//-------------------------------------------------------------------------
public virtual void test_cloned()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
IborRateSensitivity test = @base.cloned();
assertSame(test, @base);
}
public virtual void test_rateIgnoringFixingsPointSensitivity_onValuation()
{
DiscountIborIndexRates test = DiscountIborIndexRates.of(GBP_LIBOR_3M, DFCURVE, SERIES);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_VAL, 1d);
assertEquals(test.rateIgnoringFixingsPointSensitivity(GBP_LIBOR_3M_VAL), expected);
}
public virtual void test_ratePointSensitivity_afterValuation()
{
DiscountIborIndexRates test = DiscountIborIndexRates.of(GBP_LIBOR_3M, DFCURVE, SERIES);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_AFTER, 1d);
assertEquals(test.ratePointSensitivity(GBP_LIBOR_3M_AFTER), expected);
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
// proper end-to-end tests are elsewhere
public virtual void test_parameterSensitivity()
{
DiscountIborIndexRates test = DiscountIborIndexRates.of(GBP_LIBOR_3M, DFCURVE, SERIES);
IborRateSensitivity point = IborRateSensitivity.of(GBP_LIBOR_3M_AFTER, GBP, 1d);
assertEquals(test.parameterSensitivity(point).size(), 1);
}
//-------------------------------------------------------------------------
public virtual void test_mapSensitivity()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 1 / 32d);
IborRateSensitivity test = @base.mapSensitivity(s => 1 / s);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d * 3.5d);
IborRateSensitivity test = @base.multipliedBy(3.5d);
assertEquals(test, expected);
}
public virtual void test_ratePointSensitivity_onValuation_noFixing()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES_EMPTY);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_VAL, 1d);
assertEquals(test.ratePointSensitivity(GBP_LIBOR_3M_VAL), expected);
assertEquals(test.rateIgnoringFixingsPointSensitivity(GBP_LIBOR_3M_VAL), expected);
}
//-------------------------------------------------------------------------
public virtual void test_withSensitivity()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 20d);
IborRateSensitivity test = @base.withSensitivity(20d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(IborRateSensitivity pointSensitivity)
{
LocalDate maturityDate = pointSensitivity.Observation.MaturityDate;
double relativeYearFraction = this.relativeYearFraction(maturityDate);
UnitParameterSensitivity unitSensitivity = curve.yValueParameterSensitivity(relativeYearFraction);
CurrencyParameterSensitivity sensitivity = unitSensitivity.multipliedBy(pointSensitivity.Currency, pointSensitivity.Sensitivity);
return(CurrencyParameterSensitivities.of(sensitivity));
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborRateSensitivity test = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
coverImmutableBean(test);
IborRateSensitivity test2 = IborRateSensitivity.of(IborIndexObservation.of(USD_LIBOR_3M, DATE2, REF_DATA), USD, 16d);
coverBeanEquals(test, test2);
}
public int compareKey(PointSensitivity other)
{
if (other is IborRateSensitivity)
{
IborRateSensitivity otherIbor = (IborRateSensitivity)other;
return(ComparisonChain.start().compare(Index.ToString(), otherIbor.Index.ToString()).compare(currency, otherIbor.currency).compare(observation.FixingDate, otherIbor.observation.FixingDate).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
public virtual void test_of_withCurrency()
{
IborRateSensitivity test = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, GBP, 32d);
assertEquals(test.Index, GBP_LIBOR_3M);
assertEquals(test.Currency, GBP);
assertEquals(test.Sensitivity, 32d);
assertEquals(test.Index, GBP_LIBOR_3M);
}
public virtual void test_combinedWith_mutable()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(@base);
PointSensitivityBuilder test = @base.combinedWith(new MutablePointSensitivities());
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public PointSensitivityBuilder ratePointSensitivity(IborIndexObservation observation)
{
LocalDate fixingDate = observation.FixingDate;
LocalDate valuationDate = ValuationDate;
if (fixingDate.isBefore(valuationDate) || (fixingDate.Equals(valuationDate) && fixings.get(fixingDate).HasValue))
{
return(PointSensitivityBuilder.none());
}
return(IborRateSensitivity.of(observation, 1d));
}
//-------------------------------------------------------------------------
public virtual void test_withCurrency()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
assertSame(@base.withCurrency(GBP), @base);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, USD, 32d);
IborRateSensitivity test = @base.withCurrency(USD);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_combinedWith()
{
IborRateSensitivity base1 = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
IborRateSensitivity base2 = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION2, 22d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(base1).add(base2);
PointSensitivityBuilder test = base1.combinedWith(base2);
assertEquals(test, expected);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
IborRateSensitivity other = (IborRateSensitivity)obj;
return(JodaBeanUtils.equal(observation, other.observation) && JodaBeanUtils.equal(currency, other.currency) && JodaBeanUtils.equal(sensitivity, other.sensitivity));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_convertedTo()
{
double sensi = 32d;
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, sensi);
double rate = 1.5d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
IborRateSensitivity test1 = (IborRateSensitivity)@base.convertedTo(USD, matrix);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, USD, sensi * rate);
assertEquals(test1, expected);
IborRateSensitivity test2 = (IborRateSensitivity)@base.convertedTo(GBP, matrix);
assertEquals(test2, @base);
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(IborRateSensitivity pointSensitivity)
{
LocalDate fixingStartDate = pointSensitivity.Observation.EffectiveDate;
LocalDate fixingEndDate = pointSensitivity.Observation.MaturityDate;
double accrualFactor = pointSensitivity.Observation.YearFraction;
double forwardBar = pointSensitivity.Sensitivity;
double dfForwardStart = discountFactors.discountFactor(fixingStartDate);
double dfForwardEnd = discountFactors.discountFactor(fixingEndDate);
double dfStartBar = forwardBar / (accrualFactor * dfForwardEnd);
double dfEndBar = -forwardBar * dfForwardStart / (accrualFactor * dfForwardEnd * dfForwardEnd);
ZeroRateSensitivity zrsStart = discountFactors.zeroRatePointSensitivity(fixingStartDate, pointSensitivity.Currency);
ZeroRateSensitivity zrsEnd = discountFactors.zeroRatePointSensitivity(fixingEndDate, pointSensitivity.Currency);
CurrencyParameterSensitivities psStart = discountFactors.parameterSensitivity(zrsStart).multipliedBy(dfStartBar);
CurrencyParameterSensitivities psEnd = discountFactors.parameterSensitivity(zrsEnd).multipliedBy(dfEndBar);
return(psStart.combinedWith(psEnd));
}
//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
IborRateSensitivity a1 = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
IborRateSensitivity a2 = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
IborRateSensitivity b = IborRateSensitivity.of(IborIndexObservation.of(USD_LIBOR_3M, DATE2, REF_DATA), 32d);
IborRateSensitivity c = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, USD, 32d);
IborRateSensitivity d = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION2, 32d);
ZeroRateSensitivity other = ZeroRateSensitivity.of(GBP, 2d, 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) < 0, true);
assertEquals(b.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
public PointSensitivityBuilder rateIgnoringFixingsPointSensitivity(IborIndexObservation observation)
{
return(IborRateSensitivity.of(observation, 1d));
}
public virtual void test_serialization()
{
IborRateSensitivity test = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
assertSerialization(test);
}
