//-------------------------------------------------------------------------
// proper end-to-end tests are elsewhere
public virtual void test_parameterSensitivity()
{
SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS);
InflationRateSensitivity point = InflationRateSensitivity.of(PriceIndexObservation.of(US_CPI_U, VAL_MONTH.plusMonths(3)), 1d);
assertEquals(test.parameterSensitivity(point).size(), 1);
}
public virtual void test_value_parameter_sensitivity_futfixing()
{
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
YearMonth fixingMonth = TEST_OBS[i].FixingMonth;
if (!fixingMonth.isBefore(YearMonth.from(VAL_DATE_2)) && !USCPI_TS.containsDate(fixingMonth.atEndOfMonth()))
{
InflationRateSensitivity ptsExpected = (InflationRateSensitivity)InflationRateSensitivity.of(TEST_OBS[i], 1d);
CurrencyParameterSensitivities psComputed = INSTANCE_WITH_FUTFIXING.parameterSensitivity(ptsExpected);
double x = YearMonth.from(VAL_DATE_2).until(fixingMonth, MONTHS);
UnitParameterSensitivities sens1 = UnitParameterSensitivities.of(CURVE_INFL2.yValueParameterSensitivity(x));
CurrencyParameterSensitivities psExpected = sens1.multipliedBy(ptsExpected.Currency, ptsExpected.Sensitivity);
assertTrue(psComputed.equalWithTolerance(psExpected, TOLERANCE_DELTA), "test " + i);
}
}
}
