//-------------------------------------------------------------------------
public virtual void test_createParameterSensitivity()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
DoubleArray sensitivities = DoubleArray.of(0.12, 0.15);
CurrencyParameterSensitivities sens = test.createParameterSensitivity(USD, sensitivities);
assertEquals(sens.Sensitivities.get(0), CURVE.createParameterSensitivity(USD, sensitivities));
}
//-------------------------------------------------------------------------
public virtual void test_createParameterSensitivity()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
DoubleArray sensitivities = DoubleArray.of(0.12, 0.1, 0.49, 0.15, 0.56, 0.17, 0.32, 0.118, 0.456, 5.0, 12.0, 0.65, 0.34, 0.75, 0.12, 0.15, 0.12, 0.15, 0.04);
CurrencyParameterSensitivities sens = test.createParameterSensitivity(USD, sensitivities);
assertEquals(sens.Sensitivities.get(0), CURVE.createParameterSensitivity(USD, sensitivities));
}
public virtual void pvCurveSensiRegression()
{
PointSensitivityBuilder point = PRICER.presentValueSensitivityRatesStickyStrike(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point.build());
computed.getSensitivity(DSC_NAME, EUR).Sensitivity;
DoubleArray dscSensi = DoubleArray.of(0.0, 0.0, 0.0, -7143525.908886078, -1749520.4110068753, -719115.4683096837); // 2.x
DoubleArray fwdSensi = DoubleArray.of(0d, 0d, 0d, 1.7943318714062232E8, -3.4987983718159467E8, -2.6516758066404995E8); // 2.x
CurrencyParameterSensitivity dsc = DSC_CURVE.createParameterSensitivity(EUR, dscSensi);
CurrencyParameterSensitivity fwd = FWD6_CURVE.createParameterSensitivity(EUR, fwdSensi);
CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of(ImmutableList.of(dsc, fwd));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * TOL));
}
