public virtual void firstDerivative()
{
for (int i = 0; i < NB_X_SAMPLE; i++)
{
double dComputed = ADD_FIXED_CURVE.firstDerivative(X_SAMPLE[i]);
double dExpected = FIXED_CURVE.firstDerivative(X_SAMPLE[i]) + SPREAD_CURVE.firstDerivative(X_SAMPLE[i]);
assertEquals(dComputed, dExpected, TOLERANCE_Y);
}
}
public virtual void test_firstDerivative()
{
for (int i = 0; i < NUM_SAMPLES; ++i)
{
double computed = COMBINED_CURVE.firstDerivative(X_SAMPLES.get(i));
double expected = BASE_CURVE.firstDerivative(X_SAMPLES.get(i)) + SPREAD_CURVE.firstDerivative(X_SAMPLES.get(i));
assertEquals(computed, expected, TOL);
}
}
public virtual void test_firstDerivative()
{
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);
assertThat(curve.firstDerivative(0.1)).isEqualTo(0.5);
assertThat(absoluteShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5);
assertThat(relativeShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5 * 1.2);
}
//-------------------------------------------------------------------------
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));
}
