public virtual void test_cloned()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity test = @base.cloned();
assertEquals(test, @base);
}
public virtual void test_zeroRatePointSensitivity_USD()
{
RepoCurveDiscountFactors @base = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD), GROUP);
RepoCurveZeroRateSensitivity computed = @base.zeroRatePointSensitivity(DATE_AFTER, USD);
assertEquals(computed, expected);
}
public virtual void test_createZeroRateSensitivity()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, GROUP, VALUE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, VALUE);
ZeroRateSensitivity test = @base.createZeroRateSensitivity();
assertEquals(test, expected);
}
public virtual void test_mapSensitivity()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, 1d / VALUE);
RepoCurveZeroRateSensitivity test = @base.mapSensitivity(s => 1d / s);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
RepoCurveZeroRateSensitivity test1 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
coverImmutableBean(test1);
RepoCurveZeroRateSensitivity test2 = RepoCurveZeroRateSensitivity.of(GBP, YEARFRAC2, RepoGroup.of("ISSUER2 BND 5Y"), 12d);
coverBeanEquals(test1, test2);
}
public virtual void test_buildInto()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
double rate = 2.4d;
RepoCurveZeroRateSensitivity test = @base.multipliedBy(rate);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE * rate);
assertEquals(test, expected);
}
public virtual void test_of_withoutSensitivityCurrency()
{
RepoCurveZeroRateSensitivity test = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
assertEquals(test.RepoGroup, GROUP);
assertEquals(test.CurveCurrency, CURRENCY);
assertEquals(test.Currency, CURRENCY);
assertEquals(test.YearFraction, YEARFRAC);
assertEquals(test.Sensitivity, VALUE);
}
//-------------------------------------------------------------------------
private PointSensitivities presentValueSensitivitySettlement(Payment settlement, RepoCurveDiscountFactors repoDf)
{
PointSensitivityBuilder pointSettle = paymentPricer.presentValueSensitivity(settlement, repoDf.DiscountFactors);
if (pointSettle is ZeroRateSensitivity)
{
return(RepoCurveZeroRateSensitivity.of((ZeroRateSensitivity)pointSettle, repoDf.RepoGroup).build());
}
return(pointSettle.build()); // NoPointSensitivity
}
public virtual void test_of_zeroRateSensitivity()
{
Currency sensiCurrency = GBP;
ZeroRateSensitivity zeroSensi = ZeroRateSensitivity.of(CURRENCY, YEARFRAC, sensiCurrency, VALUE);
RepoCurveZeroRateSensitivity test = RepoCurveZeroRateSensitivity.of(zeroSensi, GROUP);
assertEquals(test.RepoGroup, GROUP);
assertEquals(test.CurveCurrency, CURRENCY);
assertEquals(test.Currency, sensiCurrency);
assertEquals(test.YearFraction, YEARFRAC);
assertEquals(test.Sensitivity, VALUE);
}
private PointSensitivityBuilder presentValueSensitivityPayment(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
{
RepoCurveDiscountFactors repoDf = DiscountingFixedCouponBondProductPricer.repoCurveDf(trade.Product, provider);
Payment upfrontPayment = this.upfrontPayment(trade);
PointSensitivityBuilder pt = paymentPricer.presentValueSensitivity(upfrontPayment, repoDf.DiscountFactors);
if (pt is ZeroRateSensitivity)
{
return(RepoCurveZeroRateSensitivity.of((ZeroRateSensitivity)pt, repoDf.RepoGroup));
}
return(pt); // NoPointSensitivity
}
public virtual void test_withSensitivity()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
double newValue = 53d;
RepoCurveZeroRateSensitivity test = @base.withSensitivity(newValue);
assertEquals(test.RepoGroup, GROUP);
assertEquals(test.CurveCurrency, CURRENCY);
assertEquals(test.Currency, CURRENCY);
assertEquals(test.YearFraction, YEARFRAC);
assertEquals(test.Sensitivity, newValue);
}
public virtual void test_convertedTo()
{
RepoCurveZeroRateSensitivity @base = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
double rate = 1.5d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
RepoCurveZeroRateSensitivity test1 = @base.convertedTo(USD, matrix);
assertEquals(test1, @base);
RepoCurveZeroRateSensitivity test2 = @base.convertedTo(GBP, matrix);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GBP, GROUP, VALUE / rate);
assertEquals(test2, expected);
}
public virtual void test_compareKey()
{
RepoCurveZeroRateSensitivity a1 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity a2 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity b = RepoCurveZeroRateSensitivity.of(GBP, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity c = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC2, GROUP, VALUE);
RepoCurveZeroRateSensitivity d = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, RepoGroup.of("ISSUER1 BND 3Y"), VALUE);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA), 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 virtual void test_serialization()
{
RepoCurveZeroRateSensitivity test = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
assertSerialization(test);
}
public virtual void test_pvsensiZSpread_settle_after_val()
{
PointSensitivities pvsensiComputed = PRICER_TRADE.presentValueSensitivityWithZSpread(BILL_TRADE_SETTLE_AFTER_VAL, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
PointSensitivities pvsensiExpected = PRICER_PRODUCT.presentValueSensitivityWithZSpread(BILL_PRODUCT.resolve(REF_DATA), PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0).multipliedBy(QUANTITY).combinedWith(RepoCurveZeroRateSensitivity.of((ZeroRateSensitivity)PRICER_PAYMENT.presentValueSensitivity(BILL_TRADE_SETTLE_AFTER_VAL.Settlement.get(), PROVIDER.repoCurveDiscountFactors(BILL_PRODUCT.SecurityId, BILL_PRODUCT.LegalEntityId, BILL_PRODUCT.Currency).DiscountFactors), GROUP_REPO).build());
assertTrue(pvsensiComputed.equalWithTolerance(pvsensiExpected, TOLERANCE_PVSENSI));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(pvsensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER_TRADE.presentValueWithZSpread(BILL_TRADE_SETTLE_AFTER_VAL, p, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT * QUANTITY));
}
/// <summary>
/// Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
/// <para>
/// This returns a sensitivity instance referring to the zero rate sensitivity of the curve
/// used to determine the discount factor.
/// The sensitivity typically has the value {@code (-discountFactor * relativeYearFraction)}.
/// The sensitivity refers to the result of <seealso cref="#discountFactor(LocalDate)"/>.
/// </para>
/// <para>
/// This method allows the currency of the sensitivity to differ from the currency of the curve.
///
/// </para>
/// </summary>
/// <param name="date"> the date to discount to </param>
/// <param name="sensitivityCurrency"> the currency of the sensitivity </param>
/// <returns> the point sensitivity of the zero rate </returns>
/// <exception cref="RuntimeException"> if the result cannot be calculated </exception>
public RepoCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency)
{
ZeroRateSensitivity zeroRateSensitivity = discountFactors.zeroRatePointSensitivity(date, sensitivityCurrency);
return(RepoCurveZeroRateSensitivity.of(zeroRateSensitivity, repoGroup));
}
