//-------------------------------------------------------------------------
public virtual void test_rate()
{
ImmutableRatesProvider prov = createProvider(RATE_END, RATE_END_INTERP);
InflationEndInterpolatedRateComputation ro = InflationEndInterpolatedRateComputation.of(GB_RPIX, START_INDEX_VALUE, REF_END_MONTH, WEIGHT);
ForwardInflationEndInterpolatedRateComputationFn obsFn = ForwardInflationEndInterpolatedRateComputationFn.DEFAULT;
// rate
double rateExpected = (WEIGHT * RATE_END + (1.0 - WEIGHT) * RATE_END_INTERP) / START_INDEX_VALUE - 1;
assertEquals(obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov), rateExpected, EPS);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov, builder), rateExpected, EPS);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 2);
ExplainMap explain0 = built.get(ExplainKey.OBSERVATIONS).get().get(0);
assertEquals(explain0.get(ExplainKey.FIXING_DATE), REF_END_MONTH.atEndOfMonth());
assertEquals(explain0.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain0.get(ExplainKey.INDEX_VALUE), RATE_END);
assertEquals(explain0.get(ExplainKey.WEIGHT), WEIGHT);
ExplainMap explain1 = built.get(ExplainKey.OBSERVATIONS).get().get(1);
assertEquals(explain1.get(ExplainKey.FIXING_DATE), REF_END_MONTH_INTERP.atEndOfMonth());
assertEquals(explain1.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain1.get(ExplainKey.INDEX_VALUE), RATE_END_INTERP);
assertEquals(explain1.get(ExplainKey.WEIGHT), (1d - WEIGHT));
assertEquals(built.get(ExplainKey.COMBINED_RATE).Value.doubleValue(), rateExpected, EPS);
}
public virtual void test_createRateComputation_Interpolated()
{
InflationRateCalculation test = InflationRateCalculation.builder().index(CH_CPI).lag(Period.ofMonths(3)).indexCalculationMethod(INTERPOLATED).firstIndexValue(START_INDEX).build();
double weight1 = 1.0 - 4.0 / 28.0;
double weight2 = 1.0 - 6.0 / 31.0;
double weight3 = 1.0 - 4.0 / 30.0;
InflationEndInterpolatedRateComputation obs1 = InflationEndInterpolatedRateComputation.of(CH_CPI, START_INDEX, YearMonth.from(DATE_2015_02_05).minusMonths(3), weight1);
InflationEndInterpolatedRateComputation obs2 = InflationEndInterpolatedRateComputation.of(CH_CPI, START_INDEX, YearMonth.from(DATE_2015_03_07).minusMonths(3), weight2);
InflationEndInterpolatedRateComputation obs3 = InflationEndInterpolatedRateComputation.of(CH_CPI, START_INDEX, YearMonth.from(DATE_2015_04_05).minusMonths(3), weight3);
assertEquals(test.createRateComputation(DATE_2015_02_05), obs1);
assertEquals(test.createRateComputation(DATE_2015_03_07), obs2);
assertEquals(test.createRateComputation(DATE_2015_04_05), obs3);
}
public virtual void test_createRateComputation_InterpolatedJapan()
{
LocalDate date1 = LocalDate.of(2013, 3, 9);
LocalDate date2 = LocalDate.of(2013, 3, 10);
LocalDate date3 = LocalDate.of(2013, 3, 11);
InflationRateCalculation test = InflationRateCalculation.builder().index(JP_CPI_EXF).lag(Period.ofMonths(3)).indexCalculationMethod(INTERPOLATED_JAPAN).firstIndexValue(START_INDEX).build();
double weight1 = 1.0 - (9.0 + 28.0 - 10.0) / 28.0;
double weight2 = 1.0;
double weight3 = 1.0 - 1.0 / 31.0;
InflationEndInterpolatedRateComputation obs1 = InflationEndInterpolatedRateComputation.of(JP_CPI_EXF, START_INDEX, YearMonth.from(date1).minusMonths(4), weight1);
InflationEndInterpolatedRateComputation obs2 = InflationEndInterpolatedRateComputation.of(JP_CPI_EXF, START_INDEX, YearMonth.from(date2).minusMonths(3), weight2);
InflationEndInterpolatedRateComputation obs3 = InflationEndInterpolatedRateComputation.of(JP_CPI_EXF, START_INDEX, YearMonth.from(date3).minusMonths(3), weight3);
assertEquals(test.createRateComputation(date1), obs1);
assertEquals(test.createRateComputation(date2), obs2);
assertEquals(test.createRateComputation(date3), obs3);
}
//-------------------------------------------------------------------------
public virtual void test_rateSensitivity()
{
ImmutableRatesProvider prov = createProvider(RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provEndUp = createProvider(RATE_END + EPS_FD, RATE_END_INTERP);
ImmutableRatesProvider provEndDw = createProvider(RATE_END - EPS_FD, RATE_END_INTERP);
ImmutableRatesProvider provEndIntUp = createProvider(RATE_END, RATE_END_INTERP + EPS_FD);
ImmutableRatesProvider provEndIntDw = createProvider(RATE_END, RATE_END_INTERP - EPS_FD);
InflationEndInterpolatedRateComputation ro = InflationEndInterpolatedRateComputation.of(GB_RPIX, START_INDEX_VALUE, REF_END_MONTH, WEIGHT);
ForwardInflationEndInterpolatedRateComputationFn obsFn = ForwardInflationEndInterpolatedRateComputationFn.DEFAULT;
double rateEndUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndUp);
double rateEndDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndDw);
double rateEndIntUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndIntUp);
double rateEndIntDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndIntDw);
PointSensitivityBuilder sensEnd = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_END_MONTH), 0.5 * (rateEndUp - rateEndDw) / EPS_FD);
PointSensitivityBuilder sensEndInt = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_END_MONTH_INTERP), 0.5 * (rateEndIntUp - rateEndIntDw) / EPS_FD);
PointSensitivityBuilder sensiExpected = sensEnd.combinedWith(sensEndInt);
PointSensitivityBuilder sensiComputed = obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
assertTrue(sensiComputed.build().normalized().equalWithTolerance(sensiExpected.build().normalized(), EPS_FD));
}
