private SurfaceMetadata updateSurfaceMetadata(Set<DoublesPair> pairs) {
SurfaceMetadata surfaceMetadata = surface.getMetadata();
List<SurfaceParameterMetadata> sortedMetaList = new ArrayList<SurfaceParameterMetadata>();
if (surfaceMetadata.getParameterMetadata().isPresent()) {
List<SurfaceParameterMetadata> metaList =
new ArrayList<SurfaceParameterMetadata>(surfaceMetadata.getParameterMetadata().get());
for (DoublesPair pair : pairs) {
metadataLoop:
for (SurfaceParameterMetadata parameterMetadata : metaList) {
ArgChecker.isTrue(
parameterMetadata instanceof GenericVolatilitySurfaceYearFractionMetadata,
"Surface parameter metadata must be instance of GenericVolatilitySurfaceYearFractionMetadata");
GenericVolatilitySurfaceYearFractionMetadata casted =
(GenericVolatilitySurfaceYearFractionMetadata) parameterMetadata;
if (pair.getFirst() == casted.getYearFraction()
&& pair.getSecond() == casted.getStrike().getValue()) {
sortedMetaList.add(casted);
metaList.remove(parameterMetadata);
break metadataLoop;
}
}
}
ArgChecker.isTrue(
metaList.size() == 0,
"Mismatch between surface parameter metadata list and doubles pair list");
} else {
for (DoublesPair pair : pairs) {
GenericVolatilitySurfaceYearFractionMetadata parameterMetadata =
GenericVolatilitySurfaceYearFractionMetadata.of(
pair.getFirst(), SimpleStrike.of(pair.getSecond()));
sortedMetaList.add(parameterMetadata);
}
}
return surfaceMetadata.withParameterMetadata(sortedMetaList);
}
@Test
public void testMultiply() {
final InterestRateCurveSensitivity sensitivity1 =
new InterestRateCurveSensitivity(SENSITIVITY_11);
final InterestRateCurveSensitivity sensitivity2 =
new InterestRateCurveSensitivity(SENSITIVITY_12);
final InterestRateCurveSensitivity sensitivity3 =
new InterestRateCurveSensitivity(SENSITIVITY_22);
final InterestRateCurveSensitivity sensitivity4 =
new InterestRateCurveSensitivity(SENSITIVITY_33);
final double factor = Math.random() - 1;
final List<DoublesPair> list1 = new ArrayList<>();
final List<DoublesPair> list2 = new ArrayList<>();
final List<DoublesPair> list3 = new ArrayList<>();
for (final DoublesPair pair : SENSITIVITY_DATA_1) {
list1.add(DoublesPair.of(pair.getFirst(), pair.getSecond() * factor));
}
for (final DoublesPair pair : SENSITIVITY_DATA_2) {
final DoublesPair scaledPair = DoublesPair.of(pair.getFirst(), pair.getSecond() * factor);
list1.add(scaledPair);
list2.add(scaledPair);
}
for (final DoublesPair pair : SENSITIVITY_DATA_3) {
list3.add(DoublesPair.of(pair.getFirst(), pair.getSecond() * factor));
}
final Map<String, List<DoublesPair>> map = new HashMap<>();
map.put(CURVE_NAME_1, list1);
map.put(CURVE_NAME_2, list2);
map.put(CURVE_NAME_3, list3);
final InterestRateCurveSensitivity expected = new InterestRateCurveSensitivity(map);
final InterestRateCurveSensitivity actualUnscaled =
sensitivity1.plus(sensitivity2).plus(sensitivity3).plus(sensitivity4);
InterestRateCurveSensitivity actual = actualUnscaled.multipliedBy(factor);
assertFalse(actualUnscaled == actual);
assertFalse(actualUnscaled.getSensitivities() == actual.getSensitivities());
assertEquals(expected, actual);
actual =
sensitivity1
.multipliedBy(factor)
.plus(sensitivity2.multipliedBy(factor))
.plus(sensitivity3.multipliedBy(factor))
.plus(sensitivity4.multipliedBy(factor));
assertEquals(expected, actual);
}
private void assertIRCSEquals(
final InterestRateCurveSensitivity expected, final InterestRateCurveSensitivity actual) {
final Iterator<Map.Entry<String, List<DoublesPair>>> expectedIterator =
new TreeMap<>(expected.getSensitivities()).entrySet().iterator();
final Iterator<Map.Entry<String, List<DoublesPair>>> actualIterator =
new TreeMap<>(actual.getSensitivities()).entrySet().iterator();
do {
final Map.Entry<String, List<DoublesPair>> expectedEntry = expectedIterator.next();
final Map.Entry<String, List<DoublesPair>> actualEntry = actualIterator.next();
assertEquals(expectedEntry.getKey(), actualEntry.getKey());
assertEquals(expectedEntry.getValue().size(), actualEntry.getValue().size());
for (int i = 0; i < expectedEntry.getValue().size(); i++) {
final DoublesPair expectedPair = expectedEntry.getValue().get(i);
final DoublesPair actualPair = actualEntry.getValue().get(i);
assertEquals(expectedPair.getFirst(), actualPair.getFirst(), EPS);
assertEquals(expectedPair.getSecond(), actualPair.getSecond(), EPS);
}
} while (expectedIterator.hasNext() && actualIterator.hasNext());
}
@Test
public void testCompareDifferentValues() {
AssertSensitivityObjects.assertEquals(
"", new InterestRateCurveSensitivity(), new InterestRateCurveSensitivity(), EPS);
final TreeMap<String, List<DoublesPair>> sortedMap = new TreeMap<>(SENSITIVITY_11);
final InterestRateCurveSensitivity sensitivity1 = new InterestRateCurveSensitivity(sortedMap);
final InterestRateCurveSensitivity sensitivity2 =
new InterestRateCurveSensitivity(SENSITIVITY_12);
AssertSensitivityObjects.assertDoesNotEqual("", sensitivity1, sensitivity2, EPS);
final Map<String, List<DoublesPair>> map = Maps.newTreeMap();
final double eps = 1e-4;
for (final Map.Entry<String, List<DoublesPair>> entry : sortedMap.entrySet()) {
final List<DoublesPair> list = new ArrayList<>();
for (final DoublesPair pair : entry.getValue()) {
list.add(DoublesPair.of(pair.getFirst(), pair.getSecond() + 0.01 * eps));
}
map.put(entry.getKey(), list);
}
final InterestRateCurveSensitivity sensitivity3 = new InterestRateCurveSensitivity(map);
AssertSensitivityObjects.assertEquals("", sensitivity1, sensitivity3, eps);
AssertSensitivityObjects.assertDoesNotEqual("", sensitivity1, sensitivity3, EPS);
}
