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

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity

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    MultipleCurrencyMulticurveSensitivity.of(Currency.AUD, null);
  }

  @Test
  public void of() {
    final MulticurveSensitivity cs = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
    final Currency ccy1 = Currency.AUD;
    final MultipleCurrencyMulticurveSensitivity mcs = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
    assertEquals("MultipleCurrencyCurveSensitivityMarket: of", cs, mcs.getSensitivity(ccy1));
    MultipleCurrencyMulticurveSensitivity constructor = new MultipleCurrencyMulticurveSensitivity();
    constructor = constructor.plus(ccy1, cs);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: of", mcs.cleaned(), constructor.cleaned(), TOLERANCE);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: getSensitivity", new MulticurveSensitivity(), mcs.getSensitivity(Currency.CAD), TOLERANCE);
  }
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  @Test
  public void plusMultipliedBy() {
    final Currency ccy1 = Currency.AUD;
    final Currency ccy2 = Currency.CAD;
    final MulticurveSensitivity cs = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
    MultipleCurrencyMulticurveSensitivity mcs = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
    final MulticurveSensitivity cs2 = MulticurveSensitivity.ofYieldDiscounting(SENSI_22);
    final MultipleCurrencyMulticurveSensitivity mcs2 = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs2);
    final MultipleCurrencyMulticurveSensitivity mcs3 = mcs.plus(mcs2);
    final Map<String, List<DoublesPair>> sum = InterestRateCurveSensitivityUtils.addSensitivity(SENSI_11, SENSI_22);
    final MultipleCurrencyMulticurveSensitivity mcs3Expected = MultipleCurrencyMulticurveSensitivity.of(ccy1, MulticurveSensitivity.of(sum, SENSI_FWD_11));
    AssertSensivityObjects.assertEquals("", mcs3Expected.cleaned(), mcs3.cleaned(), TOLERANCE);
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  @Test
  public void cleaned() {
    final Currency ccy1 = Currency.AUD;
    final Currency ccy2 = Currency.CAD;
    final MulticurveSensitivity cs1 = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
    final MulticurveSensitivity cs2 = MulticurveSensitivity.of(SENSI_22, SENSI_FWD_11);
    MultipleCurrencyMulticurveSensitivity mcs1 = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs1);
    mcs1 = mcs1.plus(ccy2, cs2);
    MultipleCurrencyMulticurveSensitivity mcs2 = MultipleCurrencyMulticurveSensitivity.of(ccy2, cs2);
    mcs2 = mcs2.plus(ccy1, cs1);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: cleaned", mcs1.cleaned(), mcs2.cleaned(), TOLERANCE);
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  @Test
  public void converted() {
    final Currency ccy1 = Currency.EUR;
    final Currency ccy2 = Currency.USD;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, 1.25);
    final MulticurveSensitivity cs = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
    final MultipleCurrencyMulticurveSensitivity mcs = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
    final MultipleCurrencyMulticurveSensitivity mcsConverted = mcs.converted(ccy2, fxMatrix);
    final MultipleCurrencyMulticurveSensitivity mcsExpected = MultipleCurrencyMulticurveSensitivity.of(ccy2, cs.multipliedBy(fxMatrix.getFxRate(ccy1, ccy2)));
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: converted", mcsExpected.cleaned(), mcsConverted.cleaned(), TOLERANCE);
  }
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  @Test
  public void equalHash() {
    final Currency ccy1 = Currency.EUR;
    final Currency ccy2 = Currency.USD;
    final MulticurveSensitivity cs = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
    final MultipleCurrencyMulticurveSensitivity mcs = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
    assertEquals("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs, mcs);
    assertEquals("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs.hashCode(), mcs.hashCode());
    assertFalse("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs.equals(null));
    assertFalse("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs.equals(SENSI_11));
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  @Test
  /**
   * Tests the par spread curve sensitivity through the method and through the calculator.
   */
  public void parSpreadCurveSensitivityMethodVsCalculator() {
    final MulticurveSensitivity pvcsMethod = METHOD_FX.parSpreadCurveSensitivity(FX, MULTICURVES);
    final MulticurveSensitivity pvcsCalculator = FX.accept(PSMQCSDC, MULTICURVES);
    assertEquals("Forex swap present value curve sensitivity: Method vs Calculator", pvcsMethod, pvcsCalculator);
  }
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  @Test
  /**
   * Tests the par spread curve sensitivity through the method and through the calculator.
   */
  public void parSpreadCurveSensitivityMethodVsCalculator() {
    final MulticurveSensitivity pvcsMethod = FRA_METHOD.parSpreadCurveSensitivity(FRA, PROVIDER);
    final MulticurveSensitivity pvcsCalculator = FRA.accept(PSMQCSDC, PROVIDER);
    assertEquals("Forex swap present value curve sensitivity: Method vs Calculator", pvcsMethod, pvcsCalculator);
  }
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  @Test
  /**
   * Tests the curve sensitivity when the future price is computed from the curves.
   */
  public void priceCurveSensitivityFromCurves() {
    final MulticurveSensitivity pcsCallComputed = METHOD_BLACK_SEC.priceCurveSensitivity(BOND_FUTURE_OPTION_DERIV_CALL, BLACK_MULTICURVES).cleaned();
    final MulticurveSensitivity pcsPutComputed = METHOD_BLACK_SEC.priceCurveSensitivity(BOND_FUTURE_OPTION_DERIV_PUT, BLACK_MULTICURVES);
    final MulticurveSensitivity pcsFuture = METHOD_FUTURES.priceCurveSensitivity(BOND_FUTURE_DERIV, ISSUER_MULTICURVES).cleaned();
    final MulticurveSensitivity pcsCallPut = pcsCallComputed.plus(pcsPutComputed.multipliedBy(-1.0)).cleaned();
    AssertSensivityObjects.assertEquals("BondFutureOptionPremiumSecurityBlackSurfaceMethod: option price curve sensitivity - put/call parity", pcsFuture, pcsCallPut, TOLERANCE_PRICE_SENSI);
    final double delta = METHOD_BLACK_SEC.priceDelta(BOND_FUTURE_OPTION_DERIV_CALL, BLACK_MULTICURVES);
    final MulticurveSensitivity pcsCallExpected = pcsFuture.multipliedBy(delta);
    AssertSensivityObjects.assertEquals("BondFutureOptionPremiumSecurityBlackSurfaceMethod: option price curve sensitivity", pcsCallExpected, pcsCallComputed, TOLERANCE_PRICE_SENSI);
  }
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  @Test
  /**
   * Tests the curve sensitivity when the future price is directly provided.
   */
  public void priceCurveSensitivityFromFuturesPrice() {
    final MulticurveSensitivity pcsCallComputed = METHOD_BLACK_SEC.priceCurveSensitivity(BOND_FUTURE_OPTION_DERIV_CALL, BLACK_PRICE_MULTICURVES).cleaned();
    final MulticurveSensitivity pcsCallNoFut = METHOD_BLACK_SEC.priceCurveSensitivity(BOND_FUTURE_OPTION_DERIV_CALL, BLACK_MULTICURVES).cleaned();
    AssertSensivityObjects.assertDoesNotEqual("BondFutureOptionPremiumSecurityBlackSurfaceMethod: option price curve sensitivity", pcsCallComputed, pcsCallNoFut, TOLERANCE_PRICE_SENSI);
    final MulticurveSensitivity pcsPutComputed = METHOD_BLACK_SEC.priceCurveSensitivity(BOND_FUTURE_OPTION_DERIV_PUT, BLACK_PRICE_MULTICURVES);
    final MulticurveSensitivity pcsFuture = METHOD_FUTURES.priceCurveSensitivity(BOND_FUTURE_DERIV, ISSUER_MULTICURVES).cleaned();
    final MulticurveSensitivity pcsCallPut = pcsCallComputed.plus(pcsPutComputed.multipliedBy(-1.0)).cleaned();
    AssertSensivityObjects.assertEquals("BondFutureOptionPremiumSecurityBlackSurfaceMethod: option price curve sensitivity - put/call parity", pcsFuture, pcsCallPut, TOLERANCE_PRICE_SENSI);
    final double delta = METHOD_BLACK_SEC.priceDelta(BOND_FUTURE_OPTION_DERIV_CALL, BLACK_PRICE_MULTICURVES);
    final MulticurveSensitivity pcsCallExpected = pcsFuture.multipliedBy(delta);
    AssertSensivityObjects.assertEquals("BondFutureOptionPremiumSecurityBlackSurfaceMethod: option price curve sensitivity", pcsCallExpected, pcsCallComputed, TOLERANCE_PRICE_SENSI);
  }
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  /**
   * Tests the present value curve sensitivity method for bond futures.
   */
  public void presentValueCurveSensitivityRelative() {
    final MultipleCurrencyMulticurveSensitivity pvcsComputed = METHOD_HW.presentValueCurveSensitivity(BOND_FUTURE_DERIV, HW_ISSUER);
    final MulticurveSensitivity pcsSecurity = METHOD_HW.priceCurveSensitivity(BOND_FUTURE_DERIV, HW_ISSUER);
    final MultipleCurrencyMulticurveSensitivity pvcsExpected = MultipleCurrencyMulticurveSensitivity.of(USD, pcsSecurity.multipliedBy(NOTIONAL));
    AssertSensivityObjects.assertEquals("Bond future transaction Discounting Method: present value curve sensitivity", pvcsExpected.cleaned(), pvcsComputed.cleaned(), TOLERANCE_PV_DELTA);
  }
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