本文整理了Java中com.opengamma.strata.pricer.ZeroRateSensitivity类的一些代码示例，展示了ZeroRateSensitivity类的具体用法。这些代码示例主要来源于Github/Stackoverflow/Maven等平台，是从一些精选项目中提取出来的代码，具有较强的参考意义，能在一定程度帮忙到你。ZeroRateSensitivity类的具体详情如下：
包路径：com.opengamma.strata.pricer.ZeroRateSensitivity
类名称：ZeroRateSensitivity

ZeroRateSensitivity介绍

[英]Point sensitivity to the zero rate curve.

Holds the sensitivity to the zero rate curve at a specific date.
[中]零速率曲线的点灵敏度。
在特定日期保持对零利率曲线的敏感性。

代码示例

代码示例来源：origin: OpenGamma/Strata

public void test_build() {
 ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
 PointSensitivities test = base.build();
 assertEquals(test.getSensitivities(), ImmutableList.of(base));
}

代码示例来源：origin: OpenGamma/Strata

public void test_combinedWith() {
 ZeroRateSensitivity base1 = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
 ZeroRateSensitivity base2 = ZeroRateSensitivity.of(GBP, YEARFRAC2, 22d);
 MutablePointSensitivities expected = new MutablePointSensitivities();
 expected.add(base1).add(base2);
 PointSensitivityBuilder test = base1.combinedWith(base2);
 assertEquals(test, expected);
}

代码示例来源：origin: OpenGamma/Strata

public void test_convertedTo() {
 double sensi = 32d;
 ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, sensi);
 double rate = 1.5d;
 FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
 ZeroRateSensitivity test1 = (ZeroRateSensitivity) base.convertedTo(USD, matrix);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, USD, rate * sensi);
 assertEquals(test1, expected);
 ZeroRateSensitivity test2 = (ZeroRateSensitivity) base.convertedTo(GBP, matrix);
 assertEquals(test2, base);
}

代码示例来源：origin: OpenGamma/Strata

/**
 * Obtains an instance from zero rate sensitivity and group.
 * 
 * @param zeroRateSensitivity  the zero rate sensitivity
 * @param repoGroup  the group
 * @return the point sensitivity object
 */
public static RepoCurveZeroRateSensitivity of(ZeroRateSensitivity zeroRateSensitivity, RepoGroup repoGroup) {
 return of(
   zeroRateSensitivity.getCurveCurrency(),
   zeroRateSensitivity.getYearFraction(),
   zeroRateSensitivity.getCurrency(),
   repoGroup,
   zeroRateSensitivity.getSensitivity());
}

代码示例来源：origin: OpenGamma/Strata

@Override
public int compareKey(PointSensitivity other) {
 if (other instanceof CreditCurveZeroRateSensitivity) {
  CreditCurveZeroRateSensitivity otherZero = (CreditCurveZeroRateSensitivity) other;
  return ComparisonChain.start()
    .compare(zeroRateSensitivity.getYearFraction(), otherZero.zeroRateSensitivity.getYearFraction())
    .compare(zeroRateSensitivity.getCurrency(), otherZero.zeroRateSensitivity.getCurrency())
    .compare(zeroRateSensitivity.getCurveCurrency(), otherZero.zeroRateSensitivity.getCurveCurrency())
    .compare(legalEntityId, otherZero.legalEntityId)
    .result();
 }
 return getClass().getSimpleName().compareTo(other.getClass().getSimpleName());
}

代码示例来源：origin: OpenGamma/Strata

@Override
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSensitivity) {
 double yearFraction = pointSensitivity.getYearFraction();
 UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction);
 CurrencyParameterSensitivity curSens =
   unitSens.multipliedBy(pointSensitivity.getCurrency(), pointSensitivity.getSensitivity());
 return CurrencyParameterSensitivities.of(curSens);
}

代码示例来源：origin: OpenGamma/Strata

public void test_of() {
 ZeroRateSensitivity test = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
 assertEquals(test.getCurrency(), GBP);
 assertEquals(test.getYearFraction(), YEARFRAC);
 assertEquals(test.getSensitivity(), 32d);
 assertEquals(test.getCurrency(), GBP);
}

代码示例来源：origin: OpenGamma/Strata

public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_smallYearFraction() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, USD, 0.0d);
 ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, USD, SPREAD, CONTINUOUS, 0);
 assertTrue(computed.compareKey(expected) == 0);
 assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD);
}

代码示例来源：origin: OpenGamma/Strata

@Override
public CreditCurveZeroRateSensitivity multipliedBy(double factor) {
 return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity.multipliedBy(factor));
}

代码示例来源：origin: OpenGamma/Strata

/**
 * Obtains the underlying {@code ZeroRateSensitivity}. 
 * <p>
 * This creates the zero rate sensitivity object by omitting the repo group.
 * 
 * @return the point sensitivity object
 */
public ZeroRateSensitivity createZeroRateSensitivity() {
 return ZeroRateSensitivity.of(curveCurrency, yearFraction, currency, sensitivity);
}

代码示例来源：origin: OpenGamma/Strata

public void presentValueSensitivity_beforeFixing_coupon() {
 PointSensitivities pv = PRICER_CMS.presentValueSensitivity(COUPON, RATES_PROVIDER).build();
 double df = RATES_PROVIDER.discountFactor(EUR, PAYMENT);
 ZeroRateSensitivity dfdr = RATES_PROVIDER.discountFactors(EUR).zeroRatePointSensitivity(PAYMENT);
 double forward = PRICER_SWAP.parRate(COUPON.getUnderlyingSwap(), RATES_PROVIDER);
 PointSensitivities forwarddr = PRICER_SWAP.parRateSensitivity(COUPON.getUnderlyingSwap(), RATES_PROVIDER).build();
 PointSensitivities expected = forwarddr.multipliedBy(df).combinedWith(dfdr.multipliedBy(forward).build())
   .multipliedBy(NOTIONAL * ACC_FACTOR);
 assertTrue(pv.equalWithTolerance(expected, TOLERANCE_DELTA));    
}

代码示例来源：origin: OpenGamma/Strata

public void test_unitParameterSensitivity() {
 ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
 ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of(
   CURVE.yValueParameterSensitivity(relativeYearFraction)
     .multipliedBy(sens.getCurrency(), sens.getSensitivity()));
 assertEquals(test.parameterSensitivity(sens), expected);
}

代码示例来源：origin: OpenGamma/Strata

@Override
public CreditCurveZeroRateSensitivity withCurrency(Currency currency) {
 if (this.zeroRateSensitivity.getCurrency().equals(currency)) {
  return this;
 }
 return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity.withCurrency(currency));
}

代码示例来源：origin: OpenGamma/Strata

public void test_mapSensitivity() {
 ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, 1 / 32d);
 ZeroRateSensitivity test = base.mapSensitivity(s -> 1 / s);
 assertEquals(test, expected);
}

代码示例来源：origin: OpenGamma/Strata

public void test_withSensitivity() {
 ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, 20d);
 ZeroRateSensitivity test = base.withSensitivity(20d);
 assertEquals(test, expected);
}

代码示例来源：origin: OpenGamma/Strata

public void test_multipliedBy() {
 ZeroRateSensitivity base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d * 3.5d);
 ZeroRateSensitivity test = base.multipliedBy(3.5d);
 assertEquals(test, expected);
}

代码示例来源：origin: OpenGamma/Strata

/**
 * Gets the currency of the curve for which the sensitivity is computed.
 * 
 * @return the curve currency
 */
public Currency getCurveCurrency() {
 return zeroRateSensitivity.getCurveCurrency();
}

代码示例来源：origin: OpenGamma/Strata

public void presentValueSensitivity_afterFix() {
 PointSensitivities ptsCpn = PRICER_CMS.presentValueSensitivity(COUPON, RATES_PROVIDER_AFTER_FIX).build();
 PointSensitivities ptsCapletOtm = PRICER_CMS.presentValueSensitivity(CAPLET, RATES_PROVIDER_AFTER_FIX).build();
 PointSensitivities ptsCapletItm = PRICER_CMS.presentValueSensitivity(CAPLET_NEGATIVE, RATES_PROVIDER_AFTER_FIX).build();
 PointSensitivities ptsFloorletItm = PRICER_CMS.presentValueSensitivity(FLOORLET, RATES_PROVIDER_AFTER_FIX).build();
 PointSensitivities ptsFloorletOtm = PRICER_CMS.presentValueSensitivity(FLOORLET_NEGATIVE, RATES_PROVIDER_AFTER_FIX).build();
 double factor = NOTIONAL * COUPON.getYearFraction();
 ZeroRateSensitivity pts = RATES_PROVIDER_AFTER_FIX.discountFactors(EUR).zeroRatePointSensitivity(PAYMENT);
 assertTrue(ptsCpn.equalWithTolerance(pts.build().multipliedBy(factor * OBS_INDEX), TOLERANCE_DELTA));
 assertTrue(ptsCapletOtm.equalWithTolerance(pts.build().multipliedBy(0d), TOLERANCE_DELTA));
 assertTrue(ptsCapletItm.equalWithTolerance(pts.build().multipliedBy(factor * (OBS_INDEX - STRIKE_NEGATIVE)), TOLERANCE_DELTA));
 assertTrue(ptsFloorletItm.equalWithTolerance(pts.build().multipliedBy(factor * (STRIKE - OBS_INDEX)), TOLERANCE_DELTA));
 assertTrue(ptsFloorletOtm.equalWithTolerance(pts.build().multipliedBy(0d), TOLERANCE_DELTA));
}

代码示例来源：origin: OpenGamma/Strata

/**
 * Gets the time that was queried, expressed as a year fraction.
 * 
 * @return the year fraction
 */
public double getYearFraction() {
 return zeroRateSensitivity.getYearFraction();
}

代码示例来源：origin: OpenGamma/Strata

@Override
public double getSensitivity() {
 return zeroRateSensitivity.getSensitivity();
}