/**
* Converts the sensitivities in this instance to an equivalent in the specified currency.
*
* <p>Any FX conversion that is required will use rates from the provider.
*
* @param resultCurrency the currency of the result
* @param rateProvider the provider of FX rates
* @return the sensitivity object expressed in terms of the result currency
* @throws RuntimeException if no FX rate could be found
*/
@Override
public CurveCurrencyParameterSensitivities convertedTo(
Currency resultCurrency, FxRateProvider rateProvider) {
List<CurveCurrencyParameterSensitivity> mutable = new ArrayList<>();
for (CurveCurrencyParameterSensitivity sens : sensitivities) {
insert(mutable, sens.convertedTo(resultCurrency, rateProvider));
}
return new CurveCurrencyParameterSensitivities(ImmutableList.copyOf(mutable));
}
// inserts a sensitivity into the mutable list in the right location
// merges the entry with an existing entry if the key matches
private static void insert(
List<CurveCurrencyParameterSensitivity> mutable, CurveCurrencyParameterSensitivity addition) {
int index =
Collections.binarySearch(mutable, addition, CurveCurrencyParameterSensitivity::compareKey);
if (index >= 0) {
CurveCurrencyParameterSensitivity base = mutable.get(index);
double[] combined =
DoubleArrayMath.combineByAddition(base.getSensitivity(), addition.getSensitivity());
mutable.set(index, base.withSensitivity(combined));
} else {
int insertionPoint = -(index + 1);
mutable.add(insertionPoint, addition);
}
}
/**
* Checks if this sensitivity equals another within the specified tolerance.
*
* <p>This returns true if the two instances have the same keys, with arrays of the same length,
* where the {@code double} values are equal within the specified tolerance.
*
* @param other the other sensitivity
* @param tolerance the tolerance
* @return true if equal up to the tolerance
*/
public boolean equalWithTolerance(CurveCurrencyParameterSensitivities other, double tolerance) {
List<CurveCurrencyParameterSensitivity> mutable = new ArrayList<>(other.sensitivities);
// for each sensitivity in this instance, find matching in other instance
for (CurveCurrencyParameterSensitivity sens1 : sensitivities) {
// list is already sorted so binary search is safe
int index =
Collections.binarySearch(mutable, sens1, CurveCurrencyParameterSensitivity::compareKey);
if (index >= 0) {
// matched, so must be equal
CurveCurrencyParameterSensitivity sens2 = mutable.get(index);
if (!DoubleArrayMath.fuzzyEquals(
sens1.getSensitivity(), sens2.getSensitivity(), tolerance)) {
return false;
}
mutable.remove(index);
} else {
// did not match, so must be zero
if (!DoubleArrayMath.fuzzyEqualsZero(sens1.getSensitivity(), tolerance)) {
return false;
}
}
}
// all that remain from other instance must be zero
for (CurveCurrencyParameterSensitivity sens2 : mutable) {
if (!DoubleArrayMath.fuzzyEqualsZero(sens2.getSensitivity(), tolerance)) {
return false;
}
}
return true;
}
