//-------------------------------------------------------------------------
public virtual void test_mergedWith_sens_empty()
{
CurveSensitivities @base = sut();
CurveSensitivities test = @base.mergedWith(CurveSensitivities.empty());
assertEquals(test, @base);
}
//-------------------------------------------------------------------------
public virtual void test_convertedTo_singleCurrency()
{
CurveSensitivities @base = sut();
CurveSensitivities test = @base.convertedTo(USD, FxMatrix.empty());
assertEquals(test.TypedSensitivities.get(ZERO_RATE_DELTA).Sensitivities, ImmutableList.of(ENTRY_USD));
}
//-------------------------------------------------------------------------
public virtual void test_empty()
{
CurveSensitivities test = CurveSensitivities.empty();
assertEquals(test.Info, PortfolioItemInfo.empty());
assertEquals(test.TypedSensitivities, ImmutableMap.of());
}
//-------------------------------------------------------------------------
public virtual void test_mergedWith_map_empty()
{
CurveSensitivities @base = sut();
IDictionary <CurveSensitivitiesType, CurrencyParameterSensitivities> additional = ImmutableMap.of();
CurveSensitivities test = @base.mergedWith(additional);
assertEquals(test, @base);
}
public virtual void test_convertedTo_multipleCurrency()
{
CurveSensitivities @base = sut2();
CurveSensitivities test = @base.convertedTo(USD, FX_RATE);
assertEquals(test.TypedSensitivities.get(ZERO_RATE_DELTA).Sensitivities, ImmutableList.of(ENTRY_USD));
assertEquals(test.TypedSensitivities.get(ZERO_RATE_GAMMA).Sensitivities, ImmutableList.of(ENTRY_USD2, ENTRY_EUR_IN_USD));
}
//-------------------------------------------------------------------------
public virtual void test_withMarketDataNames()
{
CurveSensitivities @base = sut();
CurveSensitivities test = @base.withMarketDataNames(name => NAME2);
assertEquals(@base.TypedSensitivities.get(ZERO_RATE_DELTA).Sensitivities.get(0).MarketDataName, NAME1);
assertEquals(test.TypedSensitivities.get(ZERO_RATE_DELTA).Sensitivities.get(0).MarketDataName, NAME2);
}
//-------------------------------------------------------------------------
public virtual void test_withParameterMetadatas()
{
CurveSensitivities @base = sut();
CurveSensitivities test = @base.withParameterMetadatas(md => TENOR_MD_1Y);
CurrencyParameterSensitivity testSens = test.TypedSensitivities.get(ZERO_RATE_DELTA).Sensitivities.get(0);
assertEquals(testSens.ParameterMetadata, ImmutableList.of(TENOR_MD_1Y));
assertEquals(testSens.Sensitivity, DoubleArray.of(723));
}
public virtual void test_of_map()
{
CurveSensitivities test = sut2();
assertEquals(test.Id, ID2);
assertEquals(test.Info, INFO2);
assertEquals(test.TypedSensitivities, ImmutableMap.of(ZERO_RATE_DELTA, SENSI1, ZERO_RATE_GAMMA, SENSI2));
assertEquals(test.getTypedSensitivity(ZERO_RATE_DELTA), SENSI1);
assertEquals(test.getTypedSensitivity(ZERO_RATE_GAMMA), SENSI2);
}
public virtual void test_mergedWith_map_mergeAndAdd()
{
CurveSensitivities base1 = sut();
CurveSensitivities base2 = sut2();
CurveSensitivities test = base1.mergedWith(base2.TypedSensitivities);
assertEquals(test.Info, base1.Info);
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);
}
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);
}
//-------------------------------------------------------------------------
public virtual void test_summarize()
{
CurveSensitivities @base = sut2();
PortfolioItemSummary test = @base.summarize();
assertEquals(test.Id, ID2);
assertEquals(test.PortfolioItemType, PortfolioItemType.SENSITIVITIES);
assertEquals(test.ProductType, ProductType.SENSITIVITIES);
assertEquals(test.Currencies, ImmutableSet.of(EUR, USD));
assertEquals(test.Description, "CurveSensitivities[ZeroRateDelta, ZeroRateGamma]");
}
public virtual void test_of_single()
{
CurveSensitivities test = sut();
assertEquals(test.Id, null);
assertEquals(test.Info, INFO1);
assertEquals(test.TypedSensitivities, ImmutableMap.of(ZERO_RATE_DELTA, SENSI1));
assertEquals(test.getTypedSensitivity(ZERO_RATE_DELTA), SENSI1);
assertThrows(typeof(System.ArgumentException), () => test.getTypedSensitivity(ZERO_RATE_GAMMA));
assertEquals(test.findTypedSensitivity(ZERO_RATE_DELTA), SENSI1);
assertEquals(test.findTypedSensitivity(ZERO_RATE_GAMMA), null);
}
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);
}
//-------------------------------------------------------------------------
/// <summary>
/// Builds the sensitivity from the provided data.
/// <para>
/// If all the values for a single sensitivity are tenor-based, or all are date-based,
/// then the resulting sensitivity will have the tenors sorted.
///
/// </para>
/// </summary>
/// <returns> the sensitivities instance </returns>
public CurveSensitivities build()
{
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
return(CurveSensitivities.of(info, MapStream.of(data).mapValues(CurrencyParameterSensitivitiesBuilder::build).toMap()));
}
private CurveSensitivities sut2()
{
return(CurveSensitivities.of(INFO2, ImmutableMap.of(ZERO_RATE_DELTA, SENSI1, ZERO_RATE_GAMMA, SENSI2)));
}
private CurveSensitivities sut()
{
return(CurveSensitivities.of(INFO1, ZERO_RATE_DELTA, SENSI1));
}
