public virtual void test_cloned()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity test = @base.cloned();
assertEquals(test, @base);
}
public virtual void test_createZeroRateSensitivity()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, GROUP, VALUE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, VALUE);
ZeroRateSensitivity test = @base.createZeroRateSensitivity();
assertEquals(test, expected);
}
public virtual void test_mapSensitivity()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, 1d / VALUE);
RepoCurveZeroRateSensitivity test = @base.mapSensitivity(s => 1d / s);
assertEquals(test, expected);
}
public virtual void test_zeroRatePointSensitivity_USD()
{
RepoCurveDiscountFactors @base = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD), GROUP);
RepoCurveZeroRateSensitivity computed = @base.zeroRatePointSensitivity(DATE_AFTER, USD);
assertEquals(computed, expected);
}
public virtual void test_buildInto()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
double rate = 2.4d;
RepoCurveZeroRateSensitivity test = @base.multipliedBy(rate);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE * rate);
assertEquals(test, expected);
}
public int compareKey(PointSensitivity other)
{
if (other is RepoCurveZeroRateSensitivity)
{
RepoCurveZeroRateSensitivity otherZero = (RepoCurveZeroRateSensitivity)other;
return(ComparisonChain.start().compare(curveCurrency, otherZero.curveCurrency).compare(currency, otherZero.currency).compare(yearFraction, otherZero.yearFraction).compare(repoGroup, otherZero.repoGroup).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public virtual void test_parameterSensitivity()
{
RepoCurveDiscountFactors @base = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
RepoCurveZeroRateSensitivity sensi = @base.zeroRatePointSensitivity(DATE_AFTER, USD);
CurrencyParameterSensitivities computed = @base.parameterSensitivity(sensi);
CurrencyParameterSensitivities expected = DSC_FACTORS.parameterSensitivity(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD));
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
RepoCurveZeroRateSensitivity test1 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
coverImmutableBean(test1);
RepoCurveZeroRateSensitivity test2 = RepoCurveZeroRateSensitivity.of(GBP, YEARFRAC2, RepoGroup.of("ISSUER2 BND 5Y"), 12d);
coverBeanEquals(test1, test2);
}
public virtual void test_of_withoutSensitivityCurrency()
{
RepoCurveZeroRateSensitivity test = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
assertEquals(test.RepoGroup, GROUP);
assertEquals(test.CurveCurrency, CURRENCY);
assertEquals(test.Currency, CURRENCY);
assertEquals(test.YearFraction, YEARFRAC);
assertEquals(test.Sensitivity, VALUE);
}
//-------------------------------------------------------------------------
private PointSensitivities presentValueSensitivitySettlement(Payment settlement, RepoCurveDiscountFactors repoDf)
{
PointSensitivityBuilder pointSettle = paymentPricer.presentValueSensitivity(settlement, repoDf.DiscountFactors);
if (pointSettle is ZeroRateSensitivity)
{
return(RepoCurveZeroRateSensitivity.of((ZeroRateSensitivity)pointSettle, repoDf.RepoGroup).build());
}
return(pointSettle.build()); // NoPointSensitivity
}
public virtual void test_withSensitivity()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
double newValue = 53d;
RepoCurveZeroRateSensitivity test = @base.withSensitivity(newValue);
assertEquals(test.RepoGroup, GROUP);
assertEquals(test.CurveCurrency, CURRENCY);
assertEquals(test.Currency, CURRENCY);
assertEquals(test.YearFraction, YEARFRAC);
assertEquals(test.Sensitivity, newValue);
}
private PointSensitivityBuilder presentValueSensitivityPayment(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
{
RepoCurveDiscountFactors repoDf = DiscountingFixedCouponBondProductPricer.repoCurveDf(trade.Product, provider);
Payment upfrontPayment = this.upfrontPayment(trade);
PointSensitivityBuilder pt = paymentPricer.presentValueSensitivity(upfrontPayment, repoDf.DiscountFactors);
if (pt is ZeroRateSensitivity)
{
return(RepoCurveZeroRateSensitivity.of((ZeroRateSensitivity)pt, repoDf.RepoGroup));
}
return(pt); // NoPointSensitivity
}
public virtual void test_curveParameterSensitivity()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).valuationDate(DATE).build();
LocalDate refDate = date(2018, 11, 24);
IssuerCurveZeroRateSensitivity sensi1 = test.issuerCurveDiscountFactors(ID_ISSUER, GBP).zeroRatePointSensitivity(refDate, GBP);
RepoCurveZeroRateSensitivity sensi2 = test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP).zeroRatePointSensitivity(refDate, GBP);
PointSensitivities sensi = PointSensitivities.of(sensi1, sensi2);
CurrencyParameterSensitivities computed = test.parameterSensitivity(sensi);
CurrencyParameterSensitivities expected = DSC_FACTORS_ISSUER.parameterSensitivity(sensi1.createZeroRateSensitivity()).combinedWith(DSC_FACTORS_REPO.parameterSensitivity(sensi2.createZeroRateSensitivity()));
assertTrue(computed.equalWithTolerance(expected, 1.0e-12));
}
public virtual void test_of_zeroRateSensitivity()
{
Currency sensiCurrency = GBP;
ZeroRateSensitivity zeroSensi = ZeroRateSensitivity.of(CURRENCY, YEARFRAC, sensiCurrency, VALUE);
RepoCurveZeroRateSensitivity test = RepoCurveZeroRateSensitivity.of(zeroSensi, GROUP);
assertEquals(test.RepoGroup, GROUP);
assertEquals(test.CurveCurrency, CURRENCY);
assertEquals(test.Currency, sensiCurrency);
assertEquals(test.YearFraction, YEARFRAC);
assertEquals(test.Sensitivity, VALUE);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
RepoCurveZeroRateSensitivity other = (RepoCurveZeroRateSensitivity)obj;
return(JodaBeanUtils.equal(curveCurrency, other.curveCurrency) && JodaBeanUtils.equal(yearFraction, other.yearFraction) && JodaBeanUtils.equal(currency, other.currency) && JodaBeanUtils.equal(repoGroup, other.repoGroup) && JodaBeanUtils.equal(sensitivity, other.sensitivity));
}
return(false);
}
public virtual void test_convertedTo()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
double rate = 1.5d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
RepoCurveZeroRateSensitivity test1 = @base.convertedTo(USD, matrix);
assertEquals(test1, @base);
RepoCurveZeroRateSensitivity test2 = @base.convertedTo(GBP, matrix);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, GROUP, VALUE / rate);
assertEquals(test2, expected);
}
public virtual void test_compareKey()
{
RepoCurveZeroRateSensitivity a1 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity a2 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity b = RepoCurveZeroRateSensitivity.of(GBP, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity c = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC2, GROUP, VALUE);
RepoCurveZeroRateSensitivity d = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, RepoGroup.of("ISSUER1 BND 3Y"), VALUE);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) > 0, true);
assertEquals(b.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) > 0, true);
assertEquals(other.compareKey(a1) < 0, true);
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)
{
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
foreach (PointSensitivity point in pointSensitivities.Sensitivities)
{
if (point is RepoCurveZeroRateSensitivity)
{
RepoCurveZeroRateSensitivity pt = (RepoCurveZeroRateSensitivity)point;
RepoCurveDiscountFactors factors = repoCurveDiscountFactors(pt.RepoGroup, pt.CurveCurrency);
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
else if (point is IssuerCurveZeroRateSensitivity)
{
IssuerCurveZeroRateSensitivity pt = (IssuerCurveZeroRateSensitivity)point;
IssuerCurveDiscountFactors factors = issuerCurveDiscountFactors(pt.LegalEntityGroup, pt.CurveCurrency);
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
}
return(sens);
}
public virtual void test_pvsensiZSpread_settle_after_val()
{
PointSensitivities pvsensiComputed = PRICER_TRADE.presentValueSensitivityWithZSpread(BILL_TRADE_SETTLE_AFTER_VAL, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
PointSensitivities pvsensiExpected = PRICER_PRODUCT.presentValueSensitivityWithZSpread(BILL_PRODUCT.resolve(REF_DATA), PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0).multipliedBy(QUANTITY).combinedWith(RepoCurveZeroRateSensitivity.of((ZeroRateSensitivity)PRICER_PAYMENT.presentValueSensitivity(BILL_TRADE_SETTLE_AFTER_VAL.Settlement.get(), PROVIDER.repoCurveDiscountFactors(BILL_PRODUCT.SecurityId, BILL_PRODUCT.LegalEntityId, BILL_PRODUCT.Currency).DiscountFactors), GROUP_REPO).build());
assertTrue(pvsensiComputed.equalWithTolerance(pvsensiExpected, TOLERANCE_PVSENSI));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(pvsensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER_TRADE.presentValueWithZSpread(BILL_TRADE_SETTLE_AFTER_VAL, p, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT * QUANTITY));
}
/// <summary>
/// Calculates the curve parameter sensitivity from the point sensitivity.
/// <para>
/// This is used to convert a single point sensitivity to curve parameter sensitivity.
/// The calculation typically involves multiplying the point and unit sensitivities.
///
/// </para>
/// </summary>
/// <param name="pointSensitivity"> the point sensitivity to convert </param>
/// <returns> the parameter sensitivity </returns>
/// <exception cref="RuntimeException"> if the result cannot be calculated </exception>
public CurrencyParameterSensitivities parameterSensitivity(RepoCurveZeroRateSensitivity pointSensitivity)
{
return(discountFactors.parameterSensitivity(pointSensitivity.createZeroRateSensitivity()));
}
/// <summary>
/// Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
/// <para>
/// This returns a sensitivity instance referring to the zero rate sensitivity of the curve
/// used to determine the discount factor.
/// The sensitivity typically has the value {@code (-discountFactor * relativeYearFraction)}.
/// The sensitivity refers to the result of <seealso cref="#discountFactor(LocalDate)"/>.
/// </para>
/// <para>
/// This method allows the currency of the sensitivity to differ from the currency of the curve.
///
/// </para>
/// </summary>
/// <param name="date"> the date to discount to </param>
/// <param name="sensitivityCurrency"> the currency of the sensitivity </param>
/// <returns> the point sensitivity of the zero rate </returns>
/// <exception cref="RuntimeException"> if the result cannot be calculated </exception>
public RepoCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency)
{
ZeroRateSensitivity zeroRateSensitivity = discountFactors.zeroRatePointSensitivity(date, sensitivityCurrency);
return(RepoCurveZeroRateSensitivity.of(zeroRateSensitivity, repoGroup));
}
public virtual void test_serialization()
{
RepoCurveZeroRateSensitivity test = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
assertSerialization(test);
}