//-------------------------------------------------------------------------
// proper end-to-end FD tests are elsewhere
public virtual void test_parameterSensitivity()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity point = ZeroRateSensitivity.of(GBP, 1d, 1d);
assertEquals(test.parameterSensitivity(point).size(), 1);
}
//-------------------------------------------------------------------------
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_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);
}