public void test_of_list_none() { ImmutableList<CurrencyParameterSensitivity> list = ImmutableList.of(); CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(list); assertEquals(test.size(), 0); }
public void test_of_list_notNormalized() { ImmutableList<CurrencyParameterSensitivity> list = ImmutableList.of(ENTRY_USD, ENTRY_EUR); CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(list); assertEquals(test.size(), 2); assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD, ENTRY_EUR)); }
public void test_of_list_normalized() { ImmutableList<CurrencyParameterSensitivity> list = ImmutableList.of(ENTRY_USD, ENTRY_USD2); CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(list); assertEquals(test.size(), 1); assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD_TOTAL)); }
public void test_of_single() { CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(ENTRY_USD); assertEquals(test.size(), 1); assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD)); }
public void test_empty() { CurrencyParameterSensitivities test = CurrencyParameterSensitivities.empty(); assertEquals(test.size(), 0); assertEquals(test.getSensitivities().size(), 0); }
public void test_parameterSensitivity() { ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES); FxIndexSensitivity point = FxIndexSensitivity.of(OBS_VAL, GBP, 1d); assertEquals(test.parameterSensitivity(point).size(), 2); FxIndexSensitivity point2 = FxIndexSensitivity.of(OBS_VAL, USD, 1d); assertEquals(test.parameterSensitivity(point2).size(), 2); }
public void test_parameterSensitivity() { DiscountFxForwardRates test = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD); FxForwardSensitivity point = FxForwardSensitivity.of(CURRENCY_PAIR, GBP, DATE_VAL, 1d); assertEquals(test.parameterSensitivity(point).size(), 2); FxForwardSensitivity point2 = FxForwardSensitivity.of(CURRENCY_PAIR, USD, DATE_VAL, 1d); assertEquals(test.parameterSensitivity(point2).size(), 2); }
public void test_parameterSensitivity() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity point = ZeroRateSensitivity.of(GBP, 1d, 1d); assertEquals(test.parameterSensitivity(point).size(), 1); }
public void test_parameterSensitivity() { DiscountIborIndexRates test = DiscountIborIndexRates.of(GBP_LIBOR_3M, DFCURVE, SERIES); IborRateSensitivity point = IborRateSensitivity.of(GBP_LIBOR_3M_AFTER, GBP, 1d); assertEquals(test.parameterSensitivity(point).size(), 1); }
public void test_parameterSensitivity() { DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES); OvernightRateSensitivity point = OvernightRateSensitivity.ofPeriod(GBP_SONIA_AFTER, DATE_AFTER_END, GBP, 1d); assertEquals(test.parameterSensitivity(point).size(), 1); }
public void test_parameterSensitivity() { IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE); ZeroRateSensitivity point = ZeroRateSensitivity.of(USD, 1d, 1d); assertEquals(test.parameterSensitivity(point).size(), 1); }
public void test_parameterSensitivity() { SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES); IborRateSensitivity point = IborRateSensitivity.of(GBP_LIBOR_3M_AFTER, GBP, 1d); assertEquals(test.parameterSensitivity(point).size(), 1); }
public void test_parameterSensitivity() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity point = ZeroRateSensitivity.of(GBP, 1d, 1d); assertEquals(test.parameterSensitivity(point).size(), 1); }
@Test public void sensitivity_single_curve() { CurrencyParameterSensitivities sensiComputed = FD_CALCULATOR.sensitivity(RatesProviderDataSets.SINGLE_USD, this::fn); DoubleArray times = RatesProviderDataSets.TIMES_1; assertEquals(sensiComputed.size(), 1); DoubleArray s = sensiComputed.getSensitivities().get(0).getSensitivity(); assertEquals(s.size(), times.size()); for (int i = 0; i < times.size(); i++) { assertEquals(s.get(i), times.get(i) * 4.0d, TOLERANCE_DELTA); } }
public void test_parameterSensitivity() { LegalEntitySurvivalProbabilities test = LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY, DFS); CreditCurveZeroRateSensitivity point = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, ZeroRateSensitivity.of(USD, 1d, 1d)); assertEquals(test.parameterSensitivity(point).size(), 1); }
public void test_parameterSensitivity() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double sensiValue = 25d; ZeroRateSensitivity point = test.zeroRatePointSensitivity(DATE_AFTER); point = point.multipliedBy(sensiValue); CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point); assertEquals(sensiObject.size(), 1); CurrencyParameterSensitivity sensi1 = sensiObject.getSensitivities().get(0); assertEquals(sensi1.getCurrency(), GBP); }
public void regression_sensitivity() { PointSensitivities point = PRICER.priceSensitivityRates(FUTURE, RATE_PROVIDER, HW_PROVIDER); CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point); double[] expected = new double[] {0.0, 0.0, 0.9514709785770106, -1.9399920741192112, 0.0, 0.0, 0.0, 0.0 }; assertEquals(computed.size(), 1); assertTrue(DoubleArrayMath.fuzzyEquals(computed.getSensitivity(HullWhiteIborFutureDataSet.FWD3_NAME, EUR) .getSensitivity().toArray(), expected, TOL)); } }
public void regression_pvSensi() { PointSensitivities point = PRICER.presentValueSensitivityRates(FUTURE_TRADE, RATE_PROVIDER, HW_PROVIDER); CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point); double[] expected = new double[] {0.0, 0.0, 9.514709785770103E7, -1.939992074119211E8, 0.0, 0.0, 0.0, 0.0 }; assertEquals(computed.size(), 1); assertTrue(DoubleArrayMath.fuzzyEquals(computed.getSensitivity(HullWhiteIborFutureDataSet.FWD3_NAME, EUR) .getSensitivity().toArray(), expected, NOTIONAL * QUANTITY * TOL)); } }
public void test_parameterSensitivity() { SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS); InflationRateSensitivity point = InflationRateSensitivity.of(PriceIndexObservation.of(US_CPI_U, VAL_MONTH.plusMonths(3)), 1d); assertEquals(test.parameterSensitivity(point).size(), 1); }
public void test_diagonal() { assertEquals(SENSI_2.diagonal().size(), 2); assertEquals(SENSI_2.diagonal().getSensitivity(NAME1, USD), ENTRY_USD2.diagonal()); assertEquals(SENSI_2.diagonal().getSensitivity(NAME2, EUR), ENTRY_EUR.diagonal()); assertEquals(SENSI_3.diagonal().getSensitivity(NAME1, USD), ENTRY_USD12.diagonal()); assertEquals(SENSI_3.diagonal().getSensitivity(NAME2, USD), ENTRY_USD21.diagonal()); }