public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, -0d);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, PERIODIC, 2), expected);
}
public virtual void test_zeroRatePointSensitivityWithSpread_smallYearFraction()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, -0d);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_VAL, SPREAD, CONTINUOUS, 0), expected);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continuous()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = CURVE.yValue(relativeYearFraction) * Math.Exp(-SPREAD * relativeYearFraction);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
assertEquals(test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 1), expected);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_periodic()
{
int periodPerYear = 4;
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = CURVE.yValue(relativeYearFraction);
double discountFactorUp = df * Math.Exp(-EPS * relativeYearFraction);
double discountFactorDw = df * Math.Exp(EPS * relativeYearFraction);
double rateUp = (Math.Pow(discountFactorUp, -1d / periodPerYear / relativeYearFraction) - 1d) * periodPerYear;
double rateDw = (Math.Pow(discountFactorDw, -1d / periodPerYear / relativeYearFraction) - 1d) * periodPerYear;
double expectedValue = 0.5 / EPS * (discountFactorFromPeriodicallyCompoundedRate(rateUp + SPREAD, periodPerYear, relativeYearFraction) - discountFactorFromPeriodicallyCompoundedRate(rateDw + SPREAD, periodPerYear, relativeYearFraction));
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, PERIODIC, periodPerYear);
assertEquals(computed.Sensitivity, expectedValue, EPS);
assertEquals(computed.Currency, USD);
assertEquals(computed.CurveCurrency, GBP);
assertEquals(computed.YearFraction, relativeYearFraction);
}
