public virtual void test_createZeroRateSensitivity()
{
IssuerCurveZeroRateSensitivity @base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, GROUP, VALUE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, VALUE);
ZeroRateSensitivity test = @base.createZeroRateSensitivity();
assertEquals(test, expected);
}
/// <summary>
/// Calculates the curve parameter sensitivity from the point sensitivity.
/// <para>
/// This is used to convert a single point sensitivity to curve parameter sensitivity.
/// The calculation typically involves multiplying the point and unit sensitivities.
///
/// </para>
/// </summary>
/// <param name="pointSensitivity"> the point sensitivity to convert </param>
/// <returns> the parameter sensitivity </returns>
/// <exception cref="RuntimeException"> if the result cannot be calculated </exception>
public CurrencyParameterSensitivities parameterSensitivity(IssuerCurveZeroRateSensitivity pointSensitivity)
{
return(discountFactors.parameterSensitivity(pointSensitivity.createZeroRateSensitivity()));
}
public virtual void test_curveParameterSensitivity()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).valuationDate(DATE).build();
LocalDate refDate = date(2018, 11, 24);
IssuerCurveZeroRateSensitivity sensi1 = test.issuerCurveDiscountFactors(ID_ISSUER, GBP).zeroRatePointSensitivity(refDate, GBP);
RepoCurveZeroRateSensitivity sensi2 = test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP).zeroRatePointSensitivity(refDate, GBP);
PointSensitivities sensi = PointSensitivities.of(sensi1, sensi2);
CurrencyParameterSensitivities computed = test.parameterSensitivity(sensi);
CurrencyParameterSensitivities expected = DSC_FACTORS_ISSUER.parameterSensitivity(sensi1.createZeroRateSensitivity()).combinedWith(DSC_FACTORS_REPO.parameterSensitivity(sensi2.createZeroRateSensitivity()));
assertTrue(computed.equalWithTolerance(expected, 1.0e-12));
}
