@Override public CurrencyParameterSensitivity createParameterSensitivity(Currency currency, DoubleArray sensitivities) { return CurrencyParameterSensitivity.of(getName(), parameterMetadata, currency, sensitivities); }
@Override public UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities) { return UnitParameterSensitivity.of(getName(), parameterMetadata, sensitivities); }
public void test_withValuesXy() { ConstantNodalCurve base = ConstantNodalCurve.of(METADATA, XVALUE, YVALUE); ConstantNodalCurve test = base.withValues(XVALUE_ARRAY_NEW, YVALUE_BUMPED_ARRAY); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA); assertThat(test.getXValues()).isEqualTo(XVALUE_ARRAY_NEW); assertThat(test.getYValues()).isEqualTo(YVALUE_BUMPED_ARRAY); }
public void test_withMetadata() { ConstantNodalCurve base = ConstantNodalCurve.of(METADATA, XVALUE, YVALUE); ConstantNodalCurve test = base.withMetadata(METADATA_ENTRIES); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA_ENTRIES); assertThat(test.getXValues()).isEqualTo(XVALUE_ARRAY); assertThat(test.getYValues()).isEqualTo(YVALUE_ARRAY); }
public void test_withValues() { ConstantNodalCurve base = ConstantNodalCurve.of(METADATA, XVALUE, YVALUE); ConstantNodalCurve test = base.withYValues(YVALUE_BUMPED_ARRAY); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA); assertThat(test.getXValues()).isEqualTo(XVALUE_ARRAY); assertThat(test.getYValues()).isEqualTo(YVALUE_BUMPED_ARRAY); }
public void test_of_noCurveMetadata() { ConstantNodalCurve test = ConstantNodalCurve.of(METADATA_NOPARAM, XVALUE, YVALUE); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getParameter(0)).isEqualTo(YVALUE); assertThat(test.getParameterMetadata(0)).isEqualTo(SimpleCurveParameterMetadata.of(ValueType.YEAR_FRACTION, XVALUE)); }
public void test_of_CurveMetadata() { ConstantNodalCurve test = ConstantNodalCurve.of(METADATA_ENTRIES, XVALUE, YVALUE); ConstantNodalCurve testRe = ConstantNodalCurve.of(METADATA_ENTRIES, XVALUE, YVALUE); assertThat(test).isEqualTo(testRe); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getParameter(0)).isEqualTo(YVALUE); assertThrowsIllegalArg(() -> test.getParameter(1)); assertThat(test.getParameterMetadata(0)).isSameAs(METADATA_ENTRIES.getParameterMetadata().get().get(0)); assertThat(test.withParameter(0, 2d)).isEqualTo(ConstantNodalCurve.of(METADATA_ENTRIES, XVALUE, 2d)); assertThrowsIllegalArg(() -> test.withParameter(1, 2d)); assertThat(test.withPerturbation((i, v, m) -> v - 2d)).isEqualTo( ConstantNodalCurve.of(METADATA_ENTRIES, XVALUE, YVALUE_BUMPED)); assertThat(test.getMetadata()).isEqualTo(METADATA_ENTRIES); assertThat(test.getXValues()).isEqualTo(XVALUE_ARRAY); assertThat(test.getYValues()).isEqualTo(YVALUE_ARRAY); }
public void test_of_constant() { IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CONST_CURVE); assertEquals(test.getCurrency(), USD); assertEquals(test.getCurve(), CONST_CURVE); assertEquals(test.getDayCount(), ACT_365L); assertEquals(test.getParameterCount(), 1); assertEquals(test.getParameter(0), RATE_SINGLE); assertEquals(test.getParameterKeys(), DoubleArray.of(TIME_SINGLE)); assertEquals(test.getParameterMetadata(0), SimpleCurveParameterMetadata.of(METADATA.getXValueType(), TIME_SINGLE)); assertEquals(test.getValuationDate(), VALUATION); assertEquals(test.findData(CONST_CURVE.getName()), Optional.of(CONST_CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); assertEquals(test.toDiscountFactors(), ZeroRateDiscountFactors.of(USD, VALUATION, CONST_CURVE)); assertEquals(test.isIsdaCompliant(), true); }
public void test_of_constant_interface() { IsdaCreditDiscountFactors test = (IsdaCreditDiscountFactors) CreditDiscountFactors.of(USD, VALUATION, CONST_CURVE); assertEquals(test.getCurrency(), USD); assertEquals(test.getCurve(), CONST_CURVE); assertEquals(test.getDayCount(), ACT_365L); assertEquals(test.getParameterCount(), 1); assertEquals(test.getParameter(0), RATE_SINGLE); assertEquals(test.getParameterKeys(), DoubleArray.of(TIME_SINGLE)); assertEquals(test.getParameterMetadata(0), SimpleCurveParameterMetadata.of(METADATA.getXValueType(), TIME_SINGLE)); assertEquals(test.getValuationDate(), VALUATION); assertEquals(test.findData(CONST_CURVE.getName()), Optional.of(CONST_CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); assertEquals(test.toDiscountFactors(), ZeroRateDiscountFactors.of(USD, VALUATION, CONST_CURVE)); assertEquals(test.isIsdaCompliant(), true); }