Package com.opengamma.analytics.financial.provider.sensitivity.inflation

Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity

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    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculatorWithNotional() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(YEAR_ON_YEAR_WITH, MARKET.getInflationProvider());
    final MultipleCurrencyInflationSensitivity pvcisCalculator = YEAR_ON_YEAR_WITH.accept(PVCSDC, MARKET.getInflationProvider());
    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculator() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(ZERO_COUPON_CAP, BLACK_INFLATION);
    final MultipleCurrencyInflationSensitivity pvcisCalculator = ZERO_COUPON_CAP.accept(PVCSDC, BLACK_INFLATION);
    AssertSensivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculator() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(YEAR_ON_YEAR_CAP, BLACK_INFLATION);
    final MultipleCurrencyInflationSensitivity pvcisCalculator = YEAR_ON_YEAR_CAP.accept(PVCSDC, BLACK_INFLATION);
    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculatorNoNotional() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(ZERO_COUPON_1, MARKET.getInflationProvider());
    final MultipleCurrencyInflationSensitivity pvcisCalculator = ZERO_COUPON_1.accept(PVCSDC, MARKET.getInflationProvider());
    AssertSensivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculator() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(ZERO_COUPON_CAP, BLACK_INFLATION);
    final MultipleCurrencyInflationSensitivity pvcisCalculator = ZERO_COUPON_CAP.accept(PVCSDC, BLACK_INFLATION);
    AssertSensivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculatorNoNotional() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(YEAR_ON_YEAR_NO, MARKET.getInflationProvider());
    final MultipleCurrencyInflationSensitivity pvcisCalculator = YEAR_ON_YEAR_NO.accept(PVCSDC, MARKET.getInflationProvider());
    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculatorWithNotional() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(YEAR_ON_YEAR_WITH, MARKET.getInflationProvider());
    final MultipleCurrencyInflationSensitivity pvcisCalculator = YEAR_ON_YEAR_WITH.accept(PVCSDC, MARKET.getInflationProvider());
    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculatorNoNotional() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(ZERO_COUPON_NO, MARKET.getInflationProvider());
    final MultipleCurrencyInflationSensitivity pvcisCalculator = ZERO_COUPON_NO.accept(PVCSDC, MARKET.getInflationProvider());
    AssertSensivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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    AssertSensivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculatorWithNotional() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(ZERO_COUPON_WITH, MARKET.getInflationProvider());
    final MultipleCurrencyInflationSensitivity pvcisCalculator = ZERO_COUPON_WITH.accept(PVCSDC, MARKET.getInflationProvider());
    AssertSensivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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      final List<FudgeField> currencies = message.getAllByName(CURRENCY);
      final List<FudgeField> sensitivities = message.getAllByName(SENSITIVITIES);
      if (currencies.size() != sensitivities.size()) {
        throw new OpenGammaRuntimeException("Should have same number of sensitivities as currencies");
      }
      MultipleCurrencyInflationSensitivity result = new MultipleCurrencyInflationSensitivity();
      for (int i = 0; i < currencies.size(); i++) {
        final Currency currency = Currency.of((String) currencies.get(i).getValue());
        final InflationSensitivity sensitivity = deserializer.fieldValueToObject(InflationSensitivity.class, sensitivities.get(i));
        result = result.plus(currency, sensitivity);
      }
      return result;
    }
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Related Classes of com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity

  • com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedSecurityDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedTransactionDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedTransactionDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationyearOnYearInterpolationBlackNormalSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationYearOnYearMonthlyBlackNormalSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponInterpolationBlackSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponMonthlyBlackSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearInterpolationDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearInterpolationWithMarginDiscountingMethodTest
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