//-------------------------------------------------------------------------
public virtual void test_currencyParameterSensitivity_val_date()
{
// Discount factor at valuation date is always 0, no sensitivity.
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_VAL);
assertEquals(test.parameterSensitivity(sens), CurrencyParameterSensitivities.empty());
}
public virtual void test_zeroRatePointSensitivity_sensitivityCurrency()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = CURVE.yValue(relativeYearFraction);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, USD), expected);
}
//-------------------------------------------------------------------------
public virtual void test_currencyParameterSensitivity()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double discountFactor = CURVE.yValue(relativeYearFraction);
CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of(CURVE.yValueParameterSensitivity(relativeYearFraction).multipliedBy(-1d / discountFactor / relativeYearFraction).multipliedBy(sens.Currency, sens.Sensitivity));
assertEquals(test.parameterSensitivity(sens), expected);
}
