public virtual void test_sensitivities()
{
ParameterizedFunctionalCurve test = ParameterizedFunctionalCurve.of(METADATA, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
DoubleArray sensiVal = DoubleArray.of(1d, 2d, 3d);
assertEquals(test.createParameterSensitivity(sensiVal), UnitParameterSensitivity.of(METADATA.CurveName, METADATA.ParameterMetadata.get(), sensiVal));
assertEquals(test.createParameterSensitivity(USD, sensiVal), CurrencyParameterSensitivity.of(METADATA.CurveName, METADATA.ParameterMetadata.get(), USD, sensiVal));
}
//-------------------------------------------------------------------------
public virtual void test_values()
{
ParameterizedFunctionalCurve test = ParameterizedFunctionalCurve.of(METADATA, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
double x = 5.2;
assertEquals(test.yValue(x), VALUE_FUNCTION.apply(PARAMETERS, x));
assertEquals(test.firstDerivative(x), DERIVATIVE_FUNCTION.apply(PARAMETERS, x));
assertEquals(test.yValueParameterSensitivity(x), UnitParameterSensitivity.of(METADATA.CurveName, METADATA.ParameterMetadata.get(), SENSITIVITY_FUNCTION.apply(PARAMETERS, x)));
}
public UnitParameterSensitivity yValueParameterSensitivity(double x)
{
int i = seasonalityIndex(x);
double adjustment = seasonality.get(i);
double derivativeFactor = 0d;
if (adjustmentType.Equals(ShiftType.ABSOLUTE))
{
derivativeFactor = 1d;
}
else if (adjustmentType.Equals(ShiftType.SCALED))
{
derivativeFactor = adjustment;
}
else
{
throw new System.ArgumentException("ShiftType " + adjustmentType + " is not supported for sensitivities");
}
// remove the first point from the underlying sensitivity
UnitParameterSensitivity u = underlying.yValueParameterSensitivity(x);
UnitParameterSensitivity u2 = UnitParameterSensitivity.of(u.MarketDataName, u.ParameterMetadata.subList(1, u.ParameterMetadata.size()), u.Sensitivity.subArray(1));
return(u2.multipliedBy(derivativeFactor));
}
public UnitParameterSensitivity yValueParameterSensitivity(double x)
{
ImmutableList <ParameterMetadata> paramMeta = ImmutableList.of(getParameterMetadata(0));
return(UnitParameterSensitivity.of(metadata.CurveName, paramMeta, SENSITIVITY));
}
//-------------------------------------------------------------------------
public override UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities)
{
return(UnitParameterSensitivity.of(Name, parameterMetadata, sensitivities));
}
public UnitParameterSensitivity zValueParameterSensitivity(double x, double y)
{
return(Metadata.ParameterMetadata.Present ? UnitParameterSensitivity.of(Metadata.SurfaceName, Metadata.ParameterMetadata.get(), deformationFunction.apply(DoublesPair.of(x, y)).Derivatives) : UnitParameterSensitivity.of(Metadata.SurfaceName, deformationFunction.apply(DoublesPair.of(x, y)).Derivatives));
}
//-------------------------------------------------------------------------
public virtual void test_createParameterSensitivity()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR);
assertThat(test.createParameterSensitivity(DoubleArray.of(2d, 3d, 4d))).isEqualTo(UnitParameterSensitivity.of(CURVE_NAME, DoubleArray.of(2d, 3d, 4d)));
assertThat(test.createParameterSensitivity(Currency.GBP, DoubleArray.of(2d, 3d, 4d))).isEqualTo(CurrencyParameterSensitivity.of(CURVE_NAME, Currency.GBP, DoubleArray.of(2d, 3d, 4d)));
}