public virtual void test_equalWithTolerance_true()
{
PointSensitivity cs1b = DummyPointSensitivity.of(GBP, date(2015, 6, 30), 12.1d);
PointSensitivities test1 = PointSensitivities.of(Lists.newArrayList(CS3, CS1)).normalized();
PointSensitivities test2 = PointSensitivities.of(Lists.newArrayList(CS3, cs1b)).normalized();
assertTrue(test1.equalWithTolerance(test2, 1.0E-1));
}
public int compareKey(PointSensitivity other)
{
if (other is DummyPointSensitivity)
{
DummyPointSensitivity otherZero = (DummyPointSensitivity)other;
return(ComparisonChain.start().compare(curveCurrency, otherZero.curveCurrency).compare(currency, otherZero.currency).compare(date, otherZero.date).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is InflationRateSensitivity)
{
InflationRateSensitivity otherInflation = (InflationRateSensitivity)other;
return(ComparisonChain.start().compare(Index.ToString(), otherInflation.Index.ToString()).compare(currency, otherInflation.currency).compare(observation.FixingMonth, otherInflation.observation.FixingMonth).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is SwaptionSensitivity)
{
SwaptionSensitivity otherSwpt = (SwaptionSensitivity)other;
return(ComparisonChain.start().compare(volatilitiesName, otherSwpt.volatilitiesName).compare(currency, otherSwpt.currency).compare(expiry, otherSwpt.expiry).compare(tenor, otherSwpt.tenor).compare(strike, otherSwpt.strike).compare(forward, otherSwpt.forward).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is BondFutureOptionSensitivity)
{
BondFutureOptionSensitivity otherOption = (BondFutureOptionSensitivity)other;
return(ComparisonChain.start().compare(volatilitiesName.ToString(), otherOption.volatilitiesName.ToString()).compare(expiry, otherOption.expiry).compare(futureExpiryDate, otherOption.futureExpiryDate).compare(strikePrice, otherOption.strikePrice).compare(futurePrice, otherOption.futurePrice).compare(currency, otherOption.currency).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is FxForwardSensitivity)
{
FxForwardSensitivity otherFx = (FxForwardSensitivity)other;
return(ComparisonChain.start().compare(currencyPair.ToString(), otherFx.currencyPair.ToString()).compare(currency, otherFx.currency).compare(referenceCurrency, otherFx.referenceCurrency).compare(referenceDate, otherFx.referenceDate).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is ZeroRateSensitivity)
{
ZeroRateSensitivity otherZero = (ZeroRateSensitivity)other;
return(ComparisonChain.start().compare(curveCurrency, otherZero.curveCurrency).compare(currency, otherZero.currency).compare(yearFraction, otherZero.yearFraction).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is FxOptionSensitivity)
{
FxOptionSensitivity otherOption = (FxOptionSensitivity)other;
return(ComparisonChain.start().compare(volatilitiesName, otherOption.volatilitiesName).compare(currencyPair.ToString(), otherOption.currencyPair.ToString()).compare(expiry, otherOption.expiry).compare(strike, otherOption.strike).compare(forward, otherOption.forward).compare(currency, otherOption.currency).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is CreditCurveZeroRateSensitivity)
{
CreditCurveZeroRateSensitivity otherZero = (CreditCurveZeroRateSensitivity)other;
return(ComparisonChain.start().compare(zeroRateSensitivity.YearFraction, otherZero.zeroRateSensitivity.YearFraction).compare(zeroRateSensitivity.Currency, otherZero.zeroRateSensitivity.Currency).compare(zeroRateSensitivity.CurveCurrency, otherZero.zeroRateSensitivity.CurveCurrency).compare(legalEntityId, otherZero.legalEntityId).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is FxIndexSensitivity)
{
FxIndexSensitivity otherFx = (FxIndexSensitivity)other;
return(ComparisonChain.start().compare(Index.ToString(), otherFx.Index.ToString()).compare(currency, otherFx.currency).compare(referenceCurrency, otherFx.referenceCurrency).compare(observation.FixingDate, otherFx.observation.FixingDate).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is OvernightRateSensitivity)
{
OvernightRateSensitivity otherOn = (OvernightRateSensitivity)other;
return(ComparisonChain.start().compare(Index.ToString(), otherOn.Index.ToString()).compare(currency, otherOn.currency).compare(observation.FixingDate, otherOn.observation.FixingDate).compare(endDate, otherOn.endDate).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public int compareKey(PointSensitivity other)
{
if (other is IborCapletFloorletSabrSensitivity)
{
IborCapletFloorletSabrSensitivity otherSwpt = (IborCapletFloorletSabrSensitivity)other;
return(ComparisonChain.start().compare(volatilitiesName, otherSwpt.volatilitiesName).compare(currency, otherSwpt.currency).compare(expiry, otherSwpt.expiry).compare(sensitivityType, otherSwpt.sensitivityType).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
//-------------------------------------------------------------------------
public virtual void test_convertedTo_singleCurrency()
{
double rate = 1.5d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
PointSensitivities @base = PointSensitivities.of(Lists.newArrayList(CS3, CS2, CS1));
PointSensitivities test1 = @base.convertedTo(USD, matrix);
PointSensitivity c1Conv = CS1.convertedTo(USD, matrix);
PointSensitivity c2Conv = CS2.convertedTo(USD, matrix);
PointSensitivity c3Conv = CS3.convertedTo(USD, matrix);
PointSensitivities expected = PointSensitivities.of(Lists.newArrayList(c3Conv, c2Conv, c1Conv));
assertEquals(test1.normalized(), expected.normalized());
PointSensitivities test2 = @base.convertedTo(GBP, matrix);
assertEquals(test2.normalized(), @base.normalized());
}
// inserts a sensitivity into the mutable list in the right location
// merges the entry with an existing entry if the key matches
private static void insert(IList <PointSensitivity> mutable, PointSensitivity addition)
{
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
int index = Collections.binarySearch(mutable, addition, PointSensitivity::compareKey);
if (index >= 0)
{
PointSensitivity @base = mutable[index];
double combined = @base.Sensitivity + addition.Sensitivity;
mutable[index] = @base.withSensitivity(combined);
}
else
{
int insertionPoint = -(index + 1);
mutable.Insert(insertionPoint, addition);
}
}
public virtual void test_convertedTo_multipleCurrency()
{
double rate = 1.5d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
PointSensitivities @base = PointSensitivities.of(Lists.newArrayList(CS4, CS3, CS1));
PointSensitivities test1 = @base.convertedTo(USD, matrix);
PointSensitivity c1Conv = CS1.convertedTo(USD, matrix);
PointSensitivity c3Conv = CS3.convertedTo(USD, matrix);
PointSensitivity c3c4Usd = c3Conv.withSensitivity(c3Conv.Sensitivity + CS4.Sensitivity);
PointSensitivities expected1 = PointSensitivities.of(Lists.newArrayList(c3c4Usd, c1Conv));
assertEquals(test1.normalized(), expected1.normalized());
PointSensitivities test2 = @base.convertedTo(GBP, matrix);
PointSensitivity c4Conv = CS4.convertedTo(GBP, matrix);
PointSensitivity c3c4GBP = CS3.withSensitivity(CS3.Sensitivity + c4Conv.Sensitivity);
PointSensitivities expected2 = PointSensitivities.of(Lists.newArrayList(c3c4GBP, CS1));
assertEquals(test2.normalized(), expected2.normalized());
}
/// <summary>
/// Creates an instance with the specified sensitivity.
/// </summary>
/// <param name="sensitivity"> the sensitivity to add </param>
public MutablePointSensitivities(PointSensitivity sensitivity)
{
ArgChecker.notNull(sensitivity, "sensitivity");
this.sensitivities.Add(sensitivity);
}
