public void test_combinedWith_otherEmpty() { UnitParameterSensitivities test = SENSI_1.combinedWith(UnitParameterSensitivities.empty()); assertEquals(test, SENSI_1); }
public void test_combinedWith_empty() { UnitParameterSensitivities test = UnitParameterSensitivities.empty().combinedWith(SENSI_1); assertEquals(test, SENSI_1); }
public void test_empty() { UnitParameterSensitivities test = UnitParameterSensitivities.empty(); assertEquals(test.size(), 0); assertEquals(test.getSensitivities().size(), 0); }
private UnitParameterSensitivities extractSensitivities(ResolvedTrade trade, RatesProvider provider) { CalibrationMeasure<ResolvedTrade> measure = getMeasure(trade); CurrencyParameterSensitivities paramSens = measure.sensitivities(trade, provider); UnitParameterSensitivities unitSens = UnitParameterSensitivities.empty(); for (CurrencyParameterSensitivity ccySens : paramSens.getSensitivities()) { unitSens = unitSens.combinedWith(ccySens.toUnitParameterSensitivity()); } return unitSens; }
public void coverage() { coverImmutableBean(UnitParameterSensitivities.empty()); coverImmutableBean(SENSI_1); coverBeanEquals(SENSI_1, SENSI_2); }
private UnitParameterSensitivities unitParameterSensitivity(YearMonth month) { // If fixing in the past, check time series and returns the historic month price index if present if (month.isBefore(YearMonth.from(valuationDate))) { if (fixings.get(month.atEndOfMonth()).isPresent()) { return UnitParameterSensitivities.empty(); } } double nbMonth = numberOfMonths(month); return UnitParameterSensitivities.of(curve.yValueParameterSensitivity(nbMonth)); }
private DoubleArray sensitivitySwap(BasicFixedLeg swap, NodalCurve curve, double swapRate) { int nPayments = swap.getNumPayments(); double annuity = 0d; UnitParameterSensitivities sensi = UnitParameterSensitivities.empty(); for (int i = 0; i < nPayments - 1; i++) { double t = swap.getPaymentTime(i); double df = Math.exp(-curve.yValue(t) * t); annuity += swap.getYearFraction(i) * df; sensi = sensi.combinedWith(curve.yValueParameterSensitivity(t).multipliedBy(-df * t * swap.getYearFraction(i) * swapRate)); } int lastIndex = nPayments - 1; double t = swap.getPaymentTime(lastIndex); double df = Math.exp(-curve.yValue(t) * t); annuity += swap.getYearFraction(lastIndex) * df; sensi = sensi.combinedWith( curve.yValueParameterSensitivity(t).multipliedBy(-df * t * (1d + swap.getYearFraction(lastIndex) * swapRate))); sensi = sensi.multipliedBy(-1d / annuity); ArgChecker.isTrue(sensi.size() == 1); return sensi.getSensitivities().get(0).getSensitivity(); }