@Test
public void testPlusMultiCurve() {
// Add multi-curve
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 List<DoublesPair> list = new ArrayList<>();
list.addAll(SENSITIVITY_DATA_1);
list.addAll(SENSITIVITY_DATA_2);
final Map<String, List<DoublesPair>> map = new HashMap<>();
map.put(CURVE_NAME_1, list);
map.put(CURVE_NAME_2, SENSITIVITY_DATA_2);
map.put(CURVE_NAME_3, SENSITIVITY_DATA_3);
final InterestRateCurveSensitivity expected = new InterestRateCurveSensitivity(map);
InterestRateCurveSensitivity actual =
sensitivity1.plus(sensitivity2).plus(sensitivity3).plus(sensitivity4);
assertEquals(expected, actual);
actual =
sensitivity1
.plus(CURVE_NAME_1, SENSITIVITY_DATA_2)
.plus(CURVE_NAME_2, SENSITIVITY_DATA_2)
.plus(CURVE_NAME_3, SENSITIVITY_DATA_3);
assertEquals(expected, actual);
}
@Test
public void testPlusDifferentCurves() {
// Simple add
final InterestRateCurveSensitivity sensitivity1 =
new InterestRateCurveSensitivity(SENSITIVITY_11);
final InterestRateCurveSensitivity sensitivity2 =
new InterestRateCurveSensitivity(SENSITIVITY_22);
final Map<String, List<DoublesPair>> map = new HashMap<>();
map.put(CURVE_NAME_1, SENSITIVITY_DATA_1);
map.put(CURVE_NAME_2, SENSITIVITY_DATA_2);
final InterestRateCurveSensitivity expected = new InterestRateCurveSensitivity(map);
InterestRateCurveSensitivity actual = sensitivity1.plus(sensitivity2);
assertFalse(sensitivity1 == actual);
assertFalse(sensitivity2 == actual);
assertEquals(expected, actual);
actual = sensitivity1.plus(CURVE_NAME_2, SENSITIVITY_DATA_2);
assertEquals(expected, actual);
}
@Test
public void testPlusSameCurves() {
// Add on the same curve
final InterestRateCurveSensitivity sensitivity1 =
new InterestRateCurveSensitivity(SENSITIVITY_11);
final InterestRateCurveSensitivity sensitivity2 =
new InterestRateCurveSensitivity(SENSITIVITY_12);
final List<DoublesPair> data = new ArrayList<>();
data.addAll(SENSITIVITY_DATA_1);
data.addAll(SENSITIVITY_DATA_2);
final Map<String, List<DoublesPair>> map = new HashMap<>();
map.put(CURVE_NAME_1, data);
final InterestRateCurveSensitivity expected = new InterestRateCurveSensitivity(map);
InterestRateCurveSensitivity actual = sensitivity1.plus(sensitivity2);
assertFalse(sensitivity1 == actual);
assertFalse(sensitivity2 == actual);
assertEquals(expected, actual);
actual = sensitivity1.plus(CURVE_NAME_1, SENSITIVITY_DATA_2);
assertEquals(expected, actual);
}
@Test
public void testTotalSensitivity() {
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 actual =
sensitivity1.plus(sensitivity2).plus(sensitivity3).plus(sensitivity4).totalSensitivity();
final double expected = 400;
assertEquals(expected, actual);
}
@Test
public void testCleanDifferentCurves() {
final InterestRateCurveSensitivity sensitivity1 =
new InterestRateCurveSensitivity(SENSITIVITY_11);
final InterestRateCurveSensitivity sensitivity2 =
new InterestRateCurveSensitivity(SENSITIVITY_22);
final Map<String, List<DoublesPair>> map = new HashMap<>();
map.put(CURVE_NAME_1, SENSITIVITY_DATA_1);
map.put(CURVE_NAME_2, SENSITIVITY_DATA_2);
final InterestRateCurveSensitivity expected = new InterestRateCurveSensitivity(map);
final InterestRateCurveSensitivity actualUncleaned = sensitivity1.plus(sensitivity2);
final InterestRateCurveSensitivity actual = actualUncleaned.cleaned();
assertFalse(actualUncleaned == actual);
assertFalse(actualUncleaned.getSensitivities() == actual.getSensitivities());
assertEquals(expected, actual);
assertEquals(actualUncleaned, actual);
}
@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);
}
@Test
public void testCleanSameCurvesWithRelativeTolerance1() {
final double eps = 1e-3;
final double eps2 = 5e-4;
final InterestRateCurveSensitivity sensitivity1 =
new InterestRateCurveSensitivity(SENSITIVITY_11);
final List<DoublesPair> fuzzyList =
Arrays.asList(
new DoublesPair[] {
DoublesPair.of(1d, -10d - 10 * eps2),
DoublesPair.of(2d, 30d),
DoublesPair.of(3d, -30d + 30 * eps2),
DoublesPair.of(4d, 10d)
});
List<DoublesPair> expectedList =
Arrays.asList(new DoublesPair[] {DoublesPair.of(2d, 50d), DoublesPair.of(4d, 50d)});
Map<String, List<DoublesPair>> expectedMap = new HashMap<>();
expectedMap.put(CURVE_NAME_1, expectedList);
final Map<String, List<DoublesPair>> fuzzyMap = new HashMap<>();
fuzzyMap.put(CURVE_NAME_1, fuzzyList);
final InterestRateCurveSensitivity fuzzySensitivity =
new InterestRateCurveSensitivity(fuzzyMap);
InterestRateCurveSensitivity expected = new InterestRateCurveSensitivity(expectedMap);
final InterestRateCurveSensitivity actualUncleaned = sensitivity1.plus(fuzzySensitivity);
InterestRateCurveSensitivity actual = actualUncleaned.cleaned(eps, eps / 10);
assertFalse(actualUncleaned == actual);
assertFalse(actualUncleaned.getSensitivities() == actual.getSensitivities());
assertEquals(expected, actual);
expectedList =
Arrays.asList(
new DoublesPair[] {
DoublesPair.of(1d, -10d * eps2),
DoublesPair.of(2d, 50d),
DoublesPair.of(3d, 30d * eps2),
DoublesPair.of(4d, 50d)
});
expectedMap = new HashMap<>();
expectedMap.put(CURVE_NAME_1, expectedList);
expected = new InterestRateCurveSensitivity(expectedMap);
actual = actualUncleaned.cleaned(eps / 100, eps / 10);
assertEquals(expected.getSensitivities().size(), actual.getSensitivities().size());
assertIRCSEquals(expected, actual);
}
@Test
public void testTotalSensitivityByCurve() {
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 Map<String, Double> actual =
sensitivity1
.plus(sensitivity2)
.plus(sensitivity3)
.plus(sensitivity4)
.totalSensitivityByCurve();
final Map<String, Double> expected = new HashMap<>();
expected.put(CURVE_NAME_1, 200.);
expected.put(CURVE_NAME_2, 100.);
expected.put(CURVE_NAME_3, 100.);
assertEquals(expected, actual);
}
@Test
public void testCleanSameCurves() {
final InterestRateCurveSensitivity sensitivity1 =
new InterestRateCurveSensitivity(SENSITIVITY_11);
final InterestRateCurveSensitivity sensitivity2 =
new InterestRateCurveSensitivity(SENSITIVITY_12);
final List<DoublesPair> list =
Arrays.asList(
new DoublesPair[] {
DoublesPair.of(1d, 50d),
DoublesPair.of(2d, 50d),
DoublesPair.of(3d, 50d),
DoublesPair.of(4d, 50d)
});
final Map<String, List<DoublesPair>> map = new HashMap<>();
map.put(CURVE_NAME_1, list);
final InterestRateCurveSensitivity expected = new InterestRateCurveSensitivity(map);
final InterestRateCurveSensitivity actualUncleaned = sensitivity1.plus(sensitivity2);
final InterestRateCurveSensitivity actual = actualUncleaned.cleaned();
assertFalse(actualUncleaned == actual);
assertFalse(actualUncleaned.getSensitivities() == actual.getSensitivities());
assertEquals(expected, actual);
}
