/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.sensitivity;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import java.util.ArrayList;
import java.util.Arrays;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import org.testng.annotations.Test;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivityUtils;
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.util.AssertSensivityObjects;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* Tests the MultipleCurrencyCurveSensitivityMarket class.
*/
public class MultipleCurrencyMulticurveSensitivityTest {
private static final List<DoublesPair> SENSI_DATA_1 = Arrays.asList(new DoublesPair[] {new DoublesPair(1, 10), new DoublesPair(2, 20), new DoublesPair(3, 30), new DoublesPair(4, 40)});
private static final List<DoublesPair> SENSI_DATA_2 = Arrays.asList(new DoublesPair[] {new DoublesPair(1, 40), new DoublesPair(2, 30), new DoublesPair(3, 20), new DoublesPair(4, 10)});
private static final List<DoublesPair> SENSI_DATA_3 = Arrays.asList(new DoublesPair[] {new DoublesPair(11, 40), new DoublesPair(12, 30), new DoublesPair(13, 20), new DoublesPair(14, 10)});
private static final List<ForwardSensitivity> SENSI_FWD_1 = new ArrayList<>();
static {
SENSI_FWD_1.add(new ForwardSensitivity(0.5, 0.75, 0.26, 11));
SENSI_FWD_1.add(new ForwardSensitivity(0.75, 1.00, 0.26, 12));
SENSI_FWD_1.add(new ForwardSensitivity(1.00, 1.25, 0.24, 13));
}
private static final String CURVE_NAME_1 = "A";
private static final String CURVE_NAME_2 = "B";
private static final String CURVE_NAME_3 = "C";
private static final Map<String, List<DoublesPair>> SENSI_11 = new HashMap<>();
private static final Map<String, List<DoublesPair>> SENSI_12 = new HashMap<>();
private static final Map<String, List<DoublesPair>> SENSI_22 = new HashMap<>();
private static final Map<String, List<DoublesPair>> SENSI_33 = new HashMap<>();
private static final Map<String, List<ForwardSensitivity>> SENSI_FWD_11 = new HashMap<>();
static {
SENSI_11.put(CURVE_NAME_1, SENSI_DATA_1);
SENSI_22.put(CURVE_NAME_2, SENSI_DATA_2);
SENSI_12.put(CURVE_NAME_1, SENSI_DATA_2);
SENSI_33.put(CURVE_NAME_3, SENSI_DATA_3);
SENSI_FWD_11.put(CURVE_NAME_2, SENSI_FWD_1);
}
private static final double TOLERANCE = 1.0E-10;
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCcy() {
MultipleCurrencyMulticurveSensitivity.of(null, new MulticurveSensitivity());
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullSensi() {
MultipleCurrencyMulticurveSensitivity.of(Currency.AUD, null);
}
@Test
public void of() {
final MulticurveSensitivity cs = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
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() {
final Currency ccy1 = Currency.AUD;
final Currency ccy2 = Currency.CAD;
final MulticurveSensitivity cs = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
MultipleCurrencyMulticurveSensitivity mcs = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
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);
}
@Test
public void cleaned() {
final Currency ccy1 = Currency.AUD;
final Currency ccy2 = Currency.CAD;
final MulticurveSensitivity cs1 = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
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;
final Currency ccy2 = Currency.USD;
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;
final Currency ccy2 = Currency.USD;
final MulticurveSensitivity cs = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
final MultipleCurrencyMulticurveSensitivity mcs = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
assertEquals("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs, mcs);
assertEquals("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs.hashCode(), mcs.hashCode());
assertFalse("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs.equals(null));
assertFalse("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs.equals(SENSI_11));
final MultipleCurrencyMulticurveSensitivity other = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
assertEquals("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs, other);
MultipleCurrencyMulticurveSensitivity modified;
modified = MultipleCurrencyMulticurveSensitivity.of(ccy2, cs);
assertFalse("MultipleCurrencyCurveSensitivityMarket: equalHash", mcs.equals(modified));
}
}