public virtual void test_firstDerivative() { InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(0, 1), DoubleArray.of(2, 2.5), CurveInterpolators.LINEAR); Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1); Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2); assertThat(curve.firstDerivative(0.1)).isEqualTo(0.5); assertThat(absoluteShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5); assertThat(relativeShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5 * 1.2); }
//------------------------------------------------------------------------- public virtual void test_yValueParameterSensitivity() { InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(0, 1), DoubleArray.of(2, 2.5), CurveInterpolators.LINEAR); Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1); Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2); UnitParameterSensitivity expected = curve.yValueParameterSensitivity(0.1); assertThat(absoluteShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected); assertThat(relativeShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected); }
public virtual void test_relative() { CurveParallelShifts test = CurveParallelShifts.relative(0.1d, 0.2d, 0.4d); Curve baseCurve = InterpolatedNodalCurve.of(Curves.zeroRates("curve", DayCounts.ACT_365F), DoubleArray.of(1, 2, 3), DoubleArray.of(5, 6, 7), CurveInterpolators.LOG_LINEAR); MarketDataBox <Curve> shiftedCurveBox = test.applyTo(MarketDataBox.ofSingleValue(baseCurve), REF_DATA); assertEquals(shiftedCurveBox.getValue(0), ParallelShiftedCurve.relative(baseCurve, 0.1d)); assertEquals(shiftedCurveBox.getValue(1), ParallelShiftedCurve.relative(baseCurve, 0.2d)); assertEquals(shiftedCurveBox.getValue(2), ParallelShiftedCurve.relative(baseCurve, 0.4d)); }
public virtual void relative() { ParallelShiftedCurve test = ParallelShiftedCurve.relative(CONSTANT_CURVE, 0.1d); assertThat(test.UnderlyingCurve).isEqualTo(CONSTANT_CURVE); assertThat(test.ShiftType).isEqualTo(ShiftType.RELATIVE); assertThat(test.ShiftAmount).isEqualTo(0.1d); assertThat(test.Metadata).isEqualTo(METADATA); assertThat(test.Name).isEqualTo(METADATA.CurveName); assertThat(test.ParameterCount).isEqualTo(2); assertThat(test.getParameter(0)).isEqualTo(3d); assertThat(test.getParameter(1)).isEqualTo(0.1d); assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty()); assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("RelativeShift")); assertThat(test.withParameter(0, 5d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE2, 0.1d)); assertThat(test.withParameter(1, 0.5d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE, 0.5d)); assertThat(test.withPerturbation((i, v, m) => v + 2d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE2, 2.1d)); assertThat(test.yValue(0)).isEqualTo(3.3d, offset(1e-10d)); assertThat(test.yValue(1)).isEqualTo(3.3d, offset(1e-10d)); }