@Override public SwaptionSabrSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (SwaptionSabrSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public FxOptionSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (FxOptionSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public RepoCurveZeroRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (RepoCurveZeroRateSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public IborFutureOptionSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (IborFutureOptionSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public InflationRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (InflationRateSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public ZeroRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (ZeroRateSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public IborCapletFloorletSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (IborCapletFloorletSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public SwaptionSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (SwaptionSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public IborCapletFloorletSabrSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (IborCapletFloorletSabrSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public IborRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (IborRateSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public BondFutureOptionSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (BondFutureOptionSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public FxIndexSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (FxIndexSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public FxForwardSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (FxForwardSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public IssuerCurveZeroRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (IssuerCurveZeroRateSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public OvernightRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (OvernightRateSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public DummyPointSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { return (DummyPointSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider); }
@Override public PointSensitivities convertedTo(Currency resultCurrency, FxRateProvider rateProvider) { List<PointSensitivity> mutable = new ArrayList<>(); for (PointSensitivity sensi : sensitivities) { insert(mutable, sensi.convertedTo(resultCurrency, rateProvider)); } return new PointSensitivities(mutable); }
public void test_convertedTo_singleCurrency() { double rate = 1.5d; FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate); PointSensitivities base = PointSensitivities.of(Lists.newArrayList(CS3, CS2, CS1)); PointSensitivities test1 = base.convertedTo(USD, matrix); PointSensitivity c1Conv = CS1.convertedTo(USD, matrix); PointSensitivity c2Conv = CS2.convertedTo(USD, matrix); PointSensitivity c3Conv = CS3.convertedTo(USD, matrix); PointSensitivities expected = PointSensitivities.of(Lists.newArrayList(c3Conv, c2Conv, c1Conv)); assertEquals(test1.normalized(), expected.normalized()); PointSensitivities test2 = base.convertedTo(GBP, matrix); assertEquals(test2.normalized(), base.normalized()); }
public void test_convertedTo_multipleCurrency() { double rate = 1.5d; FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate); PointSensitivities base = PointSensitivities.of(Lists.newArrayList(CS4, CS3, CS1)); PointSensitivities test1 = base.convertedTo(USD, matrix); PointSensitivity c1Conv = CS1.convertedTo(USD, matrix); PointSensitivity c3Conv = CS3.convertedTo(USD, matrix); PointSensitivity c3c4Usd = c3Conv.withSensitivity(c3Conv.getSensitivity() + CS4.getSensitivity()); PointSensitivities expected1 = PointSensitivities.of(Lists.newArrayList(c3c4Usd, c1Conv)); assertEquals(test1.normalized(), expected1.normalized()); PointSensitivities test2 = base.convertedTo(GBP, matrix); PointSensitivity c4Conv = CS4.convertedTo(GBP, matrix); PointSensitivity c3c4GBP = CS3.withSensitivity(CS3.getSensitivity() + c4Conv.getSensitivity()); PointSensitivities expected2 = PointSensitivities.of(Lists.newArrayList(c3c4GBP, CS1)); assertEquals(test2.normalized(), expected2.normalized()); }