public virtual void test_createZeroRateSensitivity() { RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.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(RepoCurveZeroRateSensitivity 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)); }