//------------------------------------------------------------------------- private void assertSens(CurveSensitivities sens, CurveSensitivitiesType type, string curveNameStr, Currency currency, string tenors, params double[] values) { CurveName curveName = CurveName.of(curveNameStr); CurrencyParameterSensitivity sensitivity = sens.getTypedSensitivity(type).getSensitivity(curveName, currency); assertEquals(sensitivity.MarketDataName, CurveName.of(curveNameStr)); assertEquals(sensitivity.Currency, currency); assertEquals(metadataString(sensitivity.ParameterMetadata), tenors); assertEquals(sensitivity.Sensitivity, DoubleArray.ofUnsafe(values)); }
public void test_parse_grid_dateInTenorColumn() { CharSource source = CharSource.wrap("Sensitivity Type,Sensitivity Tenor,GBP\n" + "ZeroRateGamma,2018-06-30,1\n"); assertEquals(LOADER_DATE.isKnownFormat(source), true); ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER_DATE.parse(ImmutableList.of(source)); assertEquals(test.Failures.size(), 0, test.Failures.ToString()); assertEquals(test.Value.size(), 1); IList <CurveSensitivities> list = test.Value.get(""); assertEquals(list.Count, 1); CurveSensitivities csens0 = list[0]; assertEquals(csens0.TypedSensitivities.size(), 1); CurrencyParameterSensitivities cpss = csens0.getTypedSensitivity(ZERO_RATE_GAMMA); assertEquals(cpss.Sensitivities.size(), 1); CurrencyParameterSensitivity cps = cpss.Sensitivities.get(0); assertEquals(cps.ParameterMetadata.size(), 1); assertEquals(cps.ParameterMetadata.get(0), LabelDateParameterMetadata.of(date(2018, 6, 30), "2018-06-30")); }