/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.fudgemsg;
import static org.testng.AssertJUnit.assertEquals;
import java.util.Arrays;
import java.util.HashMap;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
import org.testng.annotations.Test;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlock;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.tuple.DoublesPair;
import com.opengamma.util.tuple.Pair;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
public class CurveResultBuildersTest extends AnalyticsTestBase {
@Test
public void testForwardSensitivity() {
final ForwardSensitivity forwardSensitivity = new ForwardSensitivity(12., 13., 17., 25.);
assertEquals(forwardSensitivity, cycleObject(ForwardSensitivity.class, forwardSensitivity));
}
@Test
public void testMulticurveSensitivity() {
final String name1 = "YC1";
final String name2 = "YC2";
final Map<String, List<DoublesPair>> yieldCurveSensitivities = new HashMap<>();
yieldCurveSensitivities.put(name1, Arrays.asList(new DoublesPair(1., 2.), new DoublesPair(3.5, 6.8)));
yieldCurveSensitivities.put(name2, Arrays.asList(new DoublesPair(11., 12.), new DoublesPair(13.5, 16.8), new DoublesPair(45., 12.)));
final Map<String, List<ForwardSensitivity>> forwardCurveSensitivities = new HashMap<>();
forwardCurveSensitivities.put(name1, Arrays.asList(new ForwardSensitivity(1, 5, 0.25, 10), new ForwardSensitivity(2, 3, 0.215, 20), new ForwardSensitivity(3, 9, 0.225, 30)));
forwardCurveSensitivities.put(name2, Arrays.asList(new ForwardSensitivity(0.1, 4, 0.5, 10)));
final MulticurveSensitivity sensitivities = MulticurveSensitivity.of(yieldCurveSensitivities, forwardCurveSensitivities);
assertEquals(sensitivities, cycleObject(MulticurveSensitivity.class, sensitivities));
}
@Test
public void testMultipleCurrencyMulticurveSensitivity() {
final String name1 = "YC1";
final String name2 = "YC2";
final Map<String, List<DoublesPair>> yieldCurveSensitivities1 = new HashMap<>();
yieldCurveSensitivities1.put(name1, Arrays.asList(new DoublesPair(1., 2.), new DoublesPair(3.5, 6.8)));
yieldCurveSensitivities1.put(name2, Arrays.asList(new DoublesPair(11., 12.), new DoublesPair(13.5, 16.8), new DoublesPair(45., 12.)));
final Map<String, List<ForwardSensitivity>> forwardCurveSensitivities1 = new HashMap<>();
forwardCurveSensitivities1.put(name1, Arrays.asList(new ForwardSensitivity(1, 5, 0.25, 10), new ForwardSensitivity(2, 3, 0.215, 20), new ForwardSensitivity(3, 9, 0.225, 30)));
forwardCurveSensitivities1.put(name2, Arrays.asList(new ForwardSensitivity(0.1, 4, 0.5, 10)));
final MulticurveSensitivity sensitivities1 = MulticurveSensitivity.of(yieldCurveSensitivities1, forwardCurveSensitivities1);
final String name3 = "YC3";
final String name4 = "YC4";
final Map<String, List<DoublesPair>> yieldCurveSensitivities2 = new HashMap<>();
yieldCurveSensitivities2.put(name3, Arrays.asList(new DoublesPair(10., 20.)));
yieldCurveSensitivities2.put(name4, Arrays.asList(new DoublesPair(110., 120.), new DoublesPair(13.51, 16.81), new DoublesPair(45.3, 12.3)));
final Map<String, List<ForwardSensitivity>> forwardCurveSensitivities2 = new HashMap<>();
forwardCurveSensitivities2.put(name3, Arrays.asList(new ForwardSensitivity(18, 58, 0.258, 108), new ForwardSensitivity(32, 92, 0.2252, 302)));
forwardCurveSensitivities2.put(name4, Arrays.asList(new ForwardSensitivity(0.18, 48, 0.58, 18)));
final MulticurveSensitivity sensitivities2 = MulticurveSensitivity.of(yieldCurveSensitivities2, forwardCurveSensitivities2);
MultipleCurrencyMulticurveSensitivity sensitivities = new MultipleCurrencyMulticurveSensitivity();
sensitivities = sensitivities.plus(Currency.AUD, sensitivities1);
sensitivities = sensitivities.plus(Currency.CAD, sensitivities2);
assertEquals(sensitivities, cycleObject(MultipleCurrencyMulticurveSensitivity.class, sensitivities));
}
@Test
public void testSimpleParameterSensitivity() {
final String name1 = "YC1";
final String name2 = "YC2";
final DoubleMatrix1D sensitivities1 = new DoubleMatrix1D(new double[] {1, 2, 4, 6, 7, 9, 12});
final DoubleMatrix1D sensitivities2 = new DoubleMatrix1D(new double[] {89, 456, 234, 12});
final LinkedHashMap<String, DoubleMatrix1D> sensitivities = new LinkedHashMap<>();
sensitivities.put(name1, sensitivities1);
sensitivities.put(name2, sensitivities2);
final SimpleParameterSensitivity sps = new SimpleParameterSensitivity(sensitivities);
assertEquals(sps, cycleObject(SimpleParameterSensitivity.class, sps));
}
@Test
public void testMultipleCurrencyParameterSensitivity() {
final String name1 = "YC1";
final String name2 = "YC2";
final DoubleMatrix1D sensitivities1 = new DoubleMatrix1D(new double[] {1, 2, 4, 6, 7, 9, 12});
final DoubleMatrix1D sensitivities2 = new DoubleMatrix1D(new double[] {89, 456, 234, 12});
final String name3 = "YC3";
final String name4 = "YC4";
final DoubleMatrix1D sensitivities3 = new DoubleMatrix1D(new double[] {11, 21, 41, 61, 17, 91, 112});
final DoubleMatrix1D sensitivities4 = new DoubleMatrix1D(new double[] {891, 4561, 1234, 112});
final LinkedHashMap<Pair<String, Currency>, DoubleMatrix1D> data = new LinkedHashMap<>();
data.put(Pair.of(name1, Currency.AUD), sensitivities1);
data.put(Pair.of(name2, Currency.EUR), sensitivities2);
data.put(Pair.of(name3, Currency.USD), sensitivities3);
data.put(Pair.of(name4, Currency.CAD), sensitivities4);
final MultipleCurrencyParameterSensitivity sensitivities = new MultipleCurrencyParameterSensitivity(data);
assertEquals(sensitivities, cycleObject(MultipleCurrencyParameterSensitivity.class, sensitivities));
}
@Test
public void testCurveBuildingBlock() {
final LinkedHashMap<String, Pair<Integer, Integer>> data = new LinkedHashMap<>();
data.put("YC1", Pair.of(Integer.valueOf(0), Integer.valueOf(20)));
data.put("YC2", Pair.of(Integer.valueOf(20), Integer.valueOf(30)));
final CurveBuildingBlock curveBuildingBlock = new CurveBuildingBlock(data);
assertEquals(curveBuildingBlock, cycleObject(CurveBuildingBlock.class, curveBuildingBlock));
}
@Test
public void testCurveBuildingBlockBundle() {
final LinkedHashMap<String, Pair<Integer, Integer>> data1 = new LinkedHashMap<>();
data1.put("YC1", Pair.of(Integer.valueOf(0), Integer.valueOf(2)));
data1.put("YC2", Pair.of(Integer.valueOf(2), Integer.valueOf(3)));
final CurveBuildingBlock curveBuildingBlock1 = new CurveBuildingBlock(data1);
final DoubleMatrix2D matrix1 = new DoubleMatrix2D(new double[][] {new double[] {1, 2, 3, 4}, new double[] {5, 6, 7, 8}});
final LinkedHashMap<String, Pair<Integer, Integer>> data2 = new LinkedHashMap<>();
data2.put("YC3", Pair.of(Integer.valueOf(0), Integer.valueOf(1)));
data2.put("YC4", Pair.of(Integer.valueOf(1), Integer.valueOf(2)));
final CurveBuildingBlock curveBuildingBlock2 = new CurveBuildingBlock(data2);
final DoubleMatrix2D matrix2 = new DoubleMatrix2D(new double[][] {new double[] {9, 8, 7}, new double[] {6, 5, 4}});
final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> data = new LinkedHashMap<>();
data.put("B1", Pair.of(curveBuildingBlock1, matrix1));
data.put("B2", Pair.of(curveBuildingBlock2, matrix2));
final CurveBuildingBlockBundle cbbb = new CurveBuildingBlockBundle(data);
assertEquals(cbbb, cycleObject(CurveBuildingBlockBundle.class, cbbb));
}
@Test
public void testInflationSensitivity() {
final String name1 = "YC1";
final String name2 = "YC2";
final Map<String, List<DoublesPair>> yieldCurveSensitivities = new HashMap<>();
yieldCurveSensitivities.put(name1, Arrays.asList(new DoublesPair(1., 2.), new DoublesPair(3.5, 6.8)));
yieldCurveSensitivities.put(name2, Arrays.asList(new DoublesPair(11., 12.), new DoublesPair(13.5, 16.8), new DoublesPair(45., 12.)));
final Map<String, List<ForwardSensitivity>> forwardCurveSensitivities = new HashMap<>();
forwardCurveSensitivities.put(name1, Arrays.asList(new ForwardSensitivity(1, 5, 0.25, 10), new ForwardSensitivity(2, 3, 0.215, 20), new ForwardSensitivity(3, 9, 0.225, 30)));
forwardCurveSensitivities.put(name2, Arrays.asList(new ForwardSensitivity(0.1, 4, 0.5, 10)));
final MulticurveSensitivity sensitivities = MulticurveSensitivity.of(yieldCurveSensitivities, forwardCurveSensitivities);
final String name3 = "PC1";
final String name4 = "PC2";
final Map<String, List<DoublesPair>> priceCurveSensitivities = new HashMap<>();
priceCurveSensitivities.put(name3, Arrays.asList(new DoublesPair(1.2, 2.3), new DoublesPair(3.4, 4.5)));
priceCurveSensitivities.put(name4, Arrays.asList(new DoublesPair(9.8, 8.7), new DoublesPair(5.4, 3.2), new DoublesPair(2.33, 3.44)));
final InflationSensitivity is = InflationSensitivity.of(sensitivities, priceCurveSensitivities);
assertEquals(is, cycleObject(InflationSensitivity.class, is));
}
@Test
public void testMultipleCurrencyInflationSensitivity() {
final String name1 = "YC1";
final String name2 = "YC2";
final Map<String, List<DoublesPair>> yieldCurveSensitivities1 = new HashMap<>();
yieldCurveSensitivities1.put(name1, Arrays.asList(new DoublesPair(1., 2.), new DoublesPair(3.5, 6.8)));
yieldCurveSensitivities1.put(name2, Arrays.asList(new DoublesPair(11., 12.), new DoublesPair(13.5, 16.8), new DoublesPair(45., 12.)));
final Map<String, List<ForwardSensitivity>> forwardCurveSensitivities1 = new HashMap<>();
forwardCurveSensitivities1.put(name1, Arrays.asList(new ForwardSensitivity(1, 5, 0.25, 10), new ForwardSensitivity(2, 3, 0.215, 20), new ForwardSensitivity(3, 9, 0.225, 30)));
forwardCurveSensitivities1.put(name2, Arrays.asList(new ForwardSensitivity(0.1, 4, 0.5, 10)));
final MulticurveSensitivity sensitivities1 = MulticurveSensitivity.of(yieldCurveSensitivities1, forwardCurveSensitivities1);
final Map<String, List<DoublesPair>> priceCurveSensitivities1 = new HashMap<>();
priceCurveSensitivities1.put("PC1", Arrays.asList(new DoublesPair(1.2, 2.3), new DoublesPair(3.4, 4.5)));
priceCurveSensitivities1.put("PC2", Arrays.asList(new DoublesPair(9.8, 8.7), new DoublesPair(5.4, 3.2), new DoublesPair(2.33, 3.44)));
final InflationSensitivity is1 = InflationSensitivity.of(sensitivities1, priceCurveSensitivities1);
final String name3 = "YC3";
final String name4 = "YC4";
final Map<String, List<DoublesPair>> yieldCurveSensitivities2 = new HashMap<>();
yieldCurveSensitivities2.put(name3, Arrays.asList(new DoublesPair(10., 20.)));
yieldCurveSensitivities2.put(name4, Arrays.asList(new DoublesPair(110., 120.), new DoublesPair(13.51, 16.81), new DoublesPair(45.3, 12.3)));
final Map<String, List<ForwardSensitivity>> forwardCurveSensitivities2 = new HashMap<>();
forwardCurveSensitivities2.put(name3, Arrays.asList(new ForwardSensitivity(18, 58, 0.258, 108), new ForwardSensitivity(32, 92, 0.2252, 302)));
forwardCurveSensitivities2.put(name4, Arrays.asList(new ForwardSensitivity(0.18, 48, 0.58, 18)));
final MulticurveSensitivity sensitivities2 = MulticurveSensitivity.of(yieldCurveSensitivities2, forwardCurveSensitivities2);
final Map<String, List<DoublesPair>> priceCurveSensitivities2 = new HashMap<>();
priceCurveSensitivities1.put("PC3", Arrays.asList(new DoublesPair(1.21, 2.31), new DoublesPair(3.41, 4.51)));
priceCurveSensitivities1.put("PC4", Arrays.asList(new DoublesPair(9.81, 8.71), new DoublesPair(5.41, 3.21), new DoublesPair(2.331, 3.441)));
final InflationSensitivity is2 = InflationSensitivity.of(sensitivities2, priceCurveSensitivities2);
MultipleCurrencyInflationSensitivity sensitivities = new MultipleCurrencyInflationSensitivity();
sensitivities = sensitivities.plus(Currency.AUD, is1);
sensitivities = sensitivities.plus(Currency.CAD, is2);
assertEquals(sensitivities, cycleObject(MultipleCurrencyInflationSensitivity.class, sensitivities));
}
}