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

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

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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 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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  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculatorNoNotional() {
    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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    } else if (value instanceof InflationSensitivity) {
      final InflationSensitivity previousSensitivity = (InflationSensitivity) currentTotal;
      final InflationSensitivity currentSensitivity = (InflationSensitivity) value;
      return previousSensitivity.plus(currentSensitivity);
    } else if (value instanceof MultipleCurrencyInflationSensitivity) {
      final MultipleCurrencyInflationSensitivity previousSensitivity = (MultipleCurrencyInflationSensitivity) currentTotal;
      final MultipleCurrencyInflationSensitivity currentSensitivity = (MultipleCurrencyInflationSensitivity) value;
      return previousSensitivity.plus(currentSensitivity);
    } else {
      throw new IllegalArgumentException("Cannot sum results of type " + value.getClass());
    }
  }
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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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