/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer;
import static com.opengamma.strata.basics.currency.Currency.GBP;
import static com.opengamma.strata.basics.currency.Currency.USD;
import static com.opengamma.strata.basics.index.IborIndices.GBP_LIBOR_3M;
import static com.opengamma.strata.collect.TestHelper.assertSerialization;
import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
import static com.opengamma.strata.collect.TestHelper.date;
import static org.testng.Assert.assertEquals;
import static org.testng.Assert.assertSame;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.FxMatrix;
import com.opengamma.strata.basics.index.IborIndexObservation;
import com.opengamma.strata.market.sensitivity.MutablePointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
import com.opengamma.strata.pricer.rate.IborRateSensitivity;
/**
* Test {@link ZeroRateSensitivity}.
*/
@Test
public class ZeroRateSensitivityTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final double YEARFRAC = 2d;
private static final double YEARFRAC2 = 3d;
public void test_of() {
ZeroRateSensitivity test = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getYearFraction(), YEARFRAC);
assertEquals(test.getSensitivity(), 32d);
assertEquals(test.getCurrency(), GBP);
}
//-------------------------------------------------------------------------
public void test_withCurrency() {
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
assertSame(base.withCurrency(GBP), base);
assertEquals(base.withCurrency(USD), ZeroRateSensitivity.of(GBP, YEARFRAC, USD, 32d));
}
//-------------------------------------------------------------------------
public void test_withSensitivity() {
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, 20d);
ZeroRateSensitivity test = base.withSensitivity(20d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public void test_compareKey() {
ZeroRateSensitivity a1 = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity a2 = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity b = ZeroRateSensitivity.of(USD, YEARFRAC, 32d);
ZeroRateSensitivity c = ZeroRateSensitivity.of(GBP, YEARFRAC2, 32d);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) < 0, true);
assertEquals(b.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) > 0, true);
assertEquals(other.compareKey(a1) < 0, true);
}
//-------------------------------------------------------------------------
public void test_convertedTo() {
double sensi = 32d;
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, sensi);
double rate = 1.5d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
ZeroRateSensitivity test1 = (ZeroRateSensitivity) base.convertedTo(USD, matrix);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, USD, rate * sensi);
assertEquals(test1, expected);
ZeroRateSensitivity test2 = (ZeroRateSensitivity) base.convertedTo(GBP, matrix);
assertEquals(test2, base);
}
//-------------------------------------------------------------------------
public void test_multipliedBy() {
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d * 3.5d);
ZeroRateSensitivity test = base.multipliedBy(3.5d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public void test_mapSensitivity() {
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, 1 / 32d);
ZeroRateSensitivity test = base.mapSensitivity(s -> 1 / s);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public void test_normalize() {
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity test = base.normalize();
assertSame(test, base);
}
//-------------------------------------------------------------------------
public void test_combinedWith() {
ZeroRateSensitivity base1 = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity base2 = ZeroRateSensitivity.of(GBP, YEARFRAC2, 22d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(base1).add(base2);
PointSensitivityBuilder test = base1.combinedWith(base2);
assertEquals(test, expected);
}
public void test_combinedWith_mutable() {
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(base);
PointSensitivityBuilder test = base.combinedWith(new MutablePointSensitivities());
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public void test_buildInto() {
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.getSensitivities(), ImmutableList.of(base));
}
//-------------------------------------------------------------------------
public void test_build() {
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
PointSensitivities test = base.build();
assertEquals(test.getSensitivities(), ImmutableList.of(base));
}
//-------------------------------------------------------------------------
public void test_cloned() {
ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
ZeroRateSensitivity test = base.cloned();
assertSame(test, base);
}
//-------------------------------------------------------------------------
public void coverage() {
ZeroRateSensitivity test = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
coverImmutableBean(test);
ZeroRateSensitivity test2 = ZeroRateSensitivity.of(USD, YEARFRAC2, 16d);
coverBeanEquals(test, test2);
}
public void test_serialization() {
ZeroRateSensitivity test = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
assertSerialization(test);
}
}