//-------------------------------------------------------------------------
public virtual void test_lookup()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR);
BoundCurveInterpolator interp = INTERPOLATOR.bind(XVALUES, YVALUES, FLAT_EXTRAPOLATOR, FLAT_EXTRAPOLATOR);
assertThat(test.yValue(XVALUES.get(0))).isEqualTo(YVALUES.get(0));
assertThat(test.yValue(XVALUES.get(1))).isEqualTo(YVALUES.get(1));
assertThat(test.yValue(XVALUES.get(2))).isEqualTo(YVALUES.get(2));
assertThat(test.yValue(10d)).isEqualTo(interp.interpolate(10d));
assertThat(test.yValueParameterSensitivity(10d).MarketDataName).isEqualTo(CURVE_NAME);
assertThat(test.yValueParameterSensitivity(10d).Sensitivity).isEqualTo(interp.parameterSensitivity(10d));
assertThat(test.firstDerivative(10d)).isEqualTo(interp.firstDerivative(10d));
}
public virtual void test_yValueParameterSensitivity()
{
for (int i = 0; i < NUM_SAMPLES; ++i)
{
UnitParameterSensitivity computed = COMBINED_CURVE.yValueParameterSensitivity(X_SAMPLES.get(i));
UnitParameterSensitivity baseSens = BASE_CURVE.yValueParameterSensitivity(X_SAMPLES.get(i));
UnitParameterSensitivity spreadSens = SPREAD_CURVE.yValueParameterSensitivity(X_SAMPLES.get(i));
assertEquals(computed.split(), ImmutableList.of(baseSens, spreadSens));
}
}
public virtual void yParameterSensitivity()
{
for (int i = 0; i < X_SAMPLE.Length; i++)
{
UnitParameterSensitivity dComputed = ADD_FIXED_CURVE.yValueParameterSensitivity(X_SAMPLE[i]);
UnitParameterSensitivity dExpected = SPREAD_CURVE.yValueParameterSensitivity(X_SAMPLE[i]);
assertTrue(dComputed.compareKey(dExpected) == 0);
assertTrue(dComputed.Sensitivity.equalWithTolerance(dExpected.Sensitivity, TOLERANCE_Y));
}
}
//-------------------------------------------------------------------------
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);
}
