public void test_zeroRatePointSensitivity() {
IssuerCurveDiscountFactors base = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP);
IssuerCurveZeroRateSensitivity expected =
IssuerCurveZeroRateSensitivity.of(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER), GROUP);
IssuerCurveZeroRateSensitivity computed = base.zeroRatePointSensitivity(DATE_AFTER);
assertEquals(computed, expected);
}
// -------------------------------------------------------------------------
public void coverage() {
IssuerCurveDiscountFactors test1 = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP);
coverImmutableBean(test1);
IssuerCurveDiscountFactors test2 =
IssuerCurveDiscountFactors.of(
ZeroRateDiscountFactors.of(USD, DATE, CURVE), LegalEntityGroup.of("ISSUER2"));
coverBeanEquals(test1, test2);
}
public void test_curveParameterSensitivity() {
IssuerCurveDiscountFactors base = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP);
IssuerCurveZeroRateSensitivity sensi = base.zeroRatePointSensitivity(DATE_AFTER, USD);
CurveCurrencyParameterSensitivities computed = base.curveParameterSensitivity(sensi);
CurveCurrencyParameterSensitivities expected =
DSC_FACTORS.curveParameterSensitivity(
DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD));
assertEquals(computed, expected);
}
public void test_of() {
IssuerCurveDiscountFactors test = IssuerCurveDiscountFactors.of(DSC_FACTORS, GROUP);
assertEquals(test.getLegalEntityGroup(), GROUP);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getCurveName(), NAME);
assertEquals(test.getParameterCount(), 2);
assertEquals(test.getValuationDate(), DATE);
assertEquals(test.discountFactor(DATE_AFTER), DSC_FACTORS.discountFactor(DATE_AFTER));
}
