com.opengamma.strata.pricer.ZeroRateSensitivity.getSensitivity()方法的使用及代码示例-6ren

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com.opengamma.strata.pricer.ZeroRateSensitivity.getSensitivity()方法的使用及代码示例

转载作者：知者更新时间：2024-03-13 11:12:33

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本文整理了Java中com.opengamma.strata.pricer.ZeroRateSensitivity.getSensitivity()方法的一些代码示例，展示了ZeroRateSensitivity.getSensitivity()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.getSensitivity()方法的具体详情如下：
包路径：com.opengamma.strata.pricer.ZeroRateSensitivity
类名称：ZeroRateSensitivity
方法名：getSensitivity

ZeroRateSensitivity.getSensitivity介绍

[英]Gets the value of the sensitivity.
[中]获取灵敏度的值。

代码示例

代码示例来源：origin: OpenGamma/Strata

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

代码示例来源：origin: OpenGamma/Strata

@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
 switch (propertyName.hashCode()) {
  case 1303639584:  // curveCurrency
   return ((ZeroRateSensitivity) bean).getCurveCurrency();
  case -1731780257:  // yearFraction
   return ((ZeroRateSensitivity) bean).getYearFraction();
  case 575402001:  // currency
   return ((ZeroRateSensitivity) bean).getCurrency();
  case 564403871:  // sensitivity
   return ((ZeroRateSensitivity) bean).getSensitivity();
 }
 return super.propertyGet(bean, propertyName, quiet);
}

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

public void test_zeroRatePointSensitivityWithSpread_smallYearFraction() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, 0.0d);
 ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, 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

/**
 * 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 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

@Override
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens) {
 double yearFraction = pointSens.getYearFraction();
 UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction);
 CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSens.getCurrency(), pointSens.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_continous() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction);
 ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
 assertTrue(computed.compareKey(expected) == 0);
 assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA);
}

代码示例来源：origin: OpenGamma/Strata

public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continous() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
 ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 0);
 assertTrue(computed.compareKey(expected) == 0);
 assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA);
}

代码示例来源：origin: OpenGamma/Strata

@Override
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens) {
 double yearFraction = pointSens.getYearFraction();
 if (Math.abs(yearFraction) < EFFECTIVE_ZERO) {
  return CurrencyParameterSensitivities.empty(); // Discount factor in 0 is always 1, no sensitivity.
 }
 double discountFactor = discountFactor(yearFraction);
 UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction);
 CurrencyParameterSensitivity curSens = unitSens
   .multipliedBy(-1d / (yearFraction * discountFactor))
   .multipliedBy(pointSens.getCurrency(), pointSens.getSensitivity());
 return CurrencyParameterSensitivities.of(curSens);
}

代码示例来源：origin: OpenGamma/Strata

public void test_presentValueSensitivityWithSpread_df_spread_continuous() {
 PointSensitivities point = PRICER.presentValueSensitivityWithSpread(
   PAYMENT, DISCOUNT_FACTORS, Z_SPREAD, CONTINUOUS, 0).build();
 double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
 double expected = -DF * relativeYearFraction * NOTIONAL_USD * Math.exp(-Z_SPREAD * relativeYearFraction);
 ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0);
 assertEquals(actual.getCurrency(), USD);
 assertEquals(actual.getCurveCurrency(), USD);
 assertEquals(actual.getYearFraction(), relativeYearFraction);
 assertEquals(actual.getSensitivity(), expected, NOTIONAL_USD * TOL);
}

代码示例来源：origin: OpenGamma/Strata

public void test_presentValueSensitivity_provider() {
 PointSensitivities point = PRICER.presentValueSensitivity(TRADE, PROVIDER);
 double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
 double expected = -DF * relativeYearFraction * NOTIONAL_USD;
 ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0);
 assertEquals(actual.getCurrency(), USD);
 assertEquals(actual.getCurveCurrency(), USD);
 assertEquals(actual.getYearFraction(), relativeYearFraction);
 assertEquals(actual.getSensitivity(), expected, NOTIONAL_USD * TOL);
}

代码示例来源：origin: OpenGamma/Strata

public void test_presentValueSensitivity_df() {
 PointSensitivities point = PRICER.presentValueSensitivity(PAYMENT, DISCOUNT_FACTORS).build();
 double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
 double expected = -DF * relativeYearFraction * NOTIONAL_USD;
 ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0);
 assertEquals(actual.getCurrency(), USD);
 assertEquals(actual.getCurveCurrency(), USD);
 assertEquals(actual.getYearFraction(), relativeYearFraction);
 assertEquals(actual.getSensitivity(), expected, NOTIONAL_USD * TOL);
}

代码示例来源：origin: OpenGamma/Strata

public void test_presentValueSensitivity_provider() {
 PointSensitivities point = PRICER.presentValueSensitivity(PAYMENT, PROVIDER).build();
 double relativeYearFraction = ACT_365F.relativeYearFraction(VAL_DATE_2014_01_22, PAYMENT_DATE);
 double expected = -DF * relativeYearFraction * NOTIONAL_USD;
 ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0);
 assertEquals(actual.getCurrency(), USD);
 assertEquals(actual.getCurveCurrency(), USD);
 assertEquals(actual.getYearFraction(), relativeYearFraction);
 assertEquals(actual.getSensitivity(), expected, NOTIONAL_USD * TOL);
}

代码示例来源：origin: OpenGamma/Strata

@Override
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens) {
 double yearFraction = pointSens.getYearFraction();
 double rp = curve.yValue(yearFraction);
 double rcBar = 1.0;
 double rpBar = 1.0 / (1 + rp / frequency) * rcBar;
 UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction).multipliedBy(rpBar);
 CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSens.getCurrency(), pointSens.getSensitivity());
 return CurrencyParameterSensitivities.of(curSens);
}

代码示例来源：origin: OpenGamma/Strata

public void test_presentValueSensitivity() {
 SimpleRatesProvider prov = createProvider(VAL_DATE);
 PointSensitivities point = PRICER.presentValueSensitivity(PERIOD, prov).build();
 double relativeYearFraction = DAY_COUNT.relativeYearFraction(VAL_DATE, PAYMENT_DATE);
 double expected = -DISCOUNT_FACTOR * relativeYearFraction * AMOUNT_1000;
 ZeroRateSensitivity actual = (ZeroRateSensitivity) point.getSensitivities().get(0);
 assertEquals(actual.getCurrency(), GBP);
 assertEquals(actual.getCurveCurrency(), GBP);
 assertEquals(actual.getYearFraction(), relativeYearFraction);
 assertEquals(actual.getSensitivity(), expected, AMOUNT_1000 * TOLERANCE_PV);
}

代码示例来源：origin: OpenGamma/Strata

public void test_unitParameterSensitivity() {
 IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE);
 ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER);
 double relativeYearFraction = ACT_365F.relativeYearFraction(VALUATION, 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

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

public void test_currencyParameterSensitivity() {
 SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
 ZeroRateSensitivity sens = test.zeroRatePointSensitivity(DATE_AFTER);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 double discountFactor = CURVE.yValue(relativeYearFraction);
 CurrencyParameterSensitivities expected = CurrencyParameterSensitivities.of(
   CURVE.yValueParameterSensitivity(relativeYearFraction)
     .multipliedBy(-1d / discountFactor / relativeYearFraction)
     .multipliedBy(sens.getCurrency(), sens.getSensitivity()));
 assertEquals(test.parameterSensitivity(sens), expected);
}

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