//-------------------------------------------------------------------------
public virtual void test_rateSensitivity()
{
ImmutableRatesProvider prov = createProvider(RATE_END);
ImmutableRatesProvider provEndUp = createProvider(RATE_END + EPS_FD);
ImmutableRatesProvider provEndDw = createProvider(RATE_END - EPS_FD);
InflationEndMonthRateComputation ro = InflationEndMonthRateComputation.of(GB_RPIX, START_INDEX_VALUE, REFERENCE_END_MONTH);
ForwardInflationEndMonthRateComputationFn obsFn = ForwardInflationEndMonthRateComputationFn.DEFAULT;
double rateEndUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndUp);
double rateEndDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndDw);
PointSensitivityBuilder sensiExpected = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REFERENCE_END_MONTH), 0.5 * (rateEndUp - rateEndDw) / EPS_FD);
PointSensitivityBuilder sensiComputed = obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
assertTrue(sensiComputed.build().normalized().equalWithTolerance(sensiExpected.build().normalized(), EPS_FD));
}
//-------------------------------------------------------------------------
public virtual void test_rate()
{
ImmutableRatesProvider prov = createProvider(RATE_END);
InflationEndMonthRateComputation ro = InflationEndMonthRateComputation.of(GB_RPIX, START_INDEX_VALUE, REFERENCE_END_MONTH);
ForwardInflationEndMonthRateComputationFn obsFn = ForwardInflationEndMonthRateComputationFn.DEFAULT;
double rateExpected = RATE_END / START_INDEX_VALUE - 1;
assertEquals(obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov), rateExpected, EPS);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov, builder), rateExpected, EPS);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 1);
ExplainMap explain0 = built.get(ExplainKey.OBSERVATIONS).get().get(0);
assertEquals(explain0.get(ExplainKey.FIXING_DATE), REFERENCE_END_MONTH.atEndOfMonth());
assertEquals(explain0.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain0.get(ExplainKey.INDEX_VALUE), RATE_END);
assertEquals(built.get(ExplainKey.COMBINED_RATE).Value.doubleValue(), rateExpected, EPS);
}
