//-------------------------------------------------------------------------
public virtual void test_valuePointSensitivity_fixing()
{
SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS);
PriceIndexObservation obs = PriceIndexObservation.of(US_CPI_U, VAL_MONTH.minusMonths(3));
assertEquals(test.valuePointSensitivity(obs), PointSensitivityBuilder.none());
}
public virtual void test_valuePointSensitivity_forward()
{
YearMonth month = VAL_MONTH.plusMonths(3);
SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS);
PriceIndexObservation obs = PriceIndexObservation.of(US_CPI_U, month);
InflationRateSensitivity expected = InflationRateSensitivity.of(obs, 1d);
assertEquals(test.valuePointSensitivity(obs), expected);
}
public virtual void test_value_pts_sensitivity_futfixing()
{
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
PointSensitivityBuilder ptsComputed = INSTANCE_WITH_FUTFIXING.valuePointSensitivity(TEST_OBS[i]);
YearMonth fixingMonth = TEST_OBS[i].FixingMonth;
PointSensitivityBuilder ptsExpected;
if (fixingMonth.isBefore(YearMonth.from(VAL_DATE_2)) && USCPI_TS.containsDate(fixingMonth.atEndOfMonth()))
{
ptsExpected = PointSensitivityBuilder.none();
}
else
{
ptsExpected = InflationRateSensitivity.of(TEST_OBS[i], 1d);
}
assertTrue(ptsComputed.build().equalWithTolerance(ptsExpected.build(), TOLERANCE_VALUE), "test " + i);
}
}
