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 test_parameterSensitivity_full() { 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.getSensitivities().size(), 1); DoubleArray sensi0 = sensiObject.getSensitivities().get(0).getSensitivity(); double shift = 1.0E-6; for (int i = 0; i < X.size(); i++) { DoubleArray yP = Y.with(i, Y.get(i) + shift); InterpolatedNodalCurve curveP = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yP, INTERPOLATOR); double dfP = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveP).discountFactor(DATE_AFTER); DoubleArray yM = Y.with(i, Y.get(i) - shift); InterpolatedNodalCurve curveM = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yM, INTERPOLATOR); double dfM = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveM).discountFactor(DATE_AFTER); assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD); } }
public void test_parameterSensitivity_withSpread_full() { int periodPerYear = 2; double spread = 0.0011; // 11 bp ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double sensiValue = 25d; ZeroRateSensitivity point = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear); point = point.multipliedBy(sensiValue); CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point); assertEquals(sensiObject.getSensitivities().size(), 1); DoubleArray sensi0 = sensiObject.getSensitivities().get(0).getSensitivity(); double shift = 1.0E-6; for (int i = 0; i < X.size(); i++) { DoubleArray yP = Y.with(i, Y.get(i) + shift); InterpolatedNodalCurve curveP = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yP, INTERPOLATOR); double dfP = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveP) .discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear); DoubleArray yM = Y.with(i, Y.get(i) - shift); InterpolatedNodalCurve curveM = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yM, INTERPOLATOR); double dfM = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveM) .discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear); assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD, "With spread - " + i); } }