//-------------------------------------------------------------------------
public virtual void test_empty()
{
CurveSensitivities test = CurveSensitivities.empty();
assertEquals(test.Info, PortfolioItemInfo.empty());
assertEquals(test.TypedSensitivities, ImmutableMap.of());
}
public virtual void test_withers()
{
PortfolioItemInfo test = PortfolioItemInfo.empty().withId(ID).withAttribute(AttributeType.DESCRIPTION, "A");
assertEquals(test.Id, ID);
assertEquals(test.AttributeTypes, ImmutableSet.of(AttributeType.DESCRIPTION));
assertEquals(test.getAttribute(AttributeType.DESCRIPTION), "A");
assertEquals(test.findAttribute(AttributeType.DESCRIPTION), ("A"));
assertThrows(typeof(System.ArgumentException), () => test.getAttribute(AttributeType.NAME));
}
public virtual void test_mergedWith_sens_mergeAndAdd()
{
CurveSensitivities base1 = sut();
CurveSensitivities base2 = sut2();
CurveSensitivities test = base1.mergedWith(base2);
assertEquals(test.Info, PortfolioItemInfo.empty().withId(ID2).withAttribute(NAME, "2").withAttribute(DESCRIPTION, "1"));
assertEquals(test.TypedSensitivities.Keys, ImmutableSet.of(ZERO_RATE_DELTA, ZERO_RATE_GAMMA));
assertEquals(test.TypedSensitivities.get(ZERO_RATE_DELTA), SENSI1.multipliedBy(2));
assertEquals(test.TypedSensitivities.get(ZERO_RATE_GAMMA), SENSI2);
}
//-------------------------------------------------------------------------
// parse the sensitivity info
private PortfolioItemInfo parseInfo(CsvRow row)
{
PortfolioItemInfo info = PortfolioItemInfo.empty();
string scheme = row.findValue(ID_SCHEME_HEADER).orElse(DEFAULT_SCHEME);
StandardId id = row.findValue(ID_HEADER).map(str => StandardId.of(scheme, str)).orElse(null);
if (id != null)
{
info = info.withId(id);
}
return(resolver.parseSensitivityInfo(row, info));
}
public virtual void test_builder_tenors()
{
CurveName curveName = CurveName.of("GBP");
CurrencyParameterSensitivity sens1Y = CurrencyParameterSensitivity.of(curveName, ImmutableList.of(TENOR_MD_1Y), GBP, DoubleArray.of(3));
CurveSensitivities test = CurveSensitivities.builder(PortfolioItemInfo.empty()).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1M, 4).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1W, 1).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1Y, 2).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1W, 2).add(ZERO_RATE_DELTA, sens1Y).build();
assertEquals(test.Info, PortfolioItemInfo.empty());
assertEquals(test.TypedSensitivities.size(), 1);
CurrencyParameterSensitivities sens = test.getTypedSensitivity(ZERO_RATE_DELTA);
assertEquals(sens.Sensitivities.size(), 1);
CurrencyParameterSensitivity singleSens = sens.getSensitivity(curveName, GBP);
assertEquals(singleSens.Sensitivity, DoubleArray.of(3, 4, 5));
assertEquals(singleSens.getParameterMetadata(0), TENOR_MD_1W);
assertEquals(singleSens.getParameterMetadata(1), TENOR_MD_1M);
assertEquals(singleSens.getParameterMetadata(2), TENOR_MD_1Y);
}
public virtual void test_builder_mixCurrency()
{
CurveName curveName = CurveName.of("WEIRD");
CurveSensitivities test = CurveSensitivities.builder(PortfolioItemInfo.empty()).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1Y, 1).add(ZERO_RATE_DELTA, curveName, USD, TENOR_MD_1Y, 2).build();
assertEquals(test.Info, PortfolioItemInfo.empty());
assertEquals(test.TypedSensitivities.size(), 1);
CurrencyParameterSensitivities sens = test.getTypedSensitivity(ZERO_RATE_DELTA);
assertEquals(sens.Sensitivities.size(), 2);
CurrencyParameterSensitivity sensGbp = sens.getSensitivity(curveName, GBP);
assertEquals(sensGbp.Sensitivity, DoubleArray.of(1));
assertEquals(sensGbp.getParameterMetadata(0), TENOR_MD_1Y);
CurrencyParameterSensitivity sensUsd = sens.getSensitivity(curveName, USD);
assertEquals(sensUsd.Sensitivity, DoubleArray.of(2));
assertEquals(sensUsd.getParameterMetadata(0), TENOR_MD_1Y);
}
public void test_write_standard_withDate()
{
CurveName curve1 = CurveName.of("GBDSC");
CurveName curve2 = CurveName.of("GBFWD");
// listed in reverse order to check ordering
CurveSensitivities sens = CurveSensitivities.builder(PortfolioItemInfo.empty().withAttribute(CCP_ATTR, "LCH")).add(ZERO_RATE_GAMMA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_3M), 1).add(ZERO_RATE_GAMMA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 2).add(ZERO_RATE_DELTA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_3M), 3).add(ZERO_RATE_DELTA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 5).add(ZERO_RATE_DELTA, curve1, Currency.GBP, TenorDateParameterMetadata.of(date(2018, 6, 30), Tenor.TENOR_3M), 2).add(ZERO_RATE_DELTA, curve1, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 4).build();
StringBuilder buf = new StringBuilder();
WRITER_CCP.write(sens, buf);
string content = buf.ToString();
string expected = "" +
"Reference,Sensitivity Type,Sensitivity Tenor,Sensitivity Date,Currency,Value,CCP\n" +
"GBDSC,ZeroRateDelta,3M,2018-06-30,GBP,2.0,LCH\n" +
"GBDSC,ZeroRateDelta,6M,,GBP,4.0,LCH\n" +
"GBFWD,ZeroRateDelta,3M,,GBP,3.0,LCH\n" +
"GBFWD,ZeroRateDelta,6M,,GBP,5.0,LCH\n" +
"GBFWD,ZeroRateGamma,3M,,GBP,1.0,LCH\n" +
"GBFWD,ZeroRateGamma,6M,,GBP,2.0,LCH\n";
assertEquals(content, expected);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an empty instance.
/// </summary>
/// <returns> the empty sensitivities instance </returns>
public static CurveSensitivities empty()
{
return(new CurveSensitivities(PortfolioItemInfo.empty(), ImmutableMap.of()));
}
