public virtual void test_parameterSensitivity()
{
ZeroRateSensitivity zeroPt = ZeroRateSensitivity.of(USD, 10d, 5d);
CreditCurveZeroRateSensitivity creditPt = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY_ABC, JPY, 2d, 3d);
FxForwardSensitivity fxPt = FxForwardSensitivity.of(CurrencyPair.of(JPY, USD), USD, LocalDate.of(2017, 2, 14), 15d);
CreditRatesProvider test = ImmutableCreditRatesProvider.builder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_ABC, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_USD), Pair.of(LEGAL_ENTITY_ABC, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_JPY), Pair.of(LEGAL_ENTITY_DEF, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_DEF, CRD_DEF))).discountCurves(ImmutableMap.of(USD, DSC_USD, JPY, DSC_JPY)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_ABC, RR_ABC, LEGAL_ENTITY_DEF, RR_DEF)).valuationDate(VALUATION).build();
CurrencyParameterSensitivities computed = test.parameterSensitivity(zeroPt.combinedWith(creditPt).combinedWith(fxPt).build());
CurrencyParameterSensitivities expected = DSC_USD.parameterSensitivity(zeroPt).combinedWith(LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_JPY).parameterSensitivity(creditPt));
assertTrue(computed.equalWithTolerance(expected, 1.0e-14));
}
//-------------------------------------------------------------------------
// proper end-to-end FD tests are in pricer test
public virtual void test_parameterSensitivity()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
ZeroRateSensitivity point = ZeroRateSensitivity.of(USD, 1d, 1d);
assertEquals(test.parameterSensitivity(point).size(), 1);
}
//-------------------------------------------------------------------------
public virtual void test_unitParameterSensitivity()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER);
double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, DATE_AFTER);
CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of(CURVE.yValueParameterSensitivity(relativeYearFraction).multipliedBy(sens.Currency, sens.Sensitivity));
assertEquals(test.parameterSensitivity(sens), expected);
}
