public virtual void test_of()
{
SeasonalityDefinition test = SeasonalityDefinition.of(SEASONALITY_ADDITIVE, ADDITIVE);
assertEquals(test.SeasonalityMonthOnMonth, SEASONALITY_ADDITIVE);
assertEquals(test.AdjustmentType, ADDITIVE);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -249814055: // curveWithoutFixingDefinition
this.curveWithoutFixingDefinition = (NodalCurveDefinition)newValue;
break;
case -1842439587: // lastFixingMonth
this.lastFixingMonth = (YearMonth)newValue;
break;
case -1834546866: // lastFixingValue
this.lastFixingValue = (double?)newValue.Value;
break;
case 1835044115: // seasonalityDefinition
this.seasonalityDefinition = (SeasonalityDefinition)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
coverImmutableBean(test);
InterpolatedNodalCurveDefinition underlyingDef2 = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("foo")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).nodes(NODES).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
SeasonalityDefinition seasonalityDef2 = SeasonalityDefinition.of(SEASONALITY_ADDITIVE, ShiftType.SCALED);
InflationNodalCurveDefinition test2 = new InflationNodalCurveDefinition(underlyingDef2, LAST_FIX_MONTH.plus(Period.ofMonths(1)), LAST_FIX_VALUE + 1.0d, seasonalityDef2);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
SeasonalityDefinition test = SeasonalityDefinition.of(SEASONALITY_ADDITIVE, ADDITIVE);
coverImmutableBean(test);
DoubleArray seasonalityMultiplicative = DoubleArray.of(1.0, 1.0, 1.1d, 1.0, 1.0, 1.0, 1.0d / 1.1d, 1.0, 1.0, 1.0, 1.0, 1.0);
SeasonalityDefinition test2 = SeasonalityDefinition.of(seasonalityMultiplicative, ShiftType.SCALED);
coverBeanEquals(test, test2);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
SeasonalityDefinition other = (SeasonalityDefinition)obj;
return(JodaBeanUtils.equal(seasonalityMonthOnMonth, other.seasonalityMonthOnMonth) && JodaBeanUtils.equal(adjustmentType, other.adjustmentType));
}
return(false);
}
//-------------------------------------------------------------------------
// restricted constructor
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor InflationNodalCurveDefinition(NodalCurveDefinition curveWithoutFixing, java.time.YearMonth lastFixingMonth, double lastFixingValue, SeasonalityDefinition seasonalityDefinition)
internal InflationNodalCurveDefinition(NodalCurveDefinition curveWithoutFixing, YearMonth lastFixingMonth, double lastFixingValue, SeasonalityDefinition seasonalityDefinition)
{
this.curveWithoutFixingDefinition = curveWithoutFixing;
this.lastFixingMonth = lastFixingMonth;
this.lastFixingValue = lastFixingValue;
if (seasonalityDefinition == null)
{
this.seasonalityDefinition = NO_SEASONALITY_DEFINITION;
}
else
{
this.seasonalityDefinition = seasonalityDefinition;
}
}
/// <summary>
/// Obtains an instance from a curve without initial fixing point and month-on-month seasonal adjustment.
/// <para>
/// The total adjustment is computed by accumulation of the monthly adjustment, starting with no adjustment for the
/// last fixing month.
///
/// </para>
/// </summary>
/// <param name="curveWithoutFixing"> the curve without the fixing </param>
/// <param name="valuationDate"> the valuation date of the curve </param>
/// <param name="lastMonth"> the last month for which the fixing is known </param>
/// <param name="lastFixingValue"> the value of the last fixing </param>
/// <param name="seasonalityDefinition"> the seasonality definition, which is made of month-on-month adjustment
/// and the adjustment type </param>
/// <returns> the seasonal curve instance </returns>
public static InflationNodalCurve of(NodalCurve curveWithoutFixing, LocalDate valuationDate, YearMonth lastMonth, double lastFixingValue, SeasonalityDefinition seasonalityDefinition)
{
YearMonth valuationMonth = YearMonth.from(valuationDate);
ArgChecker.isTrue(lastMonth.isBefore(valuationMonth), "Last fixing month must be before valuation date");
double nbMonth = valuationMonth.until(lastMonth, MONTHS);
DoubleArray x = curveWithoutFixing.XValues;
ArgChecker.isTrue(nbMonth < x.get(0), "The first estimation month should be after the last known index fixing");
NodalCurve extendedCurve = curveWithoutFixing.withNode(nbMonth, lastFixingValue, ParameterMetadata.empty());
double[] seasonalityCompoundedArray = new double[12];
int lastMonthIndex = lastMonth.Month.Value - 1;
seasonalityCompoundedArray[(int)((nbMonth + 12 + 1) % 12)] = seasonalityDefinition.SeasonalityMonthOnMonth.get(lastMonthIndex % 12);
for (int i = 1; i < 12; i++)
{
int j = (int)((nbMonth + 12 + 1 + i) % 12);
seasonalityCompoundedArray[j] = seasonalityDefinition.AdjustmentType.applyShift(seasonalityCompoundedArray[(j - 1 + 12) % 12], seasonalityDefinition.SeasonalityMonthOnMonth.get((lastMonthIndex + i) % 12));
}
return(new InflationNodalCurve(extendedCurve, DoubleArray.ofUnsafe(seasonalityCompoundedArray), seasonalityDefinition.AdjustmentType));
}
public virtual void test_serialization()
{
SeasonalityDefinition test = SeasonalityDefinition.of(SEASONALITY_ADDITIVE, ADDITIVE);
assertSerialization(test);
}
/// <summary>
/// Adds a seasonality to the curve group definition.
/// </summary>
/// <param name="curveName"> the name of the curve </param>
/// <param name="seasonalityDefinition"> the seasonality associated to the curve </param>
/// <returns> this builder </returns>
public RatesCurveGroupDefinitionBuilder addSeasonality(CurveName curveName, SeasonalityDefinition seasonalityDefinition)
{
seasonalityDefinitions[curveName] = seasonalityDefinition;
return(this);
}
