public virtual void test_parameterSensitivity() { IssuerCurveDiscountFactors @base = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP); IssuerCurveZeroRateSensitivity sensi = @base.zeroRatePointSensitivity(DATE_AFTER, USD); CurrencyParameterSensitivities computed = @base.parameterSensitivity(sensi); CurrencyParameterSensitivities expected = DSC_FACTORS.parameterSensitivity(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD)); assertEquals(computed, expected); }
//------------------------------------------------------------------------- public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) { CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty(); foreach (PointSensitivity point in pointSensitivities.Sensitivities) { if (point is RepoCurveZeroRateSensitivity) { RepoCurveZeroRateSensitivity pt = (RepoCurveZeroRateSensitivity)point; RepoCurveDiscountFactors factors = repoCurveDiscountFactors(pt.RepoGroup, pt.CurveCurrency); sens = sens.combinedWith(factors.parameterSensitivity(pt)); } else if (point is IssuerCurveZeroRateSensitivity) { IssuerCurveZeroRateSensitivity pt = (IssuerCurveZeroRateSensitivity)point; IssuerCurveDiscountFactors factors = issuerCurveDiscountFactors(pt.LegalEntityGroup, pt.CurveCurrency); sens = sens.combinedWith(factors.parameterSensitivity(pt)); } } return(sens); }