public virtual void test_getSensitivity_name()
{
assertEquals(SENSI_3.getSensitivity(NAME1, NAME1, USD), ENTRY_USD);
assertEquals(SENSI_3.getSensitivity(NAME1, NAME2, USD), CrossGammaParameterSensitivity.of(NAME1, METADATA1, NAME2, METADATA2, USD, MATRIX_USD2));
assertEquals(SENSI_3.getSensitivity(NAME2, NAME1, USD), CrossGammaParameterSensitivity.of(NAME2, METADATA2, NAME1, METADATA1, USD, MATRIX_USD2));
assertEquals(SENSI_3.getSensitivity(NAME2, NAME2, USD), CrossGammaParameterSensitivity.of(NAME2, METADATA2, NAME2, METADATA2, USD, DoubleMatrix.of(2, 2, -500, -400, -200, -300)));
}
//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
CrossGammaParameterSensitivity @base = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, USD, MATRIX_USD1);
CrossGammaParameterSensitivity test = @base.multipliedBy(FACTOR1);
assertEquals(test, CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, USD, MATRIX_USD_FACTOR));
}
//-------------------------------------------------------------------------
public virtual void test_convertedTo()
{
CrossGammaParameterSensitivity @base = CrossGammaParameterSensitivity.of(NAME1, METADATA_EUR1, EUR, MATRIX_EUR1);
CrossGammaParameterSensitivity test = @base.convertedTo(USD, FX_RATE);
assertEquals(@base.convertedTo(EUR, FX_RATE), @base);
assertEquals(test, CrossGammaParameterSensitivity.of(NAME1, METADATA_EUR1, USD, MATRIX_EUR1_IN_USD));
}
public virtual void test_diagonal_eurUsd()
{
CrossGammaParameterSensitivity @base = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, ImmutableList.of(Pair.of(NAME1, METADATA_USD1), Pair.of(NAME2, METADATA_EUR1)), USD, MATRIX_USD_EUR);
CurrencyParameterSensitivity test = @base.diagonal();
DoubleArray value = DoubleArray.of(MATRIX_USD1.get(0, 0), MATRIX_USD1.get(1, 1));
assertEquals(test, CurrencyParameterSensitivity.of(NAME1, METADATA_USD1, USD, value));
}
public virtual void test_diagonal()
{
CrossGammaParameterSensitivity @base = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, USD, MATRIX_USD1);
CurrencyParameterSensitivity test = @base.diagonal();
DoubleArray value = DoubleArray.of(MATRIX_USD1.get(0, 0), MATRIX_USD1.get(1, 1));
assertEquals(test, CurrencyParameterSensitivity.of(NAME1, METADATA_USD1, USD, value));
}
//-------------------------------------------------------------------------
public virtual void test_withSensitivity()
{
CrossGammaParameterSensitivity @base = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, USD, MATRIX_USD1);
CrossGammaParameterSensitivity test = @base.withSensitivity(MATRIX_USD_FACTOR);
assertEquals(test, CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, USD, MATRIX_USD_FACTOR));
assertThrowsIllegalArg(() => @base.withSensitivity(DoubleMatrix.of(1, 1, 1d)));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
CrossGammaParameterSensitivity test = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, USD, MATRIX_USD1);
coverImmutableBean(test);
CrossGammaParameterSensitivity test2 = CrossGammaParameterSensitivity.of(NAME2, METADATA_EUR1, EUR, MATRIX_EUR1);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_total()
{
CrossGammaParameterSensitivity @base = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, USD, MATRIX_USD1);
CurrencyAmount test = @base.total();
assertEquals(test.Currency, USD);
double expected = MATRIX_USD1.get(0, 0) + MATRIX_USD1.get(0, 1) + MATRIX_USD1.get(1, 0) + MATRIX_USD1.get(1, 1);
assertEquals(test.Amount, expected);
}
public virtual void test_getSensitivity_eurUsd()
{
CrossGammaParameterSensitivity test = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, ImmutableList.of(Pair.of(NAME1, METADATA_USD1), Pair.of(NAME2, METADATA_EUR1)), USD, MATRIX_USD_EUR);
CrossGammaParameterSensitivity expected1 = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, USD, MATRIX_USD1);
assertEquals(test.getSensitivity(NAME1), expected1);
CrossGammaParameterSensitivity expected2 = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, NAME2, METADATA_EUR1, USD, MATRIX_EUR1);
assertEquals(test.getSensitivity(NAME2), expected2);
assertThrowsIllegalArg(() => test.getSensitivity(CurveName.of("NAME-3")));
}
public virtual void test_of_eurUsd()
{
CrossGammaParameterSensitivity test = CrossGammaParameterSensitivity.of(NAME1, METADATA_USD1, ImmutableList.of(Pair.of(NAME1, METADATA_USD1), Pair.of(NAME2, METADATA_EUR1)), USD, MATRIX_USD_EUR);
assertEquals(test.MarketDataName, NAME1);
assertEquals(test.ParameterCount, 2);
assertEquals(test.ParameterMetadata, METADATA_USD1);
assertEquals(test.getParameterMetadata(0), METADATA_USD1[0]);
assertEquals(test.Currency, USD);
assertEquals(test.Sensitivity, MATRIX_USD_EUR);
assertEquals(test.Order, ImmutableList.of(Pair.of(NAME1, METADATA_USD1), Pair.of(NAME2, METADATA_EUR1)));
}
/// <summary>
/// Obtains an instance from a single sensitivity entry.
/// </summary>
/// <param name="sensitivity"> the sensitivity entry </param>
/// <returns> the sensitivities instance </returns>
public static CrossGammaParameterSensitivities of(CrossGammaParameterSensitivity sensitivity)
{
return(new CrossGammaParameterSensitivities(ImmutableList.of(sensitivity)));
}
public virtual void test_of_metadata_badMetadata()
{
assertThrowsIllegalArg(() => CrossGammaParameterSensitivity.of(NAME1, METADATA_BAD, USD, MATRIX_USD1));
}
