public virtual void test_initialGuess()
{
FixedIborSwapCurveNode node = FixedIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate);
double df = Math.Exp(-TENOR_10Y.get(ChronoUnit.YEARS) * rate);
assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), df, TOLERANCE_DF);
assertEquals(node.initialGuess(marketData, ValueType.PRICE_INDEX), 0d);
}
public virtual void test_initialGuess()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
double rate = 0.035;
double lastPriceIndex = 123.4;
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.builder().put(LocalDate.of(2024, 10, 31), lastPriceIndex).build();
MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).addTimeSeries(IndexQuoteId.of(PriceIndices.EU_EXT_CPI), ts).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
double priceIndexGuess = lastPriceIndex * Math.Pow(1.0d + rate, TENOR_10Y.get(ChronoUnit.YEARS));
assertEquals(node.initialGuess(marketData, ValueType.PRICE_INDEX), priceIndexGuess, TOLERANCE_GUESS);
}
