//-------------------------------------------------------------------------
public virtual void test_rateSensitivity()
{
ImmutableRatesProvider prov = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provSrtUp = createProvider(RATE_START + EPS_FD, RATE_START_INTERP, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provSrtDw = createProvider(RATE_START - EPS_FD, RATE_START_INTERP, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provSrtIntUp = createProvider(RATE_START, RATE_START_INTERP + EPS_FD, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provSrtIntDw = createProvider(RATE_START, RATE_START_INTERP - EPS_FD, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provEndUp = createProvider(RATE_START, RATE_START_INTERP, RATE_END + EPS_FD, RATE_END_INTERP);
ImmutableRatesProvider provEndDw = createProvider(RATE_START, RATE_START_INTERP, RATE_END - EPS_FD, RATE_END_INTERP);
ImmutableRatesProvider provEndIntUp = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP + EPS_FD);
ImmutableRatesProvider provEndIntDw = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP - EPS_FD);
InflationInterpolatedRateComputation ro = InflationInterpolatedRateComputation.of(GB_RPIX, REF_START_MONTH, REF_END_MONTH, WEIGHT);
ForwardInflationInterpolatedRateComputationFn obsFn = ForwardInflationInterpolatedRateComputationFn.DEFAULT;
double rateSrtUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtUp);
double rateSrtDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtDw);
double rateSrtIntUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtIntUp);
double rateSrtIntDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtIntDw);
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 sensSrt = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_START_MONTH), 0.5 * (rateSrtUp - rateSrtDw) / EPS_FD);
PointSensitivityBuilder sensSrtInt = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_START_MONTH_INTERP), 0.5 * (rateSrtIntUp - rateSrtIntDw) / EPS_FD);
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 = sensSrt.combinedWith(sensSrtInt).combinedWith(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));
}
//-------------------------------------------------------------------------
public virtual void test_rate()
{
ImmutableRatesProvider prov = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP);
InflationInterpolatedRateComputation ro = InflationInterpolatedRateComputation.of(GB_RPIX, REF_START_MONTH, REF_END_MONTH, WEIGHT);
ForwardInflationInterpolatedRateComputationFn obsFn = ForwardInflationInterpolatedRateComputationFn.DEFAULT;
double rateExpected = (WEIGHT * RATE_END + (1.0 - WEIGHT) * RATE_END_INTERP) / (WEIGHT * RATE_START + (1.0 - WEIGHT) * RATE_START_INTERP) - 1.0;
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(), 4);
ExplainMap explain0 = built.get(ExplainKey.OBSERVATIONS).get().get(0);
assertEquals(explain0.get(ExplainKey.FIXING_DATE), REF_START_MONTH.atEndOfMonth());
assertEquals(explain0.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain0.get(ExplainKey.INDEX_VALUE), RATE_START);
assertEquals(explain0.get(ExplainKey.WEIGHT), WEIGHT);
ExplainMap explain1 = built.get(ExplainKey.OBSERVATIONS).get().get(1);
assertEquals(explain1.get(ExplainKey.FIXING_DATE), REF_START_MONTH_INTERP.atEndOfMonth());
assertEquals(explain1.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain1.get(ExplainKey.INDEX_VALUE), RATE_START_INTERP);
assertEquals(explain1.get(ExplainKey.WEIGHT), (1d - WEIGHT));
ExplainMap explain2 = built.get(ExplainKey.OBSERVATIONS).get().get(2);
assertEquals(explain2.get(ExplainKey.FIXING_DATE), REF_END_MONTH.atEndOfMonth());
assertEquals(explain2.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain2.get(ExplainKey.INDEX_VALUE), RATE_END);
assertEquals(explain2.get(ExplainKey.WEIGHT), WEIGHT);
ExplainMap explain3 = built.get(ExplainKey.OBSERVATIONS).get().get(3);
assertEquals(explain3.get(ExplainKey.FIXING_DATE), REF_END_MONTH_INTERP.atEndOfMonth());
assertEquals(explain3.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain3.get(ExplainKey.INDEX_VALUE), RATE_END_INTERP);
assertEquals(explain3.get(ExplainKey.WEIGHT), (1d - WEIGHT));
assertEquals(built.get(ExplainKey.COMBINED_RATE).Value.doubleValue(), rateExpected, EPS);
}