@ImmutableDefaults private static void applyDefaults(Builder builder) { builder.fxRateProvider = FxMatrix.empty(); }
public void test_convertedTo_singleCurrency() { CurrencyParameterSensitivities test = SENSI_1.convertedTo(USD, FxMatrix.empty()); assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD)); }
public void test_convertedTo_singleCurrency() { CrossGammaParameterSensitivities test = SENSI_1.convertedTo(USD, FxMatrix.empty()); assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD)); }
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_total_singleCurrency() { assertEquals(SENSI_1.total(USD, FxMatrix.empty()).getAmount(), VECTOR_USD1.sum(), 1e-8); }
public void test_total_singleCurrency() { assertEquals(SENSI_1.total(USD, FxMatrix.empty()).getAmount(), MATRIX_USD1.total(), 1e-8); }
public void test_convertedTo_empty() { assertEquals(PointSensitivities.empty().convertedTo(GBP, FxMatrix.empty()), PointSensitivities.empty()); }
/** * Creates rates provider with specified valuation date. * * @param valuationDate the valuation date * @return the rates provider */ public static ImmutableRatesProvider createRatesProvider(LocalDate valuationDate) { return ImmutableRatesProvider.builder(valuationDate) .discountCurves(ImmutableMap.of(EUR, DSC_CURVE)) .indexCurves(ImmutableMap.of(EUR_EURIBOR_3M, FWD3_CURVE, EUR_EURIBOR_6M, FWD6_CURVE)) .fxRateProvider(FxMatrix.empty()) .build(); }
/** * Creates rates provider with specified valuation date. * * @param valuationDate the valuation date * @return the rates provider */ public static ImmutableRatesProvider createRatesProvider(LocalDate valuationDate) { return ImmutableRatesProvider.builder(valuationDate) .discountCurves(ImmutableMap.of(EUR, DSC_CURVE)) .indexCurves(ImmutableMap.of(EUR_EURIBOR_3M, FWD3_CURVE, EUR_EURIBOR_6M, FWD6_CURVE)) .fxRateProvider(FxMatrix.empty()) .build(); }
/** * Creates rates provider with specified valuation date and time series of the index. * * @param valuationDate the valuation date * @param index the index * @param timeSeries the time series * @return the rates provider */ public static ImmutableRatesProvider createRatesProvider( LocalDate valuationDate, IborIndex index, LocalDateDoubleTimeSeries timeSeries) { return ImmutableRatesProvider.builder(valuationDate) .discountCurves(ImmutableMap.of(EUR, DSC_CURVE)) .indexCurves(ImmutableMap.of(EUR_EURIBOR_3M, FWD3_CURVE, EUR_EURIBOR_6M, FWD6_CURVE)) .fxRateProvider(FxMatrix.empty()) .timeSeries(index, timeSeries) .build(); }
public void emptyMatrixCanHandleTrivialRate() { FxMatrix matrix = FxMatrix.empty(); assertThat(matrix.getCurrencies()).isEmpty(); assertThat(matrix.fxRate(USD, USD)).isEqualTo(1.0); assertThat(matrix.toString()).isEqualTo("FxMatrix[ : ]"); }
/** * Obtains an immutable rates providers with valuation date and time series. * <p> * The time series must contain historical data for the price index. * * @param valuationDate the valuation date * @param timeSeries the time series * @return the rates provider */ public static ImmutableRatesProvider getRatesProvider(LocalDate valuationDate, LocalDateDoubleTimeSeries timeSeries) { return ImmutableRatesProvider.builder(valuationDate) .fxRateProvider(FxMatrix.empty()) .priceIndexCurve(US_CPI_U, CPI_CURVE) .timeSeries(US_CPI_U, timeSeries) .build(); }
/** * Obtains an immutable rates providers with valuation date and time series. * <p> * The time series must contain historical data for the price index. * * @param valuationDate the valuation date * @param timeSeries the time series * @return the rates provider */ public static ImmutableRatesProvider getRatesProviderGb(LocalDate valuationDate, LocalDateDoubleTimeSeries timeSeries) { return ImmutableRatesProvider.builder(valuationDate) .fxRateProvider(FxMatrix.empty()) .priceIndexCurve(GB_RPI, RPI_CURVE) .timeSeries(GB_RPI, timeSeries) .build(); }
/** * Obtains an immutable rates providers with valuation date and time series. * <p> * The time series must contain historical data for the price index. * * @param valuationDate the valuation date * @param timeSeries the time series * @return the rates provider */ public static ImmutableRatesProvider getRatesProviderJp(LocalDate valuationDate, LocalDateDoubleTimeSeries timeSeries) { return ImmutableRatesProvider.builder(valuationDate) .fxRateProvider(FxMatrix.empty()) .priceIndexCurve(JP_CPI_EXF, CPIJ_CURVE) .timeSeries(JP_CPI_EXF, timeSeries) .build(); }
public void coverage() { coverImmutableBean(FxMatrix.empty()); coverImmutableBean(FxMatrix.builder() .addRate(GBP, USD, 1.6) .addRate(EUR, USD, 1.4) .addRate(EUR, CHF, 1.2) .build()); }
public void testSerializeDeserialize() { FxMatrix test1 = FxMatrix.builder() .addRate(GBP, USD, 1.6) .addRate(EUR, USD, 1.4) .addRate(EUR, CHF, 1.2) .build(); FxMatrix test2 = FxMatrix.builder() .addRate(GBP, USD, 1.7) .addRate(EUR, USD, 1.5) .addRate(EUR, CHF, 1.3) .build(); cycleBean(FxMatrix.empty()); cycleBean(test1); cycleBean(test2); assertSerialization(FxMatrix.empty()); assertSerialization(test1); assertSerialization(test2); }
public void test_convertedTo_noConversion() { CashFlow base = CashFlow.ofForecastValue(PAYMENT_DATE, GBP, FORECAST_VALUE, DISCOUNT_FACTOR); CashFlow test = base.convertedTo(GBP, FxMatrix.empty()); assertThat(test.getPaymentDate()).isEqualTo(PAYMENT_DATE); assertThat(test.getPresentValue()).hasCurrency(GBP); assertThat(test.getPresentValue()).hasAmount(PRESENT_VALUE, TOLERANCE); assertThat(test.getForecastValue()).hasCurrency(GBP); assertThat(test.getForecastValue()).hasAmount(FORECAST_VALUE, TOLERANCE); assertThat(test.getDiscountFactor()).isCloseTo(DISCOUNT_FACTOR, TOLERANCE); }