//------------------------------------------------------------------------- public virtual void test_valuePointSensitivity_fixing() { SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS); PriceIndexObservation obs = PriceIndexObservation.of(US_CPI_U, VAL_MONTH.minusMonths(3)); assertEquals(test.valuePointSensitivity(obs), PointSensitivityBuilder.none()); }
public virtual void test_valuePointSensitivity_forward() { YearMonth month = VAL_MONTH.plusMonths(3); SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS); PriceIndexObservation obs = PriceIndexObservation.of(US_CPI_U, month); InflationRateSensitivity expected = InflationRateSensitivity.of(obs, 1d); assertEquals(test.valuePointSensitivity(obs), expected); }
public virtual void test_value_pts_sensitivity_futfixing() { for (int i = 0; i < TEST_MONTHS.Length; i++) { PointSensitivityBuilder ptsComputed = INSTANCE_WITH_FUTFIXING.valuePointSensitivity(TEST_OBS[i]); YearMonth fixingMonth = TEST_OBS[i].FixingMonth; PointSensitivityBuilder ptsExpected; if (fixingMonth.isBefore(YearMonth.from(VAL_DATE_2)) && USCPI_TS.containsDate(fixingMonth.atEndOfMonth())) { ptsExpected = PointSensitivityBuilder.none(); } else { ptsExpected = InflationRateSensitivity.of(TEST_OBS[i], 1d); } assertTrue(ptsComputed.build().equalWithTolerance(ptsExpected.build(), TOLERANCE_VALUE), "test " + i); } }