public void test_mapSensitivity() { IssuerCurveZeroRateSensitivity base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); IssuerCurveZeroRateSensitivity expected = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, 1d / VALUE); IssuerCurveZeroRateSensitivity test = base.mapSensitivity(s -> 1d / s); assertEquals(test, expected); }
public void test_multipliedBy() { IssuerCurveZeroRateSensitivity base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); double rate = 2.4d; IssuerCurveZeroRateSensitivity test = base.multipliedBy(rate); IssuerCurveZeroRateSensitivity expected = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE * rate); assertEquals(test, expected); }
public void test_normalize() { IssuerCurveZeroRateSensitivity base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); IssuerCurveZeroRateSensitivity test = base.normalize(); assertEquals(test, base); }
public void test_cloned() { IssuerCurveZeroRateSensitivity base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); IssuerCurveZeroRateSensitivity test = base.cloned(); assertEquals(test, base); }
public void test_serialization() { IssuerCurveZeroRateSensitivity test = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); assertSerialization(test); }
public void coverage() { IssuerCurveZeroRateSensitivity test1 = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); coverImmutableBean(test1); IssuerCurveZeroRateSensitivity test2 = IssuerCurveZeroRateSensitivity.of(GBP, YEARFRAC2, LegalEntityGroup.of("ISSUER1"), 12d); coverBeanEquals(test1, test2); }
private PointSensitivityBuilder presentValueSensitivityNominal( ResolvedFixedCouponBond bond, IssuerCurveDiscountFactors discountFactors) { Payment nominal = bond.getNominalPayment(); PointSensitivityBuilder pt = nominalPricer.presentValueSensitivity(nominal, discountFactors.getDiscountFactors()); if (pt instanceof ZeroRateSensitivity) { return IssuerCurveZeroRateSensitivity.of((ZeroRateSensitivity) pt, discountFactors.getLegalEntityGroup()); } return pt; // NoPointSensitivity }
public void test_createZeroRateSensitivity() { IssuerCurveZeroRateSensitivity base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, GROUP, VALUE); ZeroRateSensitivity expected = ZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, VALUE); ZeroRateSensitivity test = base.createZeroRateSensitivity(); assertEquals(test, expected); }
public void test_convertedTo() { IssuerCurveZeroRateSensitivity base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); double rate = 1.5d; FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate); IssuerCurveZeroRateSensitivity test1 = base.convertedTo(USD, matrix); assertEquals(test1, base); IssuerCurveZeroRateSensitivity test2 = base.convertedTo(GBP, matrix); IssuerCurveZeroRateSensitivity expected = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, GROUP, VALUE / rate); assertEquals(test2, expected); }
private PointSensitivityBuilder presentValueSensitivityNominalFromZSpread( ResolvedFixedCouponBond bond, IssuerCurveDiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) { Payment nominal = bond.getNominalPayment(); PointSensitivityBuilder pt = nominalPricer.presentValueSensitivityWithSpread( nominal, discountFactors.getDiscountFactors(), zSpread, compoundedRateType, periodsPerYear); if (pt instanceof ZeroRateSensitivity) { return IssuerCurveZeroRateSensitivity.of((ZeroRateSensitivity) pt, discountFactors.getLegalEntityGroup()); } return pt; // NoPointSensitivity }
public void test_of_withoutSensitivityCurrency() { IssuerCurveZeroRateSensitivity test = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); assertEquals(test.getLegalEntityGroup(), GROUP); assertEquals(test.getCurveCurrency(), CURRENCY); assertEquals(test.getCurrency(), CURRENCY); assertEquals(test.getYearFraction(), YEARFRAC); assertEquals(test.getSensitivity(), VALUE); }
public void test_of_withSensitivityCurrency() { Currency sensiCurrency = GBP; IssuerCurveZeroRateSensitivity test = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, sensiCurrency, GROUP, VALUE); assertEquals(test.getLegalEntityGroup(), GROUP); assertEquals(test.getCurveCurrency(), CURRENCY); assertEquals(test.getCurrency(), sensiCurrency); assertEquals(test.getYearFraction(), YEARFRAC); assertEquals(test.getSensitivity(), VALUE); }
public void test_presentValueSensitivity() { PointSensitivityBuilder computed = PRICER.presentValueSensitivity(PAYMENT_PERIOD, ISSUER_CURVE); PointSensitivityBuilder expected = IssuerCurveZeroRateSensitivity.of( DSC_FACTORS.zeroRatePointSensitivity(END_ADJUSTED).multipliedBy(FIXED_RATE * NOTIONAL * YEAR_FRACTION), GROUP); assertEquals(computed, expected); }
public void test_zeroRatePointSensitivity() { IssuerCurveDiscountFactors base = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP); IssuerCurveZeroRateSensitivity expected = IssuerCurveZeroRateSensitivity.of(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER), GROUP); IssuerCurveZeroRateSensitivity computed = base.zeroRatePointSensitivity(DATE_AFTER); assertEquals(computed, expected); }
public void test_zeroRatePointSensitivity_USD() { IssuerCurveDiscountFactors base = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP); IssuerCurveZeroRateSensitivity expected = IssuerCurveZeroRateSensitivity.of(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD), GROUP); IssuerCurveZeroRateSensitivity computed = base.zeroRatePointSensitivity(DATE_AFTER, USD); assertEquals(computed, expected); }
public void test_presentValueSensitivityWithSpread() { PointSensitivityBuilder computed = PRICER.presentValueSensitivityWithSpread( PAYMENT_PERIOD, ISSUER_CURVE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); PointSensitivityBuilder expected = IssuerCurveZeroRateSensitivity.of( DSC_FACTORS.zeroRatePointSensitivityWithSpread(END_ADJUSTED, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR) .multipliedBy(FIXED_RATE * NOTIONAL * YEAR_FRACTION), GROUP); assertEquals(computed, expected); }
public void test_buildInto() { IssuerCurveZeroRateSensitivity base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); MutablePointSensitivities combo = new MutablePointSensitivities(); MutablePointSensitivities test = base.buildInto(combo); assertSame(test, combo); assertEquals(test.getSensitivities(), ImmutableList.of(base)); }
public void test_of_zeroRateSensitivity() { Currency sensiCurrency = GBP; ZeroRateSensitivity zeroSensi = ZeroRateSensitivity.of(CURRENCY, YEARFRAC, sensiCurrency, VALUE); IssuerCurveZeroRateSensitivity test = IssuerCurveZeroRateSensitivity.of(zeroSensi, GROUP); assertEquals(test.getLegalEntityGroup(), GROUP); assertEquals(test.getCurveCurrency(), CURRENCY); assertEquals(test.getCurrency(), sensiCurrency); assertEquals(test.getYearFraction(), YEARFRAC); assertEquals(test.getSensitivity(), VALUE); }
public void test_withSensitivity() { IssuerCurveZeroRateSensitivity base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); double newValue = 53d; IssuerCurveZeroRateSensitivity test = base.withSensitivity(newValue); assertEquals(test.getLegalEntityGroup(), GROUP); assertEquals(test.getCurveCurrency(), CURRENCY); assertEquals(test.getCurrency(), CURRENCY); assertEquals(test.getYearFraction(), YEARFRAC); assertEquals(test.getSensitivity(), newValue); }
public void test_withCurrency() { IssuerCurveZeroRateSensitivity base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE); IssuerCurveZeroRateSensitivity test = base.withCurrency(GBP); assertEquals(test.getLegalEntityGroup(), GROUP); assertEquals(test.getCurveCurrency(), CURRENCY); assertEquals(test.getCurrency(), GBP); assertEquals(test.getYearFraction(), YEARFRAC); assertEquals(test.getSensitivity(), VALUE); }