@Override public DatedParameterMetadata metadata(LocalDate valuationDate, ReferenceData refData) { LocalDate nodeDate = date(valuationDate, refData); if (date.isFixed()) { return LabelDateParameterMetadata.of(nodeDate, label); } return TenorDateParameterMetadata.of(nodeDate, template.getTenor(), label); }
public void test_curve() { InflationNodalCurveDefinition test = new InflationNodalCurveDefinition( UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF); DefaultCurveMetadata metadata = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.PRICE_INDEX) .dayCount(ACT_365F) .parameterMetadata(NODES.get(0).metadata(VAL_DATE, REF_DATA), NODES.get(1).metadata(VAL_DATE, REF_DATA)) .build(); LocalDate date0 = NODES.get(0).date(VAL_DATE, REF_DATA); LocalDate date1 = NODES.get(1).date(VAL_DATE, REF_DATA); DoubleArray param = DoubleArray.of(250.0d, 260.0d); InterpolatedNodalCurve expectedUnderlying = InterpolatedNodalCurve.builder() .metadata(metadata) .xValues(DoubleArray.of(ACT_365F.yearFraction(VAL_DATE, date0), ACT_365F.yearFraction(VAL_DATE, date1))) .yValues(param) .interpolator(CurveInterpolators.LOG_LINEAR) .extrapolatorLeft(CurveExtrapolators.FLAT) .extrapolatorRight(CurveExtrapolators.FLAT) .build(); InflationNodalCurve expected = InflationNodalCurve .of(expectedUnderlying, VAL_DATE, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF); assertEquals(test.curve(VAL_DATE, metadata, param), expected); }