public void regression_withZSpread_periodic() {
double price =
FUTURE_PRICER.priceWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
assertEquals(price, 1.1720190529653407, TOL);
PointSensitivities point =
FUTURE_PRICER.priceSensitivityWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurrencyParameterSensitivities test = PROVIDER.parameterSensitivity(point);
DoubleArray expectedIssuer =
DoubleArray.of(
-3.9201229100932256E-4,
-0.0041367134351306374,
-0.014173323438217467,
-0.9886444827927878,
-4.07533109609094,
0);
DoubleArray actualIssuer =
test.getSensitivity(METADATA_ISSUER.getCurveName(), USD).getSensitivity();
assertTrue(actualIssuer.equalWithTolerance(expectedIssuer, TOL));
DoubleArray expectedRepo =
DoubleArray.of(0.1428352116441475, 0.20242871054203687, 0.0, 0.0, 0.0, 0.0);
DoubleArray actualRepo =
test.getSensitivity(METADATA_REPO.getCurveName(), USD).getSensitivity();
assertTrue(actualRepo.equalWithTolerance(expectedRepo, TOL));
}
// -------------------------------------------------------------------------
public void test_priceSensitivity() {
PointSensitivities point = FUTURE_PRICER.priceSensitivity(FUTURE_PRODUCT, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER, (p) -> CurrencyAmount.of(USD, FUTURE_PRICER.price(FUTURE_PRODUCT, (p))));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
public void test_priceSensitivityWithZSpread_continuous() {
PointSensitivities point =
FUTURE_PRICER.priceSensitivityWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
USD,
FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, (p), Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
// -------------------------------------------------------------------------
// regression to 2.x
public void regression() {
double price = FUTURE_PRICER.price(FUTURE_PRODUCT, PROVIDER);
assertEquals(price, 1.2106928633440506, TOL);
PointSensitivities point = FUTURE_PRICER.priceSensitivity(FUTURE_PRODUCT, PROVIDER);
CurrencyParameterSensitivities test = PROVIDER.parameterSensitivity(point);
DoubleArray expectedIssuer =
DoubleArray.of(
-3.940585873921608E-4,
-0.004161527192990392,
-0.014331606019672717,
-1.0229665443857998,
-4.220553063715371,
0);
DoubleArray actualIssuer =
test.getSensitivity(METADATA_ISSUER.getCurveName(), USD).getSensitivity();
assertTrue(actualIssuer.equalWithTolerance(expectedIssuer, TOL));
DoubleArray expectedRepo =
DoubleArray.of(0.14752541809405412, 0.20907575809356016, 0.0, 0.0, 0.0, 0.0);
DoubleArray actualRepo =
test.getSensitivity(METADATA_REPO.getCurveName(), USD).getSensitivity();
assertTrue(actualRepo.equalWithTolerance(expectedRepo, TOL));
}
