public void test_withMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); InterpolatedNodalCurve test = base.withMetadata(METADATA_ENTRIES); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA_ENTRIES); assertThat(test.getXValues()).isEqualTo(XVALUES); assertThat(test.getYValues()).isEqualTo(YVALUES); }
public void test_withValues() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); InterpolatedNodalCurve test = base.withYValues(YVALUES_BUMPED); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA); assertThat(test.getXValues()).isEqualTo(XVALUES); assertThat(test.getYValues()).isEqualTo(YVALUES_BUMPED); }
public void test_withValuesXy() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); InterpolatedNodalCurve test = base.withValues(XVALUES2, YVALUES_BUMPED); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA); assertThat(test.getXValues()).isEqualTo(XVALUES2); assertThat(test.getYValues()).isEqualTo(YVALUES_BUMPED); }
public void test_withNode_inMiddle_withMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR); LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y); InterpolatedNodalCurve test = base.withNode(2.5d, 4d, item); List<ParameterMetadata> list = new ArrayList<>(METADATA_ENTRIES.getParameterMetadata().get()); list.add(2, item); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE + 1); assertThat(test.getMetadata()).isEqualTo(METADATA_ENTRIES.withParameterMetadata(list)); assertThat(test.getXValues()).isEqualTo(DoubleArray.of(1d, 2d, 2.5d, 3d)); assertThat(test.getYValues()).isEqualTo(DoubleArray.of(5d, 7d, 4d, 8d)); }
public void test_withNode_atStart_withMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR); LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y); InterpolatedNodalCurve test = base.withNode(0.5d, 4d, item); List<ParameterMetadata> list = new ArrayList<>(); list.add(item); list.addAll(ParameterMetadata.listOfEmpty(SIZE)); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE + 1); assertThat(test.getMetadata()).isEqualTo(METADATA_ENTRIES.withParameterMetadata(list)); assertThat(test.getXValues()).isEqualTo(DoubleArray.of(0.5d, 1d, 2d, 3d)); assertThat(test.getYValues()).isEqualTo(DoubleArray.of(4d, 5d, 7d, 8d)); }
public void test_withNode_replace_withMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR); LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y); InterpolatedNodalCurve test = base.withNode(2d, 4d, item); List<ParameterMetadata> list = new ArrayList<>(METADATA_ENTRIES.getParameterMetadata().get()); list.set(1, item); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA.withParameterMetadata(list)); assertThat(test.getXValues()).isEqualTo(DoubleArray.of(1d, 2d, 3d)); assertThat(test.getYValues()).isEqualTo(DoubleArray.of(5d, 4d, 8d)); }
public void test_withNode_atEnd_withoutMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y); InterpolatedNodalCurve test = base.withNode(0.5d, 4d, item); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE + 1); assertThat(test.getMetadata()).isEqualTo(METADATA); assertThat(test.getXValues()).isEqualTo(DoubleArray.of(0.5d, 1d, 2d, 3d)); assertThat(test.getYValues()).isEqualTo(DoubleArray.of(4d, 5d, 7d, 8d)); }
public void test_of_extrapolators() { InterpolatedNodalCurve test = InterpolatedNodalCurve.of( METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR, LINEAR_EXTRAPOLATOR, LINEAR_EXTRAPOLATOR); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getExtrapolatorLeft().getName()).isEqualTo(LINEAR_EXTRAPOLATOR.getName()); assertThat(test.getInterpolator().getName()).isEqualTo(INTERPOLATOR.getName()); assertThat(test.getExtrapolatorRight().getName()).isEqualTo(LINEAR_EXTRAPOLATOR.getName()); }
public void test_yValueParameterSensitivity() { InterpolatedNodalCurve curve = InterpolatedNodalCurve.of( METADATA, DoubleArray.of(0, 1), DoubleArray.of(2, 2.5), CurveInterpolators.LINEAR); Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1); Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2); UnitParameterSensitivity expected = curve.yValueParameterSensitivity(0.1); assertThat(absoluteShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected); assertThat(relativeShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected); }
public void test_of_noCurveMetadata() { InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_NOPARAM, XVALUES, YVALUES, INTERPOLATOR); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getParameter(0)).isEqualTo(YVALUES.get(0)); assertThat(test.getParameter(1)).isEqualTo(YVALUES.get(1)); assertThat(test.getParameterMetadata(0)).isEqualTo(SimpleCurveParameterMetadata.of(ValueType.YEAR_FRACTION, XVALUES.get(0))); assertThat(test.getParameterMetadata(1)).isEqualTo(SimpleCurveParameterMetadata.of(ValueType.YEAR_FRACTION, XVALUES.get(1))); }
public void test_createParameterSensitivity() { InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR); assertThat(test.createParameterSensitivity(DoubleArray.of(2d, 3d, 4d))).isEqualTo( UnitParameterSensitivity.of(CURVE_NAME, DoubleArray.of(2d, 3d, 4d))); assertThat(test.createParameterSensitivity(Currency.GBP, DoubleArray.of(2d, 3d, 4d))).isEqualTo( CurrencyParameterSensitivity.of(CURVE_NAME, Currency.GBP, DoubleArray.of(2d, 3d, 4d))); }
public void test_firstDerivative() { InterpolatedNodalCurve curve = InterpolatedNodalCurve.of( METADATA, DoubleArray.of(0, 1), DoubleArray.of(2, 2.5), CurveInterpolators.LINEAR); Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1); Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2); assertThat(curve.firstDerivative(0.1)).isEqualTo(0.5); assertThat(absoluteShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5); assertThat(relativeShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5 * 1.2); }
public void test_withValues_badSize() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); assertThrowsIllegalArg(() -> base.withYValues(DoubleArray.EMPTY)); assertThrowsIllegalArg(() -> base.withYValues(DoubleArray.of(4d, 6d))); }
public void test_lookup() { InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); BoundCurveInterpolator interp = INTERPOLATOR.bind(XVALUES, YVALUES, FLAT_EXTRAPOLATOR, FLAT_EXTRAPOLATOR); assertThat(test.yValue(XVALUES.get(0))).isEqualTo(YVALUES.get(0)); assertThat(test.yValue(XVALUES.get(1))).isEqualTo(YVALUES.get(1)); assertThat(test.yValue(XVALUES.get(2))).isEqualTo(YVALUES.get(2)); assertThat(test.yValue(10d)).isEqualTo(interp.interpolate(10d)); assertThat(test.yValueParameterSensitivity(10d).getMarketDataName()).isEqualTo(CURVE_NAME); assertThat(test.yValueParameterSensitivity(10d).getSensitivity()).isEqualTo(interp.parameterSensitivity(10d)); assertThat(test.firstDerivative(10d)).isEqualTo(interp.firstDerivative(10d)); }
public void test_relative() { CurveParallelShifts test = CurveParallelShifts.relative(0.1d, 0.2d, 0.4d); Curve baseCurve = InterpolatedNodalCurve.of( Curves.zeroRates("curve", DayCounts.ACT_365F), DoubleArray.of(1, 2, 3), DoubleArray.of(5, 6, 7), CurveInterpolators.LOG_LINEAR); MarketDataBox<Curve> shiftedCurveBox = test.applyTo(MarketDataBox.ofSingleValue(baseCurve), REF_DATA); assertEquals(shiftedCurveBox.getValue(0), ParallelShiftedCurve.relative(baseCurve, 0.1d)); assertEquals(shiftedCurveBox.getValue(1), ParallelShiftedCurve.relative(baseCurve, 0.2d)); assertEquals(shiftedCurveBox.getValue(2), ParallelShiftedCurve.relative(baseCurve, 0.4d)); }
public void test_absolute() { CurveParallelShifts test = CurveParallelShifts.absolute(1d, 2d, 4d); Curve baseCurve = InterpolatedNodalCurve.of( Curves.zeroRates("curve", DayCounts.ACT_365F), DoubleArray.of(1, 2, 3), DoubleArray.of(5, 6, 7), CurveInterpolators.LOG_LINEAR); MarketDataBox<Curve> shiftedCurveBox = test.applyTo(MarketDataBox.ofSingleValue(baseCurve), REF_DATA); assertEquals(shiftedCurveBox.getValue(0), ParallelShiftedCurve.absolute(baseCurve, 1d)); assertEquals(shiftedCurveBox.getValue(1), ParallelShiftedCurve.absolute(baseCurve, 2d)); assertEquals(shiftedCurveBox.getValue(2), ParallelShiftedCurve.absolute(baseCurve, 4d)); }
public void test_withValuesXy_badSize() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); assertThrowsIllegalArg(() -> base.withValues(DoubleArray.EMPTY, DoubleArray.EMPTY)); assertThrowsIllegalArg(() -> base.withValues(DoubleArray.of(1d, 3d, 5d), DoubleArray.of(4d, 6d))); }
public void test_of_badCurve() { CurveMetadata noDayCountMetadata = DefaultCurveMetadata.builder() .curveName(NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.FORWARD_RATE) .build(); InterpolatedNodalCurve notDayCount = InterpolatedNodalCurve.of( noDayCountMetadata, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR); assertThrowsIllegalArg(() -> SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, notDayCount)); }
private ImmutableRatesProvider createProvider( double rateStart, double rateEnd) { LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(VAL_DATE.with(lastDayOfMonth()), 300); InterpolatedNodalCurve curve = InterpolatedNodalCurve.of( Curves.prices("GB-RPIX"), DoubleArray.of(4, 16), DoubleArray.of(rateStart, rateEnd), INTERPOLATOR); return ImmutableRatesProvider.builder(VAL_DATE) .priceIndexCurve(GB_RPIX, curve) .timeSeries(GB_RPIX, timeSeries) .build(); }
private ImmutableRatesProvider createProvider(double rateEnd) { LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(VAL_DATE.with(lastDayOfMonth()), 300); InterpolatedNodalCurve curve = InterpolatedNodalCurve.of( Curves.prices("GB-RPIX"), DoubleArray.of(4, 16), DoubleArray.of(RATE_START, rateEnd), INTERPOLATOR); return ImmutableRatesProvider.builder(VAL_DATE) .priceIndexCurve(GB_RPIX, curve) .timeSeries(GB_RPIX, timeSeries) .build(); }