//-------------------------------------------------------------------------
protected internal virtual void testJacobian(LegalEntitySurvivalProbabilities curve, ImmutableCreditRatesProvider ratesProvider, IList <CdsIndexIsdaCreditCurveNode> nodes, double[] quotes)
{
int nNode = nodes.Count;
IsdaCreditDiscountFactors df = (IsdaCreditDiscountFactors)curve.SurvivalProbabilities;
int nCurveNode = df.ParameterCount;
for (int i = 0; i < nCurveNode; ++i)
{
double[] quotesUp = Arrays.copyOf(quotes, nNode);
double[] quotesDw = Arrays.copyOf(quotes, nNode);
quotesUp[i] += EPS;
quotesDw[i] -= EPS;
ImmutableMarketDataBuilder builderCreditUp = MARKET_DATA.toBuilder();
ImmutableMarketDataBuilder builderCreditDw = MARKET_DATA.toBuilder();
for (int j = 0; j < nNode; ++j)
{
builderCreditUp.addValue(nodes[j].ObservableId, quotesUp[j]);
builderCreditDw.addValue(nodes[j].ObservableId, quotesDw[j]);
}
ImmutableMarketData marketDataUp = builderCreditUp.build();
ImmutableMarketData marketDataDw = builderCreditDw.build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(df.Curve.Name, df.Currency, df.ValuationDate, df.DayCount, nodes, false, false);
IsdaCreditDiscountFactors ccUp = (IsdaCreditDiscountFactors)CALIBRATOR.calibrate(definition, marketDataUp, ratesProvider, REF_DATA).SurvivalProbabilities;
IsdaCreditDiscountFactors ccDw = (IsdaCreditDiscountFactors)CALIBRATOR.calibrate(definition, marketDataDw, ratesProvider, REF_DATA).SurvivalProbabilities;
for (int j = 0; j < nNode; ++j)
{
double computed = df.Curve.Metadata.findInfo(CurveInfoType.JACOBIAN).get().JacobianMatrix.get(j, i);
double expected = 0.5 * (ccUp.Curve.YValues.get(j) - ccDw.Curve.YValues.get(j)) / EPS;
assertEquals(computed, expected, EPS * 10d);
}
}
}
