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 coverage()
{
RepoCurveDiscountFactors test1 = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
coverImmutableBean(test1);
RepoCurveDiscountFactors test2 = RepoCurveDiscountFactors.of(ZeroRateDiscountFactors.of(USD, DATE, CURVE), RepoGroup.of("ISSUER2"));
coverBeanEquals(test1, test2);
}
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 test_of()
{
RepoCurveDiscountFactors test = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
assertEquals(test.RepoGroup, GROUP);
assertEquals(test.Currency, GBP);
assertEquals(test.ValuationDate, DATE);
assertEquals(test.discountFactor(DATE_AFTER), DSC_FACTORS.discountFactor(DATE_AFTER));
}
public virtual void test_builder_noValuationDate()
{
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)).build();
assertEquals(test.issuerCurveDiscountFactors(ID_ISSUER, GBP), IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
assertEquals(test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP), RepoCurveDiscountFactors.of(DSC_FACTORS_REPO, GROUP_REPO_ISSUER));
assertEquals(test.repoCurveDiscountFactors(ID_ISSUER, GBP), RepoCurveDiscountFactors.of(DSC_FACTORS_REPO, GROUP_REPO_ISSUER));
assertEquals(test.ValuationDate, DATE);
}
// lookup the discount factors for the repo group
private RepoCurveDiscountFactors repoCurveDiscountFactors(RepoGroup repoGroup, Currency currency)
{
DiscountFactors discountFactors = repoCurves.get(Pair.of(repoGroup, currency));
if (discountFactors == null)
{
throw new System.ArgumentException("Unable to find repo curve: " + repoGroup + ", " + currency);
}
return(RepoCurveDiscountFactors.of(discountFactors, repoGroup));
}
