ParSensitivityAnalysisTest Class Reference

Sensitivity analysis tests. More...

#include <test/parsensitivityanalysis.hpp>

Static Public Member Functions
static void	test1dZeroShifts ()
	Test that shifting all shift curve tenor points by DELTA yields DELTA shifts at all tenor points of the an.
static void	test2dZeroShifts ()
	Test that shifting all 2-d shift tenor points by DELTA yields DELTA shifts at all 2-d grid points of the.
static void	testPortfolioZeroSensitivity ()
	Test that the portfolio shows the expected sensitivity (regression test)
static void	testParConversionNoneObs ()
	Test par conversion of sensitivities ("None" observation mode)
static void	testParConversionDisableObs ()
	Test par conversion of sensitivities ("Disable" observation mode)
static void	testParConversionDeferObs ()
	Test par conversion of sensitivities ("Defer" observation mode)
static void	testParConversionUnregisterObs ()
	Test par conversion of sensitivities ("Unregister" observation mode)
static boost::unit_test_framework::test_suite *	suite ()

Detailed Description

Sensitivity analysis tests.