Package com.opengamma.analytics.financial.provider.sensitivity.multicurve

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.plus()

119
120
121
122
123
124
125
126
127
128
129
    final Map<String, List<DoublesPair>> expectedSensiAddMulti = new HashMap<>();
    expectedSensiAddMulti.put(CURVE_NAME_1, expectedSensiData1add2);
    expectedSensiAddMulti.put(CURVE_NAME_2, SENSI_DATA_2);
    expectedSensiAddMulti.put(CURVE_NAME_3, SENSI_DATA_3);
    assertEquals(expectedSensiAddMulti, pvSensi_11.plus(pvSensi_22.plus(pvSensi_33.plus(pvSensi_12))).getYieldDiscountingSensitivities());
    assertEquals(MulticurveSensitivity.ofYieldDiscounting(expectedSensiAddMulti), pvSensi_11.plus(pvSensi_22.plus(pvSensi_33.plus(pvSensi_12))));
  }

  @Test
  public void plusMultipliedByDscFwd() {
    final Map<String, List<DoublesPair>> sensi11 = new HashMap<>();
View Full Code Here
129
130
131
132
133
134
135
136
137
138
139
    final Map<String, List<DoublesPair>> sensi11 = new HashMap<>();
    sensi11.put(CURVE_NAME_1, SENSI_DATA_1);
    final Map<String, List<ForwardSensitivity>> sensiFwd11 = new HashMap<>();
    sensiFwd11.put(CURVE_NAME_2, SENSI_FWD_1);
    final MulticurveSensitivity pvSensiDscFwd = MulticurveSensitivity.of(sensi11, sensiFwd11);
    AssertSensivityObjects.assertEquals("CurveSensitivityMarket: plusMultipliedBy", pvSensiDscFwd.plus(pvSensiDscFwd).cleaned(), pvSensiDscFwd.multipliedBy(2.0).cleaned(), TOLERANCE);

    final List<ForwardSensitivity> sensiFwd2 = new ArrayList<>();
    sensiFwd2.add(new ForwardSensitivity(2.5, 2.75, 0.26, 11));
    final Map<String, List<DoublesPair>> sensi32 = new HashMap<>();
    sensi11.put(CURVE_NAME_3, SENSI_DATA_2);
View Full Code Here
149
150
151
152
153
154
155
156
157
158
159
        pvSensiDscFwd.plus(pvSensiDscFwd2).cleaned(), TOLERANCE);

    final Map<String, List<ForwardSensitivity>> sensiFwd32 = new HashMap<>();
    sensiFwd22.put(CURVE_NAME_3, sensiFwd2);
    final MulticurveSensitivity pvSensiDscFwd3 = MulticurveSensitivity.of(sensi32, sensiFwd32);
    AssertSensivityObjects.assertEquals("CurveSensitivityMarket: plusMultipliedBy", pvSensiDscFwd3.plus(pvSensiDscFwd2).cleaned(), pvSensiDscFwd2.plus(pvSensiDscFwd3).cleaned(), TOLERANCE);
  }

  @Test
  public void cleaned() {
    final Map<String, List<DoublesPair>> sensi11 = new HashMap<>();
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.