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

Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity.cleaned()

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  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final DATA_TYPE parameterMulticurves, final Set<String> curvesSet) {
    ArgumentChecker.notNull(instrument, "derivative");
    ArgumentChecker.notNull(parameterMulticurves, "Black data");
    ArgumentChecker.notNull(curvesSet, "curves");
    MultipleCurrencyInflationSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, parameterMulticurves);
    sensitivity = sensitivity.cleaned(); // TODO: for testing purposes mainly. Could be removed after the tests.
    return pointToParameterSensitivity(sensitivity, parameterMulticurves, curvesSet);
  }

  /**
   * Computes the sensitivity with respect to the parameters from the point sensitivities to the continuously compounded rate.
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    final Currency ccy1 = Currency.AUD;
    final MultipleCurrencyInflationSensitivity mcs = MultipleCurrencyInflationSensitivity.of(ccy1, cs);
    assertEquals("MultipleCurrencyCurveSensitivityMarket: of", cs, mcs.getSensitivity(ccy1));
    MultipleCurrencyInflationSensitivity constructor = new MultipleCurrencyInflationSensitivity();
    constructor = constructor.plus(ccy1, cs);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: of", mcs.cleaned(), constructor.cleaned(), TOLERANCE);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: getSensitivity", new InflationSensitivity(), mcs.getSensitivity(Currency.CAD), TOLERANCE);
  }

  @Test
  public void plusMultipliedBy() {
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    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);
    mcs = mcs.plus(ccy2, cs);
    assertEquals("MultipleCurrencyCurveSensitivityMarket: plusMultipliedBy", cs, mcs.getSensitivity(ccy1));
    assertEquals("MultipleCurrencyCurveSensitivityMarket: plusMultipliedBy", cs, mcs.getSensitivity(ccy2));
    AssertSensivityObjects.assertEquals("", mcs.plus(mcs).cleaned(), mcs.multipliedBy(2.0).cleaned(), TOLERANCE);
  }
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    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);
  }

  @Test
  public void converted() {
    final Currency ccy1 = Currency.EUR;
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    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);
  }

  @Test
  public void equalHash() {
    final Currency ccy1 = Currency.EUR;
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