//-------------------------------------------------------------------------
public virtual void test_build()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public virtual void test_ratePointSensitivity_afterValuation()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
assertEquals(test.ratePointSensitivity(OBS_AFTER, GBP), FxIndexSensitivity.of(OBS_AFTER, GBP, 1d));
assertEquals(test.ratePointSensitivity(OBS_AFTER, USD), FxIndexSensitivity.of(OBS_AFTER, USD, 1d));
}
public virtual void test_ratePointSensitivity_onValuation_noFixing()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES_EMPTY);
assertEquals(test.ratePointSensitivity(OBS_VAL, GBP), FxIndexSensitivity.of(OBS_VAL, GBP, 1d));
assertEquals(test.ratePointSensitivity(OBS_VAL, USD), FxIndexSensitivity.of(OBS_VAL, USD, 1d));
}
//-------------------------------------------------------------------------
public virtual void test_normalize()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
FxIndexSensitivity test = @base.normalize();
assertEquals(test, test);
}
//-------------------------------------------------------------------------
public virtual void test_cloned()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
FxIndexSensitivity test = @base.cloned();
assertSame(test, @base);
}
//-------------------------------------------------------------------------
public virtual void test_withSensitivity()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
FxIndexSensitivity test = @base.withSensitivity(2.5d);
FxIndexSensitivity expected = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, 2.5d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_mapSensitivity()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
FxIndexSensitivity test = @base.mapSensitivity(s => 1d / s);
FxIndexSensitivity expected = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, 1d / SENSITIVITY_VALUE);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
FxIndexSensitivity test = @base.multipliedBy(2.4d);
FxIndexSensitivity expected = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE * 2.4d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_toFxForwardSensitivity()
{
FxIndexSensitivity test = FxIndexSensitivity.of(GBP_USD_WM_OBS, GBP, USD, SENSITIVITY_VALUE);
LocalDate maturityDate = GBP_USD_WM.calculateMaturityFromFixing(FIXING_DATE, REF_DATA);
FxForwardSensitivity expected = FxForwardSensitivity.of(CurrencyPair.of(GBP, USD), GBP, maturityDate, USD, SENSITIVITY_VALUE);
assertEquals(test.toFxForwardSensitivity(), expected);
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public int compareKey(PointSensitivity other)
{
if (other is FxIndexSensitivity)
{
FxIndexSensitivity otherFx = (FxIndexSensitivity)other;
return(ComparisonChain.start().compare(Index.ToString(), otherFx.Index.ToString()).compare(currency, otherFx.currency).compare(referenceCurrency, otherFx.referenceCurrency).compare(observation.FixingDate, otherFx.observation.FixingDate).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FxIndexSensitivity test1 = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
coverImmutableBean(test1);
FxIndexSensitivity test2 = FxIndexSensitivity.of(EUR_GBP_ECB_OBS, GBP, 4.25d);
coverBeanEquals(test1, test2);
}
public virtual void test_of_noCurrency()
{
FxIndexSensitivity test = FxIndexSensitivity.of(GBP_USD_WM_OBS, GBP, SENSITIVITY_VALUE);
assertEquals(test.ReferenceCurrency, GBP);
assertEquals(test.Currency, USD);
assertEquals(test.Index, GBP_USD_WM);
assertEquals(test.Sensitivity, SENSITIVITY_VALUE);
}
public virtual void test_combinedWith_mutable()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(@base);
PointSensitivityBuilder test = @base.combinedWith(new MutablePointSensitivities());
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
//proper end-to-end tests are elsewhere
public virtual void test_parameterSensitivity()
{
ForwardFxIndexRates test = ForwardFxIndexRates.of(GBP_USD_WM, FWD_RATES, SERIES);
FxIndexSensitivity point = FxIndexSensitivity.of(OBS_VAL, GBP, 1d);
assertEquals(test.parameterSensitivity(point).size(), 2);
FxIndexSensitivity point2 = FxIndexSensitivity.of(OBS_VAL, USD, 1d);
assertEquals(test.parameterSensitivity(point2).size(), 2);
}
//-------------------------------------------------------------------------
public virtual void test_combinedWith()
{
FxIndexSensitivity base1 = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
FxIndexSensitivity base2 = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, 4.25d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(base1).add(base2);
PointSensitivityBuilder test = base1.combinedWith(base2);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_withCurrency()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
assertSame(@base.withCurrency(GBP), @base);
FxIndexSensitivity test = @base.withCurrency(JPY);
FxIndexSensitivity expected = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, JPY, SENSITIVITY_VALUE);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public PointSensitivityBuilder ratePointSensitivity(FxIndexObservation observation, Currency baseCurrency)
{
ArgChecker.isTrue(index.CurrencyPair.contains(baseCurrency), "Currency {} invalid for FxIndex {}", baseCurrency, index);
LocalDate fixingDate = observation.FixingDate;
if (fixingDate.isBefore(ValuationDate) || (fixingDate.Equals(ValuationDate) && fixings.get(fixingDate).HasValue))
{
return(PointSensitivityBuilder.none());
}
return(FxIndexSensitivity.of(observation, baseCurrency, 1d));
}
//-------------------------------------------------------------------------
public virtual void test_convertedTo()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, GBP, SENSITIVITY_VALUE);
double rate = 1.35d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(EUR, USD), rate);
FxIndexSensitivity test1 = (FxIndexSensitivity)@base.convertedTo(EUR, matrix);
FxIndexSensitivity expected = FxIndexSensitivity.of(GBP_USD_WM_OBS, GBP, EUR, SENSITIVITY_VALUE / rate);
assertEquals(test1, expected);
FxIndexSensitivity test2 = (FxIndexSensitivity)@base.convertedTo(USD, matrix);
assertEquals(test2, @base);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FxIndexSensitivity other = (FxIndexSensitivity)obj;
return(JodaBeanUtils.equal(observation, other.observation) && JodaBeanUtils.equal(referenceCurrency, other.referenceCurrency) && JodaBeanUtils.equal(currency, other.currency) && JodaBeanUtils.equal(sensitivity, other.sensitivity));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
FxIndexSensitivity a1 = FxIndexSensitivity.of(GBP_USD_WM_OBS, GBP, USD, SENSITIVITY_VALUE);
FxIndexSensitivity a2 = FxIndexSensitivity.of(GBP_USD_WM_OBS, GBP, USD, SENSITIVITY_VALUE);
FxIndexSensitivity b = FxIndexSensitivity.of(EUR_GBP_ECB_OBS, USD, SENSITIVITY_VALUE);
FxIndexSensitivity c = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
FxIndexSensitivity d = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, JPY, SENSITIVITY_VALUE);
FxIndexSensitivity e = FxIndexSensitivity.of(GBP_USD_WM_OBS2, USD, SENSITIVITY_VALUE);
ZeroRateSensitivity other = ZeroRateSensitivity.of(GBP, 2d, SENSITIVITY_VALUE);
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(d) > 0, true);
assertEquals(d.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(e) > 0, true);
assertEquals(e.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(FxIndexSensitivity pointSensitivity)
{
return(fxForwardRates.parameterSensitivity(pointSensitivity.toFxForwardSensitivity()));
}
public MultiCurrencyAmount currencyExposure(FxIndexSensitivity pointSensitivity)
{
return(fxForwardRates.currencyExposure(pointSensitivity.toFxForwardSensitivity()));
}
public virtual void test_serialization()
{
FxIndexSensitivity test = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
assertSerialization(test);
}
