public virtual void check_pv_sensitivity()
{
ImmutableRatesProvider multicurve = CALIBRATOR.calibrate(GROUP_DEFINITION_PV_SENSI, MARKET_QUOTES, REF_DATA);
// the trades used for calibration
IDictionary <CurveName, IList <Trade> > trades = new Dictionary <CurveName, IList <Trade> >();
IDictionary <CurveName, IList <ResolvedTrade> > resolvedTrades = new Dictionary <CurveName, IList <ResolvedTrade> >();
ImmutableList <CurveDefinition> curveGroups = GROUP_DEFINITION.CurveDefinitions;
ImmutableList.Builder <CurveParameterSize> builder = ImmutableList.builder();
foreach (CurveDefinition entry in curveGroups)
{
ImmutableList <CurveNode> nodes = entry.Nodes;
IList <Trade> tradesCurve = new List <Trade>();
IList <ResolvedTrade> resolvedTradesCurve = new List <ResolvedTrade>();
foreach (CurveNode node in nodes)
{
tradesCurve.Add(node.trade(1d, MARKET_QUOTES, REF_DATA));
resolvedTradesCurve.Add(node.resolvedTrade(1d, MARKET_QUOTES, REF_DATA));
}
trades[entry.Name] = tradesCurve;
resolvedTrades[entry.Name] = resolvedTradesCurve;
builder.add(entry.toCurveParameterSize());
}
ImmutableList <CurveParameterSize> order = builder.build(); // order of the curves
// Check CurveInfo present and sensitivity as expected
IDictionary <CurveName, DoubleArray> mqsGroup = new Dictionary <CurveName, DoubleArray>();
int nodeIndex = 0;
foreach (CurveParameterSize cps in order)
{
int nbParameters = cps.ParameterCount;
double[] mqsCurve = new double[nbParameters];
for (int looptrade = 0; looptrade < nbParameters; looptrade++)
{
DoubleArray mqsNode = PV_MEASURES.derivative(resolvedTrades[cps.Name][looptrade], multicurve, order);
mqsCurve[looptrade] = mqsNode.get(nodeIndex);
nodeIndex++;
}
Optional <Curve> curve = multicurve.findData(cps.Name);
DoubleArray pvSensitivityExpected = DoubleArray.ofUnsafe(mqsCurve);
mqsGroup[cps.Name] = pvSensitivityExpected;
assertTrue(curve.Present);
assertTrue(curve.get().Metadata.findInfo(CurveInfoType.PV_SENSITIVITY_TO_MARKET_QUOTE).Present);
DoubleArray pvSensitivityMetadata = curve.get().Metadata.findInfo(CurveInfoType.PV_SENSITIVITY_TO_MARKET_QUOTE).get();
assertTrue(pvSensitivityExpected.equalWithTolerance(pvSensitivityMetadata, 1.0E-10));
}
}