//-------------------------------------------------------------------------
public virtual void test_cashFlowEquivalentAndSensitivity()
{
ResolvedSwap swap = ResolvedSwap.of(IBOR_LEG, FIXED_LEG);
ImmutableMap <Payment, PointSensitivityBuilder> computedFull = CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap, PROVIDER);
ImmutableList <Payment> keyComputedFull = computedFull.Keys.asList();
ImmutableList <PointSensitivityBuilder> valueComputedFull = computedFull.values().asList();
ImmutableMap <Payment, PointSensitivityBuilder> computedIborLeg = CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityIborLeg(IBOR_LEG, PROVIDER);
ImmutableMap <Payment, PointSensitivityBuilder> computedFixedLeg = CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityFixedLeg(FIXED_LEG, PROVIDER);
assertEquals(computedFixedLeg.Keys.asList(), keyComputedFull.subList(0, 2));
assertEquals(computedIborLeg.Keys.asList(), keyComputedFull.subList(2, 6));
assertEquals(computedFixedLeg.values().asList(), valueComputedFull.subList(0, 2));
assertEquals(computedIborLeg.values().asList(), valueComputedFull.subList(2, 6));
double eps = 1.0e-7;
RatesFiniteDifferenceSensitivityCalculator calc = new RatesFiniteDifferenceSensitivityCalculator(eps);
int size = keyComputedFull.size();
for (int i = 0; i < size; ++i)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int index = i;
int index = i;
CurrencyParameterSensitivities expected = calc.sensitivity(PROVIDER, p => ((NotionalExchange)CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, p).PaymentEvents.get(index)).PaymentAmount);
SwapPaymentEvent @event = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, PROVIDER).PaymentEvents.get(index);
PointSensitivityBuilder point = computedFull.get(((NotionalExchange)@event).Payment);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point.build());
assertTrue(computed.equalWithTolerance(expected, eps * NOTIONAL));
}
}
public virtual void test_cashFlowEquivalentAndSensitivity_wrongSwap()
{
ResolvedSwap swap1 = ResolvedSwap.of(IBOR_LEG, FIXED_LEG, IBOR_LEG);
assertThrowsIllegalArg(() => CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap1, PROVIDER));
ResolvedSwap swap2 = ResolvedSwap.of(FIXED_LEG, FIXED_LEG);
assertThrowsIllegalArg(() => CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap2, PROVIDER));
ResolvedSwap swap3 = ResolvedSwap.of(FIXED_LEG, CashFlowEquivalentCalculator.cashFlowEquivalentIborLeg(IBOR_LEG, PROVIDER));
assertThrowsIllegalArg(() => CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap3, PROVIDER));
}
public virtual void test_cashFlowEquivalentAndSensitivity_compounding()
{
RatePaymentPeriod iborCmp = RatePaymentPeriod.builder().paymentDate(PAYMENT2).accrualPeriods(IBOR1, IBOR2).dayCount(ACT_365F).currency(GBP).notional(-NOTIONAL).build();
ResolvedSwapLeg iborLegCmp = ResolvedSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(iborCmp).build();
ResolvedSwap swap1 = ResolvedSwap.of(iborLegCmp, FIXED_LEG);
assertThrowsIllegalArg(() => CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap1, PROVIDER));
RatePaymentPeriod fixedCmp = RatePaymentPeriod.builder().paymentDate(PAYMENT2).accrualPeriods(FIXED1, FIXED2).dayCount(ACT_365F).currency(GBP).notional(NOTIONAL).build();
ResolvedSwapLeg fixedLegCmp = ResolvedSwapLeg.builder().type(FIXED).payReceive(RECEIVE).paymentPeriods(fixedCmp).build();
ResolvedSwap swap2 = ResolvedSwap.of(IBOR_LEG, fixedLegCmp);
assertThrowsIllegalArg(() => CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap2, PROVIDER));
}
