@Test
public void Test() {
final boolean print = false;
if (print) {
System.out.println("AnalyticCDV01Test set print =false before push");
}
final double dealSpread = DEAL_SPREAD / 10000;
final double[] mrkSpreads = new double[NUM_MARKET_CDS];
for (int i = 0; i < NUM_MARKET_CDS; i++) {
mrkSpreads[i] = PAR_SPREADS[i] / 10000;
}
final ISDACompliantCreditCurve creditCurve =
BUILDER.calibrateCreditCurve(MARKET_CDS, mrkSpreads, YIELD_CURVE);
final int n = creditCurve.getNumberOfKnots();
final double[][] jacA = new double[n][n];
for (int j = 0; j < n; j++) {
final CDSAnalytic cds = MARKET_CDS[j];
for (int i = 0; i < n; i++) {
final double dDdH = PRICER.parSpreadCreditSensitivity(cds, YIELD_CURVE, creditCurve, i);
jacA[i][j] = dDdH;
}
}
final DoubleMatrix2D jac = new DoubleMatrix2D(jacA);
if (print) {
System.out.println(jac);
System.out.println();
}
final double[] temp = new double[n];
for (int i = 0; i < n; i++) {
temp[i] = PRICER.pvCreditSensitivity(CDS, YIELD_CURVE, creditCurve, dealSpread, i);
}
final DoubleMatrix1D dVdH = new DoubleMatrix1D(temp);
if (print) {
System.out.println(dVdH);
System.out.println();
}
final LUDecompositionCommons decomp = new LUDecompositionCommons();
final LUDecompositionResult res = decomp.evaluate(jac);
final DoubleMatrix1D dVdS = res.solve(dVdH);
// compare with bump and reprice
final SpreadSensitivityCalculator bumpCal = new SpreadSensitivityCalculator();
final double[] fd =
bumpCal.bucketedCS01FromParSpreads(
CDS, dealSpread, YIELD_CURVE, MARKET_CDS, mrkSpreads, 1e-7, BumpType.ADDITIVE);
final DoubleMatrix1D fd_dVdS = new DoubleMatrix1D(fd);
if (print) {
System.out.println(dVdS);
System.out.println(fd_dVdS);
}
for (int i = 0; i < n; i++) {
assertEquals(
fd_dVdS.getEntry(i),
dVdS.getEntry(i),
1e-6); // the fd is only forward difference - so accuracy is not great
}
}
