals(test.getTypedSensitivities().get(ZERO_RATE_GAMMA), SENSI2); }
public void test_of_single() { CurveSensitivities test = sut(); assertEquals(test.getId(), Optional.empty()); assertEquals(test.getInfo(), INFO1); assertEquals(test.getTypedSensitivities(), ImmutableMap.of(ZERO_RATE_DELTA, SENSI1)); assertEquals(test.getTypedSensitivity(ZERO_RATE_DELTA), SENSI1); assertThrows(IllegalArgumentException.class, () -> test.getTypedSensitivity(ZERO_RATE_GAMMA)); assertEquals(test.findTypedSensitivity(ZERO_RATE_DELTA), Optional.of(SENSI1)); assertEquals(test.findTypedSensitivity(ZERO_RATE_GAMMA), Optional.empty()); }
public void test_summarize() { CurveSensitivities base = sut2(); PortfolioItemSummary test = base.summarize(); assertEquals(test.getId(), Optional.of(ID2)); assertEquals(test.getPortfolioItemType(), PortfolioItemType.SENSITIVITIES); assertEquals(test.getProductType(), ProductType.SENSITIVITIES); assertEquals(test.getCurrencies(), ImmutableSet.of(EUR, USD)); assertEquals(test.getDescription(), "CurveSensitivities[ZeroRateDelta, ZeroRateGamma]"); }
public void test_mergedWith_sens_mergeAndAdd() { CurveSensitivities base1 = sut(); CurveSensitivities base2 = sut2(); CurveSensitivities test = base1.mergedWith(base2); assertEquals(test.getInfo(), PortfolioItemInfo.empty() .withId(ID2) .withAttribute(NAME, "2") .withAttribute(DESCRIPTION, "1")); assertEquals(test.getTypedSensitivities().keySet(), ImmutableSet.of(ZERO_RATE_DELTA, ZERO_RATE_GAMMA)); assertEquals(test.getTypedSensitivities().get(ZERO_RATE_DELTA), SENSI1.multipliedBy(2)); assertEquals(test.getTypedSensitivities().get(ZERO_RATE_GAMMA), SENSI2); }
public void test_convertedTo_singleCurrency() { CurveSensitivities base = sut(); CurveSensitivities test = base.convertedTo(USD, FxMatrix.empty()); assertEquals(test.getTypedSensitivities().get(ZERO_RATE_DELTA).getSensitivities(), ImmutableList.of(ENTRY_USD)); }
public void test_withParameterMetadatas() { CurveSensitivities base = sut(); CurveSensitivities test = base.withParameterMetadatas(md -> TENOR_MD_1Y); CurrencyParameterSensitivity testSens = test.getTypedSensitivities().get(ZERO_RATE_DELTA).getSensitivities().get(0); assertEquals(testSens.getParameterMetadata(), ImmutableList.of(TENOR_MD_1Y)); assertEquals(testSens.getSensitivity(), DoubleArray.of(723)); }
public void test_withMarketDataNames() { CurveSensitivities base = sut(); CurveSensitivities test = base.withMarketDataNames(name -> NAME2); assertEquals( base.getTypedSensitivities().get(ZERO_RATE_DELTA).getSensitivities().get(0).getMarketDataName(), NAME1); assertEquals( test.getTypedSensitivities().get(ZERO_RATE_DELTA).getSensitivities().get(0).getMarketDataName(), NAME2); }