Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.cleaned()

com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.cleaned()
Returns a new multiple currency sensitivity by creating clean sensitivity for each currency (see {@link InterestRateCurveSensitivity} clean() method). @return The cleaned sensitivity.

    pvcsCalculator = pvcsCalculator.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsExpected = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcpn = 0; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvcsExpected = pvcsExpected.plus(PVCSSSC.visit(cap.getNthPayment(loopcpn), SABR_MULTICURVES));
    }
    pvcsExpected = pvcsExpected.cleaned();
    AssertSensivityObjects.assertEquals("Cap annuity - SABR pv", pvcsExpected, pvcsCalculator, 1.0E-2);
  }


  //  @Test(enabled = false)
  //  /**

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    final Currency ccy1 = Currency.AUD;
    final MultipleCurrencyMulticurveSensitivity mcs = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
    assertEquals("MultipleCurrencyCurveSensitivityMarket: of", cs, mcs.getSensitivity(ccy1));
    MultipleCurrencyMulticurveSensitivity constructor = new MultipleCurrencyMulticurveSensitivity();
    constructor = constructor.plus(ccy1, cs);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: of", mcs.cleaned(), constructor.cleaned(), TOLERANCE);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: getSensitivity", new MulticurveSensitivity(), mcs.getSensitivity(Currency.CAD), TOLERANCE);
  }


  @Test
  public void plusMultipliedBy() {

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    final MulticurveSensitivity cs2 = MulticurveSensitivity.ofYieldDiscounting(SENSI_22);
    final MultipleCurrencyMulticurveSensitivity mcs2 = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs2);
    final MultipleCurrencyMulticurveSensitivity mcs3 = mcs.plus(mcs2);
    final Map<String, List<DoublesPair>> sum = InterestRateCurveSensitivityUtils.addSensitivity(SENSI_11, SENSI_22);
    final MultipleCurrencyMulticurveSensitivity mcs3Expected = MultipleCurrencyMulticurveSensitivity.of(ccy1, MulticurveSensitivity.of(sum, SENSI_FWD_11));
    AssertSensivityObjects.assertEquals("", mcs3Expected.cleaned(), mcs3.cleaned(), TOLERANCE);
    mcs = mcs.plus(ccy2, cs);
    assertEquals("MultipleCurrencyCurveSensitivityMarket: plusMultipliedBy", cs, mcs.getSensitivity(ccy1));
    assertEquals("MultipleCurrencyCurveSensitivityMarket: plusMultipliedBy", cs, mcs.getSensitivity(ccy2));
    AssertSensivityObjects.assertEquals("", mcs.plus(mcs).cleaned(), mcs.multipliedBy(2.0).cleaned(), TOLERANCE);
  }

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    final MulticurveSensitivity cs2 = MulticurveSensitivity.of(SENSI_22, SENSI_FWD_11);
    MultipleCurrencyMulticurveSensitivity mcs1 = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs1);
    mcs1 = mcs1.plus(ccy2, cs2);
    MultipleCurrencyMulticurveSensitivity mcs2 = MultipleCurrencyMulticurveSensitivity.of(ccy2, cs2);
    mcs2 = mcs2.plus(ccy1, cs1);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: cleaned", mcs1.cleaned(), mcs2.cleaned(), TOLERANCE);
  }


  @Test
  public void converted() {
    final Currency ccy1 = Currency.EUR;

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    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, 1.25);
    final MulticurveSensitivity cs = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
    final MultipleCurrencyMulticurveSensitivity mcs = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
    final MultipleCurrencyMulticurveSensitivity mcsConverted = mcs.converted(ccy2, fxMatrix);
    final MultipleCurrencyMulticurveSensitivity mcsExpected = MultipleCurrencyMulticurveSensitivity.of(ccy2, cs.multipliedBy(fxMatrix.getFxRate(ccy1, ccy2)));
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: converted", mcsExpected.cleaned(), mcsConverted.cleaned(), TOLERANCE);
  }


  @Test
  public void equalHash() {
    final Currency ccy1 = Currency.EUR;

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   */
  public void presentValueCurveSensitivityRelative() {
    final MultipleCurrencyMulticurveSensitivity pvcsComputed = METHOD_HW.presentValueCurveSensitivity(BOND_FUTURE_DERIV, HW_ISSUER);
    final MulticurveSensitivity pcsSecurity = METHOD_HW.priceCurveSensitivity(BOND_FUTURE_DERIV, HW_ISSUER);
    final MultipleCurrencyMulticurveSensitivity pvcsExpected = MultipleCurrencyMulticurveSensitivity.of(USD, pcsSecurity.multipliedBy(NOTIONAL));
    AssertSensivityObjects.assertEquals("Bond future transaction Discounting Method: present value curve sensitivity", pvcsExpected.cleaned(), pvcsComputed.cleaned(), TOLERANCE_PV_DELTA);
  }


}

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  /**
   * Tests the present value curve sensitivity Method versus the Calculator.
   */
  public void presentValueCurveSensitivity() {
    MultipleCurrencyMulticurveSensitivity pvcsTS = METHOD_BLACK_FLAT.presentValueCurveSensitivity(CALL_LONG, BLACK_MULTICURVES);
    pvcsTS = pvcsTS.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsSmile = METHOD_SMILE.presentValueCurveSensitivity(CALL_LONG, SMILE_FLAT_MULTICURVES);
    pvcsSmile = pvcsSmile.cleaned();
    AssertSensivityObjects.assertEquals("Forex vanilla option: present value curve sensitivity vs flat smile", pvcsTS, pvcsSmile, TOLERANCE_PV);
  }

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   */
  public void presentValueCurveSensitivity() {
    MultipleCurrencyMulticurveSensitivity pvcsTS = METHOD_BLACK_FLAT.presentValueCurveSensitivity(CALL_LONG, BLACK_MULTICURVES);
    pvcsTS = pvcsTS.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsSmile = METHOD_SMILE.presentValueCurveSensitivity(CALL_LONG, SMILE_FLAT_MULTICURVES);
    pvcsSmile = pvcsSmile.cleaned();
    AssertSensivityObjects.assertEquals("Forex vanilla option: present value curve sensitivity vs flat smile", pvcsTS, pvcsSmile, TOLERANCE_PV);
  }


  @Test
  /**

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  /**
   * Test the present value sensitivity to interest rate.
   */
  public void presentValueCurveSensitivity() {
    MultipleCurrencyMulticurveSensitivity pvs = METHOD_FX_SWAP.presentValueCurveSensitivity(FX_SWAP, MULTICURVES);
    pvs = pvs.cleaned();
    MultipleCurrencyMulticurveSensitivity pvsNear = METHOD_FX.presentValueCurveSensitivity((FX_SWAP).getNearLeg(), MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvsFar = METHOD_FX.presentValueCurveSensitivity((FX_SWAP).getFarLeg(), MULTICURVES);
    pvsNear = pvsNear.plus(pvsFar);
    pvsNear = pvsNear.cleaned();
    assertTrue("Forex swap present value curve sensitivity", pvs.equals(pvsNear));

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