//-------------------------------------------------------------------------
public virtual void test_metadata()
{
ParameterizedFunctionalCurveDefinition test = ParameterizedFunctionalCurveDefinition.builder().dayCount(ACT_365F).valueFunction(VALUE_FUNCTION).derivativeFunction(DERIVATIVE_FUNCTION).sensitivityFunction(SENSITIVITY_FUNCTION).initialGuess(INITIAL_PARAMS).name(CURVE_NAME).nodes(NODES).parameterMetadata(PARAM_METADATA).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build();
DefaultCurveMetadata expected = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).parameterMetadata(PARAM_METADATA).build();
assertEquals(test.metadata(VAL_DATE, REF_DATA), expected);
}
public virtual void test_filtered_exception_atEnd()
{
DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(5), GBP_LIBOR_1M, TICKER);
DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(10), GBP_LIBOR_1M, TICKER);
DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER, EXCEPTION_2D);
ImmutableList <DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
ParameterizedFunctionalCurveDefinition test = ParameterizedFunctionalCurveDefinition.builder().dayCount(ACT_365F).valueFunction(VALUE_FUNCTION).derivativeFunction(DERIVATIVE_FUNCTION).sensitivityFunction(SENSITIVITY_FUNCTION).initialGuess(INITIAL_PARAMS).name(CURVE_NAME).nodes(nodes).parameterMetadata(PARAM_METADATA).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build();
assertThrowsIllegalArg(() => test.filtered(VAL_DATE, REF_DATA), "Curve node dates clash.*");
}
public virtual void test_filtered_dropOther_middle()
{
DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(3), GBP_LIBOR_1M, TICKER);
DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(4), GBP_LIBOR_1M, TICKER, DROP_OTHER_2D);
DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER);
ImmutableList <DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
ParameterizedFunctionalCurveDefinition test = ParameterizedFunctionalCurveDefinition.builder().dayCount(ACT_365F).valueFunction(VALUE_FUNCTION).derivativeFunction(DERIVATIVE_FUNCTION).sensitivityFunction(SENSITIVITY_FUNCTION).initialGuess(INITIAL_PARAMS).name(CURVE_NAME).nodes(nodes).parameterMetadata(PARAM_METADATA).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build();
assertEquals(test.filtered(VAL_DATE, REF_DATA).Nodes, ImmutableList.of(node2, node3));
}
public virtual void test_builder()
{
ParameterizedFunctionalCurveDefinition test = ParameterizedFunctionalCurveDefinition.builder().dayCount(ACT_365F).valueFunction(VALUE_FUNCTION).derivativeFunction(DERIVATIVE_FUNCTION).sensitivityFunction(SENSITIVITY_FUNCTION).initialGuess(INITIAL_PARAMS).name(CURVE_NAME).nodes(NODES).parameterMetadata(PARAM_METADATA).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build();
assertEquals(test.Name, CURVE_NAME);
assertEquals(test.XValueType, ValueType.YEAR_FRACTION);
assertEquals(test.YValueType, ValueType.ZERO_RATE);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.Nodes, NODES);
assertEquals(test.ValueFunction, VALUE_FUNCTION);
assertEquals(test.DerivativeFunction, DERIVATIVE_FUNCTION);
assertEquals(test.SensitivityFunction, SENSITIVITY_FUNCTION);
assertEquals(test.InitialGuess, INITIAL_PARAMS);
assertEquals(test.ParameterCount, 3);
assertEquals(test.ParameterMetadata, PARAM_METADATA);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ParameterizedFunctionalCurveDefinition test = ParameterizedFunctionalCurveDefinition.builder().dayCount(ACT_365F).valueFunction(VALUE_FUNCTION).derivativeFunction(DERIVATIVE_FUNCTION).sensitivityFunction(SENSITIVITY_FUNCTION).initialGuess(INITIAL_PARAMS).name(CURVE_NAME).nodes(NODES).parameterMetadata(PARAM_METADATA).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build();
coverImmutableBean(test);
ImmutableList <double> initial = ImmutableList.of(12d);
System.Func <DoubleArray, double, double> value = (DoubleArray t, double?u) =>
{
return(t.get(0) * u);
};
System.Func <DoubleArray, double, double> deriv = (DoubleArray t, double?u) =>
{
return(t.get(0));
};
System.Func <DoubleArray, double, DoubleArray> sensi = (DoubleArray t, double?u) =>
{
return(DoubleArray.of(u));
};
ParameterizedFunctionalCurveDefinition test2 = ParameterizedFunctionalCurveDefinition.builder().dayCount(DayCounts.ACT_365L).valueFunction(value).derivativeFunction(deriv).sensitivityFunction(sensi).initialGuess(initial).name(CURVE_NAME).nodes(NODES2).xValueType(ValueType.MONTHS).yValueType(ValueType.DISCOUNT_FACTOR).build();
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_toCurveParameterSize()
{
ParameterizedFunctionalCurveDefinition test = ParameterizedFunctionalCurveDefinition.builder().dayCount(ACT_365F).valueFunction(VALUE_FUNCTION).derivativeFunction(DERIVATIVE_FUNCTION).sensitivityFunction(SENSITIVITY_FUNCTION).initialGuess(INITIAL_PARAMS).name(CURVE_NAME).nodes(NODES).parameterMetadata(PARAM_METADATA).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build();
assertEquals(test.toCurveParameterSize(), CurveParameterSize.of(CURVE_NAME, INITIAL_PARAMS.Count));
}
