public virtual void test_zeroRatePointSensitivity_sensitivityCurrency()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactor(DATE_AFTER);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, USD), expected);
}
//-------------------------------------------------------------------------
//-------------------------------------------------------------------------
public virtual void test_parameterSensitivity()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double sensiValue = 25d;
ZeroRateSensitivity point = test.zeroRatePointSensitivity(DATE_AFTER);
point = point.multipliedBy(sensiValue);
CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point);
assertEquals(sensiObject.size(), 1);
CurrencyParameterSensitivity sensi1 = sensiObject.Sensitivities.get(0);
assertEquals(sensi1.Currency, GBP);
}
//-------------------------------------------------------------------------
public virtual void test_parameterSensitivity_full()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double sensiValue = 25d;
ZeroRateSensitivity point = test.zeroRatePointSensitivity(DATE_AFTER);
point = point.multipliedBy(sensiValue);
CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point);
assertEquals(sensiObject.Sensitivities.size(), 1);
DoubleArray sensi0 = sensiObject.Sensitivities.get(0).Sensitivity;
double shift = 1.0E-6;
for (int i = 0; i < X.size(); i++)
{
DoubleArray yP = Y.with(i, Y.get(i) + shift);
InterpolatedNodalCurve curveP = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yP, INTERPOLATOR);
double dfP = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveP).discountFactor(DATE_AFTER);
DoubleArray yM = Y.with(i, Y.get(i) - shift);
InterpolatedNodalCurve curveM = InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yM, INTERPOLATOR);
double dfM = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveM).discountFactor(DATE_AFTER);
assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD);
}
}