//-------------------------------------------------------------------------
public virtual void noLeftTest()
{
BoundCurveInterpolator bci = PRODUCT_LINEAR.bind(X_VALUES, Y_VALUES, DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE, DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE);
assertThrowsIllegalArg(() => bci.interpolate(0.2d));
assertThrowsIllegalArg(() => bci.firstDerivative(0.3d));
assertThrowsIllegalArg(() => bci.parameterSensitivity(0.6d));
}
public virtual void derivativeTest()
{
BoundCurveInterpolator bci = PRODUCT_LINEAR.bind(X_VALUES, Y_VALUES, LINEAR, DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE);
for (int i = 0; i < NUM_KEYS; ++i)
{
double key = X_KEYS.get(i);
double computed = bci.firstDerivative(key);
double expected = 0.5d * (bci.interpolate(key + EPS) - bci.interpolate(key - EPS)) / EPS;
assertEquals(computed, expected, EPS);
}
}
public virtual void interpolateTest()
{
BoundCurveInterpolator bci = PRODUCT_LINEAR.bind(X_VALUES, Y_VALUES, LINEAR, DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE);
double grad = -Y_VALUES.get(NUM_DATA - 1) * DSC_VALUES.get(NUM_DATA - 1) - X_VALUES.get(NUM_DATA - 1) * DSC_VALUES.get(NUM_DATA - 1) * bci.firstDerivative(X_VALUES.get(NUM_DATA - 1));
for (int i = 0; i < NUM_KEYS; ++i)
{
double key = X_KEYS.get(i);
double df = grad * (key - X_VALUES.get(NUM_DATA - 1)) + DSC_VALUES.get(NUM_DATA - 1);
assertEquals(bci.interpolate(key), -Math.Log(df) / key, TOL);
}
}
public virtual void parameterSensitivityTest()
{
BoundCurveInterpolator bci = PRODUCT_LINEAR.bind(X_VALUES, Y_VALUES, LINEAR, DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE);
for (int i = 0; i < NUM_KEYS; ++i)
{
double key = X_KEYS.get(i);
DoubleArray computed = bci.parameterSensitivity(key);
for (int j = 0; j < NUM_DATA; ++j)
{
double[] yValuesUp = Y_VALUES.toArray();
double[] yValuesDw = Y_VALUES.toArray();
yValuesUp[j] += EPS;
yValuesDw[j] -= EPS;
BoundCurveInterpolator bciUp = PRODUCT_LINEAR.bind(X_VALUES, DoubleArray.copyOf(yValuesUp), LINEAR, DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE);
BoundCurveInterpolator bciDw = PRODUCT_LINEAR.bind(X_VALUES, DoubleArray.copyOf(yValuesDw), LINEAR, DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE);
double expected = 0.5 * (bciUp.interpolate(key) - bciDw.interpolate(key)) / EPS;
assertEquals(computed.get(j), expected, EPS * 10d);
}
}
}