CurrencyParameterSensitivitiesTest.java

/**
 * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.market.param;

import static com.opengamma.strata.collect.TestHelper.assertThrowsIllegalArg;
import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
import static org.testng.Assert.assertEquals;

import java.util.List;
import java.util.Optional;

import org.testng.annotations.Test;

import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.FxMatrix;
import com.opengamma.strata.basics.currency.FxRate;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.curve.CurveName;

/**
 * Test {@link CurrencyParameterSensitivities}.
 */
@Test
public class CurrencyParameterSensitivitiesTest {

  private static final double FACTOR1 = 3.14;
  private static final DoubleArray VECTOR_USD1 = DoubleArray.of(100, 200, 300, 123);
  private static final DoubleArray VECTOR_USD2 = DoubleArray.of(1000, 250, 321, 123);
  private static final DoubleArray VECTOR_USD2_IN_EUR = DoubleArray.of(1000 / 1.6, 250 / 1.6, 321 / 1.6, 123 / 1.6);
  private static final DoubleArray VECTOR_ZERO = DoubleArray.of(0, 0, 0, 0);
  private static final DoubleArray TOTAL_USD = DoubleArray.of(1100, 450, 621, 246);
  private static final DoubleArray VECTOR_EUR1 = DoubleArray.of(1000, 250, 321, 123, 321);
  private static final DoubleArray VECTOR_EUR1_IN_USD = DoubleArray.of(1000 * 1.6, 250 * 1.6, 321 * 1.6, 123 * 1.6, 321 * 1.6);
  private static final Currency USD = Currency.USD;
  private static final Currency EUR = Currency.EUR;
  private static final FxRate FX_RATE = FxRate.of(EUR, USD, 1.6d);
  private static final MarketDataName<?> NAME0 = CurveName.of("NAME-0");
  private static final MarketDataName<?> NAME1 = CurveName.of("NAME-1");
  private static final MarketDataName<?> NAME2 = CurveName.of("NAME-2");
  private static final MarketDataName<?> NAME3 = CurveName.of("NAME-3");
  private static final List<ParameterMetadata> METADATA0 = ParameterMetadata.listOfEmpty(4);
  private static final List<ParameterMetadata> METADATA1 = ParameterMetadata.listOfEmpty(4);
  private static final List<ParameterMetadata> METADATA2 = ParameterMetadata.listOfEmpty(5);
  private static final List<ParameterMetadata> METADATA3 = ParameterMetadata.listOfEmpty(4);

  private static final CurrencyParameterSensitivity ENTRY_USD =
      CurrencyParameterSensitivity.of(NAME1, METADATA1, USD, VECTOR_USD1);
  private static final CurrencyParameterSensitivity ENTRY_USD2 =
      CurrencyParameterSensitivity.of(NAME1, METADATA1, USD, VECTOR_USD2);
  private static final CurrencyParameterSensitivity ENTRY_USD_TOTAL =
      CurrencyParameterSensitivity.of(NAME1, METADATA1, USD, TOTAL_USD);
  private static final CurrencyParameterSensitivity ENTRY_USD_SMALL =
      CurrencyParameterSensitivity.of(NAME1, ParameterMetadata.listOfEmpty(1), USD, DoubleArray.of(100d));
  private static final CurrencyParameterSensitivity ENTRY_USD2_IN_EUR =
      CurrencyParameterSensitivity.of(NAME1, METADATA1, EUR, VECTOR_USD2_IN_EUR);
  private static final CurrencyParameterSensitivity ENTRY_EUR =
      CurrencyParameterSensitivity.of(NAME2, METADATA2, EUR, VECTOR_EUR1);
  private static final CurrencyParameterSensitivity ENTRY_EUR_IN_USD =
      CurrencyParameterSensitivity.of(NAME2, METADATA2, USD, VECTOR_EUR1_IN_USD);
  private static final CurrencyParameterSensitivity ENTRY_ZERO0 =
      CurrencyParameterSensitivity.of(NAME0, METADATA0, USD, VECTOR_ZERO);
  private static final CurrencyParameterSensitivity ENTRY_ZERO3 =
      CurrencyParameterSensitivity.of(NAME3, METADATA3, USD, VECTOR_ZERO);
  private static final CurrencyParameterSensitivity ENTRY_COMBINED =
      CurrencyParameterSensitivity.combine(NAME3, ENTRY_USD, ENTRY_EUR_IN_USD);

  private static final CurrencyParameterSensitivities SENSI_1 = CurrencyParameterSensitivities.of(ENTRY_USD);
  private static final CurrencyParameterSensitivities SENSI_2 =
      CurrencyParameterSensitivities.of(ImmutableList.of(ENTRY_USD2, ENTRY_EUR));

  private static final double TOLERENCE_CMP = 1.0E-8;

  //-------------------------------------------------------------------------
  public void test_empty() {
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.empty();
    assertEquals(test.size(), 0);
    assertEquals(test.getSensitivities().size(), 0);
  }

  public void test_of_single() {
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(ENTRY_USD);
    assertEquals(test.size(), 1);
    assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD));
  }

  public void test_of_array_none() {
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of();
    assertEquals(test.size(), 0);
  }

  public void test_of_list_none() {
    ImmutableList<CurrencyParameterSensitivity> list = ImmutableList.of();
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(list);
    assertEquals(test.size(), 0);
  }

  public void test_of_list_notNormalized() {
    ImmutableList<CurrencyParameterSensitivity> list = ImmutableList.of(ENTRY_USD, ENTRY_EUR);
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(list);
    assertEquals(test.size(), 2);
    assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD, ENTRY_EUR));
  }

  public void test_of_list_normalized() {
    ImmutableList<CurrencyParameterSensitivity> list = ImmutableList.of(ENTRY_USD, ENTRY_USD2);
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(list);
    assertEquals(test.size(), 1);
    assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD_TOTAL));
  }

  //-------------------------------------------------------------------------
  public void test_getSensitivity() {
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(ENTRY_USD);
    assertEquals(test.getSensitivity(NAME1, USD), ENTRY_USD);
    assertThrowsIllegalArg(() -> test.getSensitivity(NAME1, EUR));
    assertThrowsIllegalArg(() -> test.getSensitivity(NAME0, USD));
    assertThrowsIllegalArg(() -> test.getSensitivity(NAME0, EUR));
  }

  public void test_findSensitivity() {
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(ENTRY_USD);
    assertEquals(test.findSensitivity(NAME1, USD), Optional.of(ENTRY_USD));
    assertEquals(test.findSensitivity(NAME1, EUR), Optional.empty());
    assertEquals(test.findSensitivity(NAME0, USD), Optional.empty());
    assertEquals(test.findSensitivity(NAME0, EUR), Optional.empty());
  }

  //-------------------------------------------------------------------------
  public void test_combinedWith_one_notNormalized() {
    CurrencyParameterSensitivities test = SENSI_1.combinedWith(ENTRY_EUR);
    assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD, ENTRY_EUR));
  }

  public void test_combinedWith_one_normalized() {
    CurrencyParameterSensitivities test = SENSI_1.combinedWith(ENTRY_USD2);
    assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD_TOTAL));
  }

  public void test_combinedWith_one_sizeMismatch() {
    assertThrowsIllegalArg(() -> SENSI_1.combinedWith(ENTRY_USD_SMALL));
  }

  public void test_combinedWith_other() {
    CurrencyParameterSensitivities test = SENSI_1.combinedWith(SENSI_2);
    assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD_TOTAL, ENTRY_EUR));
  }

  public void test_combinedWith_otherEmpty() {
    CurrencyParameterSensitivities test = SENSI_1.combinedWith(CurrencyParameterSensitivities.empty());
    assertEquals(test, SENSI_1);
  }

  public void test_combinedWith_empty() {
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.empty().combinedWith(SENSI_1);
    assertEquals(test, SENSI_1);
  }

  //-------------------------------------------------------------------------
  public void test_convertedTo_singleCurrency() {
    CurrencyParameterSensitivities test = SENSI_1.convertedTo(USD, FxMatrix.empty());
    assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD));
  }

  public void test_convertedTo_multipleCurrency() {
    CurrencyParameterSensitivities test = SENSI_2.convertedTo(USD, FX_RATE);
    assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD2, ENTRY_EUR_IN_USD));
  }

  public void test_convertedTo_multipleCurrency_mergeWhenSameName() {
    CurrencyParameterSensitivities test = SENSI_1.combinedWith(ENTRY_USD2_IN_EUR).convertedTo(USD, FX_RATE);
    assertEquals(test.getSensitivities(), ImmutableList.of(ENTRY_USD_TOTAL));
  }

  //-------------------------------------------------------------------------
  public void test_total_singleCurrency() {
    assertEquals(SENSI_1.total(USD, FxMatrix.empty()).getAmount(), VECTOR_USD1.sum(), 1e-8);
  }

  public void test_total_multipleCurrency() {
    assertEquals(SENSI_2.total(USD, FX_RATE).getAmount(), VECTOR_USD2.sum() + VECTOR_EUR1.sum() * 1.6d, 1e-8);
  }

  public void test_totalMulti_singleCurrency() {
    assertEquals(SENSI_1.total().size(), 1);
    assertEquals(SENSI_1.total().getAmount(USD).getAmount(), VECTOR_USD1.sum(), 1e-8);
  }

  public void test_totalMulti_multipleCurrency() {
    assertEquals(SENSI_2.total().size(), 2);
    assertEquals(SENSI_2.total().getAmount(USD).getAmount(), VECTOR_USD2.sum(), 1e-8);
    assertEquals(SENSI_2.total().getAmount(EUR).getAmount(), VECTOR_EUR1.sum(), 1e-8);
  }

  //-------------------------------------------------------------------------
  public void test_multipliedBy() {
    CurrencyParameterSensitivities multiplied = SENSI_1.multipliedBy(FACTOR1);
    DoubleArray test = multiplied.getSensitivities().get(0).getSensitivity();
    for (int i = 0; i < VECTOR_USD1.size(); i++) {
      assertEquals(test.get(i), VECTOR_USD1.get(i) * FACTOR1);
    }
  }

  public void test_mapSensitivities() {
    CurrencyParameterSensitivities multiplied = SENSI_1.mapSensitivities(a -> 1 / a);
    DoubleArray test = multiplied.getSensitivities().get(0).getSensitivity();
    for (int i = 0; i < VECTOR_USD1.size(); i++) {
      assertEquals(test.get(i), 1 / VECTOR_USD1.get(i));
    }
  }

  public void test_multipliedBy_vs_combinedWith() {
    CurrencyParameterSensitivities multiplied = SENSI_2.multipliedBy(2d);
    CurrencyParameterSensitivities added = SENSI_2.combinedWith(SENSI_2);
    assertEquals(multiplied, added);
  }

  //-------------------------------------------------------------------------
  public void test_split() {
    CurrencyParameterSensitivities test = CurrencyParameterSensitivities.of(ENTRY_COMBINED).split();
    assertEquals(test, CurrencyParameterSensitivities.of(ENTRY_USD, ENTRY_EUR_IN_USD));
  }

  public void test_split_noSplit() {
    CurrencyParameterSensitivities test = SENSI_1.split();
    assertEquals(test, SENSI_1);
  }

  //-------------------------------------------------------------------------
  public void test_equalWithTolerance() {
    CurrencyParameterSensitivities sensUsdTotal = CurrencyParameterSensitivities.of(ENTRY_USD_TOTAL);
    CurrencyParameterSensitivities sensEur = CurrencyParameterSensitivities.of(ENTRY_EUR);
    CurrencyParameterSensitivities sens1plus2 = SENSI_1.combinedWith(ENTRY_USD2);
    CurrencyParameterSensitivities sensZeroA = CurrencyParameterSensitivities.of(ENTRY_ZERO3);
    CurrencyParameterSensitivities sensZeroB = CurrencyParameterSensitivities.of(ENTRY_ZERO0);
    CurrencyParameterSensitivities sens1plus2plus0a = SENSI_1.combinedWith(ENTRY_USD2).combinedWith(ENTRY_ZERO0);
    CurrencyParameterSensitivities sens1plus2plus0b = SENSI_1.combinedWith(ENTRY_USD2).combinedWith(ENTRY_ZERO3);
    CurrencyParameterSensitivities sens1plus2plus0 = SENSI_1
        .combinedWith(ENTRY_USD2).combinedWith(ENTRY_ZERO0).combinedWith(ENTRY_ZERO3);
    CurrencyParameterSensitivities sens2plus0 = SENSI_2.combinedWith(sensZeroA);
    assertEquals(SENSI_1.equalWithTolerance(sensZeroA, TOLERENCE_CMP), false);
    assertEquals(SENSI_1.equalWithTolerance(SENSI_1, TOLERENCE_CMP), true);
    assertEquals(SENSI_1.equalWithTolerance(SENSI_2, TOLERENCE_CMP), false);
    assertEquals(SENSI_1.equalWithTolerance(sensUsdTotal, TOLERENCE_CMP), false);
    assertEquals(SENSI_1.equalWithTolerance(sensEur, TOLERENCE_CMP), false);
    assertEquals(SENSI_1.equalWithTolerance(sens1plus2, TOLERENCE_CMP), false);
    assertEquals(SENSI_1.equalWithTolerance(sens2plus0, TOLERENCE_CMP), false);

    assertEquals(SENSI_2.equalWithTolerance(sensZeroA, TOLERENCE_CMP), false);
    assertEquals(SENSI_2.equalWithTolerance(SENSI_1, TOLERENCE_CMP), false);
    assertEquals(SENSI_2.equalWithTolerance(SENSI_2, TOLERENCE_CMP), true);
    assertEquals(SENSI_2.equalWithTolerance(sensUsdTotal, TOLERENCE_CMP), false);
    assertEquals(SENSI_2.equalWithTolerance(sensEur, TOLERENCE_CMP), false);
    assertEquals(SENSI_2.equalWithTolerance(sens1plus2, TOLERENCE_CMP), false);
    assertEquals(SENSI_2.equalWithTolerance(sens2plus0, TOLERENCE_CMP), true);

    assertEquals(sensZeroA.equalWithTolerance(sensZeroA, TOLERENCE_CMP), true);
    assertEquals(sensZeroA.equalWithTolerance(SENSI_1, TOLERENCE_CMP), false);
    assertEquals(sensZeroA.equalWithTolerance(SENSI_2, TOLERENCE_CMP), false);
    assertEquals(sensZeroA.equalWithTolerance(sensUsdTotal, TOLERENCE_CMP), false);
    assertEquals(sensZeroA.equalWithTolerance(sensEur, TOLERENCE_CMP), false);
    assertEquals(sensZeroA.equalWithTolerance(sens1plus2, TOLERENCE_CMP), false);
    assertEquals(sensZeroA.equalWithTolerance(sens2plus0, TOLERENCE_CMP), false);
    assertEquals(sensZeroA.equalWithTolerance(sensZeroB, TOLERENCE_CMP), true);

    assertEquals(sensZeroB.equalWithTolerance(sensZeroB, TOLERENCE_CMP), true);
    assertEquals(sensZeroB.equalWithTolerance(SENSI_1, TOLERENCE_CMP), false);
    assertEquals(sensZeroB.equalWithTolerance(SENSI_2, TOLERENCE_CMP), false);
    assertEquals(sensZeroB.equalWithTolerance(sensUsdTotal, TOLERENCE_CMP), false);
    assertEquals(sensZeroB.equalWithTolerance(sensEur, TOLERENCE_CMP), false);
    assertEquals(sensZeroB.equalWithTolerance(sens1plus2, TOLERENCE_CMP), false);
    assertEquals(sensZeroB.equalWithTolerance(sens2plus0, TOLERENCE_CMP), false);
    assertEquals(sensZeroB.equalWithTolerance(sensZeroA, TOLERENCE_CMP), true);

    assertEquals(sens1plus2.equalWithTolerance(sens1plus2, TOLERENCE_CMP), true);
    assertEquals(sens1plus2.equalWithTolerance(sens1plus2plus0a, TOLERENCE_CMP), true);
    assertEquals(sens1plus2.equalWithTolerance(sens1plus2plus0b, TOLERENCE_CMP), true);
    assertEquals(sens1plus2plus0a.equalWithTolerance(sens1plus2, TOLERENCE_CMP), true);
    assertEquals(sens1plus2plus0a.equalWithTolerance(sens1plus2plus0, TOLERENCE_CMP), true);
    assertEquals(sens1plus2plus0a.equalWithTolerance(sens1plus2plus0a, TOLERENCE_CMP), true);
    assertEquals(sens1plus2plus0a.equalWithTolerance(sens1plus2plus0b, TOLERENCE_CMP), true);
    assertEquals(sens1plus2plus0b.equalWithTolerance(sens1plus2, TOLERENCE_CMP), true);
    assertEquals(sens1plus2plus0b.equalWithTolerance(sens1plus2plus0, TOLERENCE_CMP), true);
    assertEquals(sens1plus2plus0b.equalWithTolerance(sens1plus2plus0a, TOLERENCE_CMP), true);
    assertEquals(sens1plus2plus0b.equalWithTolerance(sens1plus2plus0b, TOLERENCE_CMP), true);
    assertEquals(sens2plus0.equalWithTolerance(sens2plus0, TOLERENCE_CMP), true);

    assertEquals(sensZeroA.equalWithTolerance(CurrencyParameterSensitivities.empty(), TOLERENCE_CMP), true);
    assertEquals(CurrencyParameterSensitivities.empty().equalWithTolerance(sensZeroA, TOLERENCE_CMP), true);
  }

  //-------------------------------------------------------------------------
  public void coverage() {
    coverImmutableBean(CurrencyParameterSensitivities.empty());
    coverImmutableBean(SENSI_1);
    coverBeanEquals(SENSI_1, SENSI_2);
  }

}