@Override public double getSensitivity() { return zeroRateSensitivity.getSensitivity(); }
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 1303639584: // curveCurrency return ((ZeroRateSensitivity) bean).getCurveCurrency(); case -1731780257: // yearFraction return ((ZeroRateSensitivity) bean).getYearFraction(); case 575402001: // currency return ((ZeroRateSensitivity) bean).getCurrency(); case 564403871: // sensitivity return ((ZeroRateSensitivity) bean).getSensitivity(); } return super.propertyGet(bean, propertyName, quiet); }
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, 0.0d); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
public void test_zeroRatePointSensitivityWithSpread_smallYearFraction() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, 0.0d); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD); }
/** * Obtains an instance from zero rate sensitivity and group. * * @param zeroRateSensitivity the zero rate sensitivity * @param repoGroup the group * @return the point sensitivity object */ public static RepoCurveZeroRateSensitivity of(ZeroRateSensitivity zeroRateSensitivity, RepoGroup repoGroup) { return of( zeroRateSensitivity.getCurveCurrency(), zeroRateSensitivity.getYearFraction(), zeroRateSensitivity.getCurrency(), repoGroup, zeroRateSensitivity.getSensitivity()); }
@Override public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSensitivity) { double yearFraction = pointSensitivity.getYearFraction(); UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction); CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSensitivity.getCurrency(), pointSensitivity.getSensitivity()); return CurrencyParameterSensitivities.of(curSens); }
@Override public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens) { double yearFraction = pointSens.getYearFraction(); UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction); CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSens.getCurrency(), pointSens.getSensitivity()); return CurrencyParameterSensitivities.of(curSens); }
public void test_of() { ZeroRateSensitivity test = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d); assertEquals(test.getCurrency(), GBP); assertEquals(test.getYearFraction(), YEARFRAC); assertEquals(test.getSensitivity(), 32d); assertEquals(test.getCurrency(), GBP); }
public void test_zeroRatePointSensitivityWithSpread_continous() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA); }
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continous() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0); ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction); ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 0); assertTrue(computed.compareKey(expected) == 0); assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA); }
@Override public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens) { double yearFraction = pointSens.getYearFraction(); if (Math.abs(yearFraction) < EFFECTIVE_ZERO) { return CurrencyParameterSensitivities.empty(); // Discount factor in 0 is always 1, no sensitivity. } double discountFactor = discountFactor(yearFraction); UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction); CurrencyParameterSensitivity curSens = unitSens .multipliedBy(-1d / (yearFraction * discountFactor)) .multipliedBy(pointSens.getCurrency(), pointSens.getSensitivity()); return CurrencyParameterSensitivities.of(curSens); }
public void test_presentValueSensitivityWithSpread_df_spread_continuous() { PointSensitivities point = PRICER.presentValueSensitivityWithSpread( PAYMENT, DISCOUNT_FACTORS, Z_SPREAD, CONTINUOUS, 0).build(); double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE); double expected = -DF * relativeYearFraction * NOTIONAL_USD * Math.exp(-Z_SPREAD * relativeYearFraction); ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0); assertEquals(actual.getCurrency(), USD); assertEquals(actual.getCurveCurrency(), USD); assertEquals(actual.getYearFraction(), relativeYearFraction); assertEquals(actual.getSensitivity(), expected, NOTIONAL_USD * TOL); }
public void test_presentValueSensitivity_provider() { PointSensitivities point = PRICER.presentValueSensitivity(TRADE, PROVIDER); double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE); double expected = -DF * relativeYearFraction * NOTIONAL_USD; ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0); assertEquals(actual.getCurrency(), USD); assertEquals(actual.getCurveCurrency(), USD); assertEquals(actual.getYearFraction(), relativeYearFraction); assertEquals(actual.getSensitivity(), expected, NOTIONAL_USD * TOL); }
public void test_presentValueSensitivity_df() { PointSensitivities point = PRICER.presentValueSensitivity(PAYMENT, DISCOUNT_FACTORS).build(); double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE); double expected = -DF * relativeYearFraction * NOTIONAL_USD; ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0); assertEquals(actual.getCurrency(), USD); assertEquals(actual.getCurveCurrency(), USD); assertEquals(actual.getYearFraction(), relativeYearFraction); assertEquals(actual.getSensitivity(), expected, NOTIONAL_USD * TOL); }
public void test_presentValueSensitivity_provider() { PointSensitivities point = PRICER.presentValueSensitivity(PAYMENT, PROVIDER).build(); double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE); double expected = -DF * relativeYearFraction * NOTIONAL_USD; ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0); assertEquals(actual.getCurrency(), USD); assertEquals(actual.getCurveCurrency(), USD); assertEquals(actual.getYearFraction(), relativeYearFraction); assertEquals(actual.getSensitivity(), expected, NOTIONAL_USD * TOL); }
@Override public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens) { double yearFraction = pointSens.getYearFraction(); double rp = curve.yValue(yearFraction); double rcBar = 1.0; double rpBar = 1.0 / (1 + rp / frequency) * rcBar; UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction).multipliedBy(rpBar); CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSens.getCurrency(), pointSens.getSensitivity()); return CurrencyParameterSensitivities.of(curSens); }
public void test_presentValueSensitivity() { SimpleRatesProvider prov = createProvider(VAL_DATE); PointSensitivities point = PRICER.presentValueSensitivity(PERIOD, prov).build(); double relativeYearFraction = DAY_COUNT.relativeYearFraction(VAL_DATE, PAYMENT_DATE); double expected = -DISCOUNT_FACTOR * relativeYearFraction * AMOUNT_1000; ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0); assertEquals(actual.getCurrency(), GBP); assertEquals(actual.getCurveCurrency(), GBP); assertEquals(actual.getYearFraction(), relativeYearFraction); assertEquals(actual.getSensitivity(), expected, AMOUNT_1000 * TOLERANCE_PV); }
public void test_unitParameterSensitivity() { IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE); ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER); double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, DATE_AFTER); CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of( CURVE.yValueParameterSensitivity(relativeYearFraction) .multipliedBy(sens.getCurrency(), sens.getSensitivity())); assertEquals(test.parameterSensitivity(sens), expected); }
public void test_unitParameterSensitivity() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of( CURVE.yValueParameterSensitivity(relativeYearFraction) .multipliedBy(sens.getCurrency(), sens.getSensitivity())); assertEquals(test.parameterSensitivity(sens), expected); }
public void test_currencyParameterSensitivity() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double discountFactor = CURVE.yValue(relativeYearFraction); CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of( CURVE.yValueParameterSensitivity(relativeYearFraction) .multipliedBy(-1d / discountFactor / relativeYearFraction) .multipliedBy(sens.getCurrency(), sens.getSensitivity())); assertEquals(test.parameterSensitivity(sens), expected); }