//-------------------------------------------------------------------------
public virtual void test_periodRatePointSensitivity()
{
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES);
OvernightRateSensitivity expected = OvernightRateSensitivity.ofPeriod(GBP_SONIA_AFTER, DATE_AFTER_END, GBP, 1d);
assertEquals(test.periodRatePointSensitivity(GBP_SONIA_AFTER, DATE_AFTER_END), expected);
}
public virtual void test_periodRatePointSensitivity_onholidaybeforepublication()
{
LocalDate lastFixingDate = LocalDate.of(2017, 6, 30);
LocalDate gbdBeforeValDate = LocalDate.of(2017, 7, 3);
LocalDate gbdAfterValDate = LocalDate.of(2017, 7, 5);
double fixingValue = 0.0010;
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(-1.0d, 10.0d), DoubleArray.of(0.01, 0.02), INTERPOLATOR);
ZeroRateDiscountFactors df = ZeroRateDiscountFactors.of(USD, LocalDate.of(2017, 7, 4), curve);
LocalDateDoubleTimeSeries series = LocalDateDoubleTimeSeries.builder().put(lastFixingDate, fixingValue).build();
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(USD_FED_FUND, df, series);
OvernightIndexObservation obs = OvernightIndexObservation.of(USD_FED_FUND, gbdBeforeValDate, REF_DATA);
OvernightRateSensitivity expected = OvernightRateSensitivity.ofPeriod(obs, gbdAfterValDate, USD, 1d);
assertEquals(test.periodRatePointSensitivity(obs, gbdAfterValDate), expected);
}
public virtual void test_periodRatePointSensitivity_badDates()
{
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES);
assertThrowsIllegalArg(() => test.periodRatePointSensitivity(GBP_SONIA_AFTER_END, DATE_AFTER));
}
