//-------------------------------------------------------------------------
private static CurrencyParameterSensitivity buildSensitivities(Curve bumpedCurve, ImmutableRatesProvider ratesProvider)
{
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
RatesProvider bumpedRatesProvider = ratesProvider.toBuilder().discountCurves(ratesProvider.DiscountCurves.Keys.collect(toImmutableMap(System.Func.identity(), k => bumpedCurve))).indexCurves(ratesProvider.IndexCurves.Keys.collect(toImmutableMap(System.Func.identity(), k => bumpedCurve))).build();
PointSensitivities pointSensitivities = PRICER_SWAP.presentValueSensitivity(SWAP, bumpedRatesProvider).build();
CurrencyParameterSensitivities paramSensitivities = bumpedRatesProvider.parameterSensitivity(pointSensitivities);
return(Iterables.getOnlyElement(paramSensitivities.Sensitivities));
}
// Checks that different finite difference types and shifts give similar results.
public virtual void semiParallelGammaCoherency()
{
ImmutableRatesProvider provider = SINGLE;
Curve curve = Iterables.getOnlyElement(provider.DiscountCurves.values());
Currency curveCurrency = SINGLE_CURRENCY;
double toleranceCoherency = 1.0E+5;
CurveGammaCalculator calculatorForward5 = CurveGammaCalculator.ofForwardDifference(FD_SHIFT);
CurveGammaCalculator calculatorBackward5 = CurveGammaCalculator.ofBackwardDifference(FD_SHIFT);
CurveGammaCalculator calculatorCentral4 = CurveGammaCalculator.ofCentralDifference(1.0E-4);
DoubleArray gammaCentral5 = GAMMA_CAL.calculateSemiParallelGamma(curve, curveCurrency, c => buildSensitivities(c, provider)).Sensitivity;
DoubleArray gammaForward5 = calculatorForward5.calculateSemiParallelGamma(curve, curveCurrency, c => buildSensitivities(c, provider)).Sensitivity;
assertTrue(gammaForward5.equalWithTolerance(gammaCentral5, toleranceCoherency));
DoubleArray gammaBackward5 = calculatorBackward5.calculateSemiParallelGamma(curve, curveCurrency, c => buildSensitivities(c, provider)).Sensitivity;
assertTrue(gammaForward5.equalWithTolerance(gammaBackward5, toleranceCoherency));
DoubleArray gammaCentral4 = calculatorCentral4.calculateSemiParallelGamma(curve, curveCurrency, c => buildSensitivities(c, provider)).Sensitivity;
assertTrue(gammaForward5.equalWithTolerance(gammaCentral4, toleranceCoherency));
}
