Examples of InflationSensitivity

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

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  @Test
  public void plusMultipliedBy() {
    final Currency ccy1 = Currency.AUD;
    final Currency ccy2 = Currency.CAD;
    final InflationSensitivity cs = InflationSensitivity.of(SENSI_11, SENSI_FWD_11, SENSI_33);
    MultipleCurrencyInflationSensitivity mcs = MultipleCurrencyInflationSensitivity.of(ccy1, cs);
    final InflationSensitivity cs2 = InflationSensitivity.ofYieldDiscounting(SENSI_22);
    final MultipleCurrencyInflationSensitivity mcs2 = MultipleCurrencyInflationSensitivity.of(ccy1, cs2);
    final MultipleCurrencyInflationSensitivity mcs3 = mcs.plus(mcs2);
    final Map<String, List<DoublesPair>> sum = InterestRateCurveSensitivityUtils.addSensitivity(SENSI_11, SENSI_22);
    final MultipleCurrencyInflationSensitivity mcs3Expected = MultipleCurrencyInflationSensitivity.of(ccy1, InflationSensitivity.of(sum, SENSI_FWD_11, SENSI_33));
    AssertSensivityObjects.assertEquals("", mcs3Expected.cleaned(), mcs3.cleaned(), TOLERANCE);
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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  @Test
  public void cleaned() {
    final Currency ccy1 = Currency.AUD;
    final Currency ccy2 = Currency.CAD;
    final InflationSensitivity cs1 = InflationSensitivity.of(SENSI_11, SENSI_FWD_11, SENSI_33);
    final InflationSensitivity cs2 = InflationSensitivity.of(SENSI_22, SENSI_FWD_11, SENSI_33);
    MultipleCurrencyInflationSensitivity mcs1 = MultipleCurrencyInflationSensitivity.of(ccy1, cs1);
    mcs1 = mcs1.plus(ccy2, cs2);
    MultipleCurrencyInflationSensitivity mcs2 = MultipleCurrencyInflationSensitivity.of(ccy2, cs2);
    mcs2 = mcs2.plus(ccy1, cs1);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: cleaned", mcs1.cleaned(), mcs2.cleaned(), TOLERANCE);
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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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 InflationSensitivity cs = InflationSensitivity.of(SENSI_11, SENSI_FWD_11, SENSI_33);
    final MultipleCurrencyInflationSensitivity mcs = MultipleCurrencyInflationSensitivity.of(ccy1, cs);
    final MultipleCurrencyInflationSensitivity mcsConverted = mcs.converted(ccy2, fxMatrix);
    final MultipleCurrencyInflationSensitivity mcsExpected = MultipleCurrencyInflationSensitivity.of(ccy2, cs.multipliedBy(fxMatrix.getFxRate(ccy1, ccy2)));
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: converted", mcsExpected.cleaned(), mcsConverted.cleaned(), TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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  @Test
  public void equalHash() {
    final Currency ccy1 = Currency.EUR;
    final Currency ccy2 = Currency.USD;
    final InflationSensitivity cs = InflationSensitivity.of(SENSI_11, SENSI_FWD_11, SENSI_33);
    final MultipleCurrencyInflationSensitivity mcs = MultipleCurrencyInflationSensitivity.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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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    mapDsc.put(CURVE_NAME_1, SENSI_DATA_1);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    mapFwd.put(CURVE_NAME_2, SENSI_FWD_1);
    final Map<String, List<DoublesPair>> mapIn = new HashMap<>();
    mapIn.put(CURVE_NAME_3, SENSI_DATA_3);
    final InflationSensitivity of = InflationSensitivity.of(mapDsc, mapFwd, mapIn);
    assertEquals("InflationSensitivity: of", mapDsc, of.getYieldDiscountingSensitivities());
    assertEquals("InflationSensitivity: of", mapFwd, of.getForwardSensitivities());
    assertEquals("InflationSensitivity: of", mapIn, of.getPriceCurveSensitivities());

    final InflationSensitivity ofDscIn = InflationSensitivity.ofYieldDiscountingAndPriceIndex(mapDsc, mapIn);
    assertEquals("InflationSensitivity: of", mapDsc, ofDscIn.getYieldDiscountingSensitivities());
    assertEquals("InflationSensitivity: of", mapIn, ofDscIn.getPriceCurveSensitivities());
    AssertSensivityObjects.assertEquals("InflationSensitivity: of", InflationSensitivity.of(mapDsc, new HashMap<String, List<ForwardSensitivity>>(), mapIn), ofDscIn, TOLERANCE);

    final InflationSensitivity ofFwd = InflationSensitivity.of(new HashMap<String, List<DoublesPair>>(), mapFwd, new HashMap<String, List<DoublesPair>>());
    InflationSensitivity constructor = new InflationSensitivity();
    constructor = constructor.plus(ofDscIn);
    constructor = constructor.plus(ofFwd).cleaned();
    AssertSensivityObjects.assertEquals("InflationSensitivity: of", constructor, of.cleaned(), TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    final Map<String, List<DoublesPair>> sensi11 = new HashMap<>();
    final Map<String, List<DoublesPair>> sensi12 = new HashMap<>();
    final Map<String, List<DoublesPair>> sensi22 = new HashMap<>();
    final Map<String, List<DoublesPair>> sensi33 = new HashMap<>();
    sensi11.put(CURVE_NAME_1, SENSI_DATA_1);
    final InflationSensitivity pvSensi_11 = InflationSensitivity.ofYieldDiscounting(sensi11);
    sensi22.put(CURVE_NAME_2, SENSI_DATA_2);
    final InflationSensitivity pvSensi_22 = InflationSensitivity.ofYieldDiscounting(sensi22);
    sensi12.put(CURVE_NAME_1, SENSI_DATA_2);
    final InflationSensitivity pvSensi_12 = InflationSensitivity.ofYieldDiscounting(sensi12);
    sensi33.put(CURVE_NAME_3, SENSI_DATA_3);
    final InflationSensitivity pvSensi_33 = InflationSensitivity.ofYieldDiscounting(sensi33);
    // Simple add
    final Map<String, List<DoublesPair>> expectedSensi11add22 = new HashMap<>();
    expectedSensi11add22.put(CURVE_NAME_1, SENSI_DATA_1);
    expectedSensi11add22.put(CURVE_NAME_2, SENSI_DATA_2);
    assertEquals(expectedSensi11add22, pvSensi_11.plus(pvSensi_22).getYieldDiscountingSensitivities());
    assertEquals(InflationSensitivity.ofYieldDiscounting(expectedSensi11add22), pvSensi_11.plus(pvSensi_22));
    // Multiply
    final List<DoublesPair> sensiData1Multiply050 = Arrays.asList(new DoublesPair[] {new DoublesPair(1, 5.0), new DoublesPair(2, 10.0), new DoublesPair(3, 15.0), new DoublesPair(4, 20.0)});
    final Map<String, List<DoublesPair>> expectedSensi1Multiply05 = new HashMap<>();
    expectedSensi1Multiply05.put(CURVE_NAME_1, sensiData1Multiply050);
    assertEquals(expectedSensi1Multiply05, pvSensi_11.multipliedBy(0.5).getYieldDiscountingSensitivities());
    assertEquals(InflationSensitivity.ofYieldDiscounting(expectedSensi1Multiply05), pvSensi_11.multipliedBy(0.5));
    // Add on the same curve
    final List<DoublesPair> expectedSensiData1add2 = new ArrayList<>();
    expectedSensiData1add2.addAll(SENSI_DATA_1);
    expectedSensiData1add2.addAll(SENSI_DATA_2);
    final Map<String, List<DoublesPair>> expectedSensi11add12 = new HashMap<>();
    expectedSensi11add12.put(CURVE_NAME_1, expectedSensiData1add2);
    assertEquals(expectedSensi11add12, pvSensi_11.plus(pvSensi_12).getYieldDiscountingSensitivities());
    assertEquals(InflationSensitivity.ofYieldDiscounting(expectedSensi11add12), pvSensi_11.plus(pvSensi_12));
    // Add multi-curve
    final Map<String, List<DoublesPair>> expectedSensiAddMulti = new HashMap<>();
    expectedSensiAddMulti.put(CURVE_NAME_1, expectedSensiData1add2);
    expectedSensiAddMulti.put(CURVE_NAME_2, SENSI_DATA_2);
    expectedSensiAddMulti.put(CURVE_NAME_3, SENSI_DATA_3);
    assertEquals(expectedSensiAddMulti, pvSensi_11.plus(pvSensi_22.plus(pvSensi_33.plus(pvSensi_12))).getYieldDiscountingSensitivities());
    assertEquals(InflationSensitivity.ofYieldDiscounting(expectedSensiAddMulti), pvSensi_11.plus(pvSensi_22.plus(pvSensi_33.plus(pvSensi_12))));
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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  public void plusMultipliedByDscIn() {
    final Map<String, List<DoublesPair>> sensi11 = new HashMap<>();
    sensi11.put(CURVE_NAME_1, SENSI_DATA_1);
    final Map<String, List<DoublesPair>> sensi22 = new HashMap<>();
    sensi22.put(CURVE_NAME_2, SENSI_DATA_2);
    final InflationSensitivity pvSensiDscIn = InflationSensitivity.ofYieldDiscountingAndPriceIndex(sensi11, sensi22);
    AssertSensivityObjects.assertEquals("CurveSensitivityMarket: plusMultipliedBy", pvSensiDscIn.plus(pvSensiDscIn).cleaned(), pvSensiDscIn.multipliedBy(2.0).cleaned(), TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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  @Test
  public void cleaned() {
    final Map<String, List<DoublesPair>> sensi11 = new HashMap<>();
    final Map<String, List<DoublesPair>> sensi12 = new HashMap<>();
    sensi11.put(CURVE_NAME_1, SENSI_DATA_1);
    final InflationSensitivity pvSensi_11 = InflationSensitivity.ofYieldDiscounting(sensi11);
    sensi12.put(CURVE_NAME_1, SENSI_DATA_2);
    final InflationSensitivity pvSensi_12 = InflationSensitivity.ofYieldDiscounting(sensi12);
    final List<DoublesPair> expectedSensiDataClean12 = Arrays.asList(new DoublesPair[] {new DoublesPair(1, 50), new DoublesPair(2, 50), new DoublesPair(3, 50), new DoublesPair(4, 50)});
    final Map<String, List<DoublesPair>> expectedSensiClean12 = new HashMap<>();
    expectedSensiClean12.put(CURVE_NAME_1, expectedSensiDataClean12);
    assertEquals(InflationSensitivity.ofYieldDiscounting(expectedSensiClean12).getYieldDiscountingSensitivities(), pvSensi_11.plus(pvSensi_12).cleaned().getYieldDiscountingSensitivities());
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    mapDsc.put(CURVE_NAME_1, SENSI_DATA_1);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    mapFwd.put(CURVE_NAME_2, SENSI_FWD_1);
    final Map<String, List<DoublesPair>> mapIn = new HashMap<>();
    mapIn.put(CURVE_NAME_3, SENSI_DATA_3);
    final InflationSensitivity cs = InflationSensitivity.of(mapDsc, mapFwd, mapIn);
    assertEquals("ParameterSensitivity: equalHash", cs, cs);
    assertEquals("ParameterSensitivity: equalHash", cs.hashCode(), cs.hashCode());
    assertFalse("ParameterSensitivity: equalHash", cs.equals(mapDsc));
    InflationSensitivity modified;
    modified = InflationSensitivity.of(mapDsc, mapFwd, mapDsc);
    assertFalse("ParameterSensitivity: equalHash", cs.equals(modified));
    modified = InflationSensitivity.of(mapIn, mapFwd, mapIn);
    assertFalse("ParameterSensitivity: equalHash", cs.equals(modified));
    final Map<String, List<ForwardSensitivity>> mapFwd2 = new HashMap<>();
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    } else if (value instanceof MultipleCurrencyParameterSensitivity) {
      final MultipleCurrencyParameterSensitivity previousSensitivity = (MultipleCurrencyParameterSensitivity) currentTotal;
      final MultipleCurrencyParameterSensitivity currentSensitivity = (MultipleCurrencyParameterSensitivity) value;
      return previousSensitivity.plus(currentSensitivity);
    } 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);
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