Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()

com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()
Return a new sensitivity cleaned by sorting the times and adding the values at the duplicate times. @return The cleaned sensitivity.

    final List<DoublesPair> sensiPvDisc = pvcsMethod.getSensitivities().get(CURVES_NAME[0]);
    final DoublesPair pairPv = sensiPvDisc.get(0);
    assertEquals("Sensitivity coupon pv to forward curve: Node " + 0, nodeTimesDisc[0], pairPv.getFirst(), 1E-8);
    AssertJUnit.assertEquals("Sensitivity finite difference method: node sensitivity", pairPv.second, sensiDiscMethod[0], deltaTolerancePrice);
    InterestRateCurveSensitivity pvcsCalculator = new InterestRateCurveSensitivity(deposit.accept(PVCSC, CURVES));
    pvcsCalculator = pvcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("DepositZero: present value curve sensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_RATE);
  }


  @Test
  /**

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      assertEquals("Sensitivity coupon pv to forward curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity finite difference method: node sensitivity", pairPv.second, result[loopnode], TOLERANCE_PRICE);
    }
    CURVES.replaceCurve(CURVES_NAME[0], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = new InterestRateCurveSensitivity(deposit.accept(PRCSC, CURVES));
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("DepositZero: par rate curve sensitivity", prcsMethod, prcsCalculator, TOLERANCE_RATE);
  }


  @Test
  /**

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      assertEquals("Sensitivity par spread to curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity par spread to curve: Node", pairPv.second, result[loopnode], TOLERANCE_PRICE);
    }
    CURVES.replaceCurve(CURVES_NAME[0], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = deposit.accept(PSCSC, CURVES);
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("DepositZero: par rate curve sensitivity", pscsMethod, prcsCalculator, TOLERANCE_SPREAD_DELTA);
  }


}

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      assertEquals("Sensitivity par spread to curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity par spread to curve: Node", pairPv.second, result[loopnode], TOLERANCE_SPREAD_DELTA);
    }
    CURVES_2.replaceCurve(CURVE_NAME_2[1], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = fra.accept(PSCSC, CURVES_2);
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("FRA: par rate curve sensitivity", pscsMethod, prcsCalculator, TOLERANCE_SPREAD_DELTA);
  }


}

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  /**
   * Tests the present value rate sensitivity.
   */
  public void presentValueCurveSensitivityNotStarted() {
    InterestRateCurveSensitivity pvcs = METHOD_OIS.presentValueCurveSensitivity(EONIA_COUPON_NOTSTARTED, CURVES);
    pvcs = pvcs.cleaned();
    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";

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  /**
   * Tests the present value rate sensitivity.
   */
  public void parRateCurveSensitivityNotStarted() {
    InterestRateCurveSensitivity prcs = METHOD_OIS.parRateCurveSensitivity(EONIA_COUPON_NOTSTARTED, CURVES);
    prcs = prcs.cleaned();
    final double deltaTolerancePrice = 1.0E-10;
    // 1. Forward curve sensitivity
    final double[] nodeTimesForward = new double[] {EONIA_COUPON_NOTSTARTED.getFixingPeriodStartTime(), EONIA_COUPON_NOTSTARTED.getFixingPeriodEndTime() };
    final double dfForwardStart = CURVES.getCurve(CURVES_NAMES[1]).getDiscountFactor(START_ACCRUAL_TIME_1);
    final double dfForwardEnd = CURVES.getCurve(CURVES_NAMES[1]).getDiscountFactor(END_ACCRUAL_TIME_1);

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  public void parSpreadCurveSensitivityFixedIborBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 14);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
    final String fwdCurveName = ((CouponIbor) swap.getSecondLeg().getNthPayment(0)).getForwardCurveName();
    InterestRateCurveSensitivity pscsComputed = swap.accept(PSCSC, CURVES);
    pscsComputed = pscsComputed.cleaned();
    final double[] timesDsc = new double[swap.getSecondLeg().getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < swap.getSecondLeg().getNumberOfPayments(); loopcpn++) {
      timesDsc[loopcpn] = swap.getSecondLeg().getNthPayment(loopcpn).getPaymentTime();
    }
    final List<DoublesPair> sensiDscFD = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(swap, PSC, CURVES, swap.getFirstLeg().getDiscountCurve(), timesDsc, 1.0E-10);

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  public void parSpreadCurveSensitivityIborSpreadIborSpreadBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 14);
    final Swap<Coupon, Coupon> swap = SWAP_IBORSPREAD_IBORSPREAD_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final String fwdCurveName = ((CouponIborSpread) swap.getSecondLeg().getNthPayment(0)).getForwardCurveName();
    InterestRateCurveSensitivity pscsComputed = swap.accept(PSCSC, CURVES);
    pscsComputed = pscsComputed.cleaned();
    final double[] timesDsc = new double[swap.getFirstLeg().getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < swap.getFirstLeg().getNumberOfPayments(); loopcpn++) {
      timesDsc[loopcpn] = swap.getFirstLeg().getNthPayment(loopcpn).getPaymentTime();
    }
    final List<DoublesPair> sensiDscFD = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(swap, PSC, CURVES, swap.getFirstLeg().getDiscountCurve(), timesDsc, 1.0E-10);

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   * Tests parSpread curve sensitivity.
   */
  public void parSpreadCurveSensitivity() {
    final ForexSwap fxSwap = (ForexSwap) FX_SWAP;
    InterestRateCurveSensitivity pscsMethod = METHOD_FX_SWAP.parSpreadCurveSensitivity(fxSwap, CURVES_FX);
    pscsMethod = pscsMethod.cleaned(0.0, 1.0E-8);
    final double ps = METHOD_FX_SWAP.parSpread(fxSwap, CURVES_FX);
    final double deltaShift = 0.000001;
    final int nbNode = 2;
    final double[] result = new double[nbNode];
    final double[] nodeTimesExtended = new double[nbNode + 1];

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      final DoublesPair pairPv = sensi2.get(loopnode);
      assertEquals("Sensitivity par spread to curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
    }
    CURVES_FX.replaceCurve(CURVES_NAME[1], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = fxSwap.accept(PSCSC, CURVES_FX);
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("Forex swap: par rate curve sensitivity", pscsMethod, prcsCalculator, TOLERANCE_SPREAD_DELTA);
  }


}

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