//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
ZeroRateSensitivity a1 = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity a2 = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity b = ZeroRateSensitivity.of(USD, YEARFRAC, 32d);
ZeroRateSensitivity c = ZeroRateSensitivity.of(GBP, YEARFRAC2, 32d);
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(other) > 0, true);
assertEquals(other.compareKey(a1) < 0, true);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, 0.0d);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, CONTINUOUS, 0);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.Sensitivity, expected.Sensitivity, TOLERANCE_DELTA_FD);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continous()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 0);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.Sensitivity, expected.Sensitivity, TOLERANCE_DELTA);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_periodic()
{
int periodPerYear = 4;
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactor(DATE_AFTER);
double z = -1.0 / relativeYearFraction * Math.Log(df);
double shift = 1.0E-6;
double zP = z + shift;
double zM = z - shift;
double dfSP = Math.Pow(Math.Pow(Math.Exp(-zP * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear);
double dfSM = Math.Pow(Math.Pow(Math.Exp(-zM * relativeYearFraction), -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear, -relativeYearFraction * periodPerYear);
double ddfSdz = (dfSP - dfSM) / (2 * shift);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, ddfSdz);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, PERIODIC, periodPerYear);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.Sensitivity, expected.Sensitivity, TOLERANCE_DELTA_FD);
}