コード例 #1
0
        public virtual void regression_sensitivity()
        {
            PointSensitivities             point    = PRICER.priceSensitivityRates(FUTURE, RATE_PROVIDER, HW_PROVIDER);
            CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point);

            double[] expected = new double[] { 0.0, 0.0, 0.9514709785770106, -1.9399920741192112, 0.0, 0.0, 0.0, 0.0 };
            assertEquals(computed.size(), 1);
            assertTrue(DoubleArrayMath.fuzzyEquals(computed.getSensitivity(HullWhiteIborFutureDataSet.FWD3_NAME, EUR).Sensitivity.toArray(), expected, TOL));
        }