Example #1
0
        //-------------------------------------------------------------------------
        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));
        }