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

ZeroRateSensitivity.build介绍

暂无

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 presentValueSensitivity_onFix_ts() {
 PointSensitivities ptsCpn = PRICER_CMS.presentValueSensitivity(COUPON, RATES_PROVIDER_ON_FIX_TS).build();
 PointSensitivities ptsCapletOtm = PRICER_CMS.presentValueSensitivity(CAPLET, RATES_PROVIDER_ON_FIX_TS).build();
 PointSensitivities ptsCapletItm = PRICER_CMS.presentValueSensitivity(CAPLET_NEGATIVE, RATES_PROVIDER_ON_FIX_TS).build();
 PointSensitivities ptsFloorletItm = PRICER_CMS.presentValueSensitivity(FLOORLET, RATES_PROVIDER_ON_FIX_TS).build();
 PointSensitivities ptsFloorletOtm = PRICER_CMS.presentValueSensitivity(FLOORLET_NEGATIVE, RATES_PROVIDER_ON_FIX_TS).build();
 double factor = NOTIONAL * COUPON.getYearFraction();
 ZeroRateSensitivity pts = RATES_PROVIDER_ON_FIX_TS.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

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

public void test_curveParameterSensitivity_noSensi() {
 ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder()
   .issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER))
   .issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER))
   .repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO))
   .repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER))
   .valuationDate(DATE)
   .build();
 ZeroRateSensitivity sensi =
   ZeroRateSensitivity.of(USD, DSC_FACTORS_ISSUER.relativeYearFraction(date(2018, 11, 24)), 25d);
 CurrencyParameterSensitivities computed = test.parameterSensitivity(sensi.build());
 assertEquals(computed, CurrencyParameterSensitivities.empty());
}

代码示例来源：origin: OpenGamma/Strata

public void presentValueSensitivity_onFix_nots() {
 PointSensitivities pv = PRICER_CMS.presentValueSensitivity(COUPON, RATES_PROVIDER_ON_FIX).build();
 double df = RATES_PROVIDER_ON_FIX.discountFactor(EUR, PAYMENT);
 ZeroRateSensitivity dfdr = RATES_PROVIDER_ON_FIX.discountFactors(EUR).zeroRatePointSensitivity(PAYMENT);
 double forward = PRICER_SWAP.parRate(COUPON.getUnderlyingSwap(), RATES_PROVIDER_ON_FIX);
 PointSensitivities forwarddr = PRICER_SWAP.parRateSensitivity(COUPON.getUnderlyingSwap(), RATES_PROVIDER_ON_FIX).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 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

/**
 * Calculates the par spread sensitivity to the curves.
 * <p>
 * The sensitivity is reported in the counter currency of the product, but is actually dimensionless.
 * 
 * @param swap  the product
 * @param provider  the rates provider
 * @return the spread curve sensitivity
 */
public PointSensitivities parSpreadSensitivity(ResolvedFxSwap swap, RatesProvider provider) {
 Payment counterPaymentNear = swap.getNearLeg().getCounterCurrencyPayment();
 MultiCurrencyAmount pv = presentValue(swap, provider);
 double pvCounterCcy = pv.convertedTo(counterPaymentNear.getCurrency(), provider).getAmount();
 double dfEnd = provider.discountFactor(counterPaymentNear.getCurrency(), swap.getFarLeg().getPaymentDate());
 double notionalBaseCcy = swap.getNearLeg().getBaseCurrencyPayment().getAmount();
 double ps = -pvCounterCcy / (notionalBaseCcy * dfEnd);
 // backward sweep
 double psBar = 1d;
 double pvCounterCcyBar = -1d / (notionalBaseCcy * dfEnd) * psBar;
 double dfEndBar = -ps / dfEnd * psBar;
 ZeroRateSensitivity ddfEnddr = provider.discountFactors(counterPaymentNear.getCurrency())
   .zeroRatePointSensitivity(swap.getFarLeg().getPaymentDate());
 PointSensitivities result = ddfEnddr.multipliedBy(dfEndBar).build();
 PointSensitivities dpvdr = presentValueSensitivity(swap, provider);
 PointSensitivities dpvdrConverted = dpvdr.convertedTo(counterPaymentNear.getCurrency(), provider);
 return result.combinedWith(dpvdrConverted.multipliedBy(pvCounterCcyBar));
}