@Test(enabled = false)
/** Analyzes the shape of the forward curve. */
public void marketQuoteSensitivityAnalysis() {
final InflationProviderDiscount multicurves7 =
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst();
multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst());
final CurveBuildingBlockBundle blocks7 =
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond();
blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
final double spreadJPYEUR = 0.0010; // 10bps
final double notional = 100000;
final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
final SwapFixedInflationZeroCouponDefinition swapDefinition =
GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
final InstrumentDerivative swap =
swapDefinition.toDerivative(
NOW,
new ZonedDateTimeDoubleTimeSeries[] {
TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY
});
final ParameterSensitivityInflationParameterCalculator<ParameterInflationProviderInterface>
PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDIC);
final MarketQuoteInflationSensitivityBlockCalculator<ParameterInflationProviderInterface> MQSC =
new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
@SuppressWarnings("unused")
final MultipleCurrencyParameterSensitivity mqs =
MQSC.fromInstrument(swap, multicurves7, blocks7);
}
