//-------------------------------------------------------------------------
public virtual void test_rate()
{
ImmutableRatesProvider prov = createProvider(RATE_START, RATE_END);
InflationMonthlyRateComputation ro = InflationMonthlyRateComputation.of(GB_RPIX, REFERENCE_START_MONTH, REFERENCE_END_MONTH);
ForwardInflationMonthlyRateComputationFn obsFn = ForwardInflationMonthlyRateComputationFn.DEFAULT;
double rateExpected = RATE_END / RATE_START - 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(), 2);
ExplainMap explain0 = built.get(ExplainKey.OBSERVATIONS).get().get(0);
assertEquals(explain0.get(ExplainKey.FIXING_DATE), REFERENCE_START_MONTH.atEndOfMonth());
assertEquals(explain0.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain0.get(ExplainKey.INDEX_VALUE), RATE_START);
ExplainMap explain1 = built.get(ExplainKey.OBSERVATIONS).get().get(1);
assertEquals(explain1.get(ExplainKey.FIXING_DATE), REFERENCE_END_MONTH.atEndOfMonth());
assertEquals(explain1.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain1.get(ExplainKey.INDEX_VALUE), RATE_END);
assertEquals(built.get(ExplainKey.COMBINED_RATE).Value.doubleValue(), rateExpected, EPS);
}
//-------------------------------------------------------------------------
public virtual void test_rate()
{
ImmutableRatesProvider prov = createProvider(RATE_END, RATE_END_INTERP);
InflationEndInterpolatedRateComputation ro = InflationEndInterpolatedRateComputation.of(GB_RPIX, START_INDEX_VALUE, REF_END_MONTH, WEIGHT);
ForwardInflationEndInterpolatedRateComputationFn obsFn = ForwardInflationEndInterpolatedRateComputationFn.DEFAULT;
// rate
double rateExpected = (WEIGHT * RATE_END + (1.0 - WEIGHT) * RATE_END_INTERP) / START_INDEX_VALUE - 1;
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(), 2);
ExplainMap explain0 = built.get(ExplainKey.OBSERVATIONS).get().get(0);
assertEquals(explain0.get(ExplainKey.FIXING_DATE), REF_END_MONTH.atEndOfMonth());
assertEquals(explain0.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain0.get(ExplainKey.INDEX_VALUE), RATE_END);
assertEquals(explain0.get(ExplainKey.WEIGHT), WEIGHT);
ExplainMap explain1 = built.get(ExplainKey.OBSERVATIONS).get().get(1);
assertEquals(explain1.get(ExplainKey.FIXING_DATE), REF_END_MONTH_INTERP.atEndOfMonth());
assertEquals(explain1.get(ExplainKey.INDEX), GB_RPIX);
assertEquals(explain1.get(ExplainKey.INDEX_VALUE), RATE_END_INTERP);
assertEquals(explain1.get(ExplainKey.WEIGHT), (1d - WEIGHT));
assertEquals(built.get(ExplainKey.COMBINED_RATE).Value.doubleValue(), rateExpected, EPS);
}
//-------------------------------------------------------------------------
public virtual void test_value()
{
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
double valueComputed = INSTANCE.value(TEST_OBS[i]);
YearMonth fixingMonth = TEST_OBS[i].FixingMonth;
double valueExpected;
if (USCPI_TS.containsDate(fixingMonth.atEndOfMonth()))
{
valueExpected = USCPI_TS.get(fixingMonth.atEndOfMonth()).Value;
}
else
{
double x = YearMonth.from(VAL_DATE).until(fixingMonth, MONTHS);
valueExpected = CURVE_INFL.yValue(x);
}
assertEquals(valueComputed, valueExpected, TOLERANCE_VALUE, "test " + i);
}
}
private UnitParameterSensitivities unitParameterSensitivity(YearMonth month)
{
// If fixing in the past, check time series and returns the historic month price index if present
if (month.isBefore(YearMonth.from(valuationDate)))
{
if (fixings.get(month.atEndOfMonth()).HasValue)
{
return(UnitParameterSensitivities.empty());
}
}
double nbMonth = numberOfMonths(month);
return(UnitParameterSensitivities.of(curve.yValueParameterSensitivity(nbMonth)));
}
//-------------------------------------------------------------------------
public PointSensitivityBuilder valuePointSensitivity(PriceIndexObservation observation)
{
YearMonth fixingMonth = observation.FixingMonth;
// If fixing in the past, check time series and returns the historic month price index if present
if (fixingMonth.isBefore(YearMonth.from(valuationDate)))
{
if (fixings.get(fixingMonth.atEndOfMonth()).HasValue)
{
return(PointSensitivityBuilder.none());
}
}
return(InflationRateSensitivity.of(observation, 1d));
}
//-------------------------------------------------------------------------
// loads a single fixing series CSV file
private static ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> parseSingle(CharSource resource)
{
IDictionary <ObservableId, LocalDateDoubleTimeSeriesBuilder> builders = new Dictionary <ObservableId, LocalDateDoubleTimeSeriesBuilder>();
try
{
CsvFile csv = CsvFile.of(resource, true);
foreach (CsvRow row in csv.rows())
{
string referenceStr = row.getField(REFERENCE_FIELD);
string dateStr = row.getField(DATE_FIELD);
string valueStr = row.getField(VALUE_FIELD);
Index index = LoaderUtils.findIndex(referenceStr);
ObservableId id = IndexQuoteId.of(index);
double value = double.Parse(valueStr);
LocalDate date;
if (index is PriceIndex)
{
try
{
YearMonth ym = LoaderUtils.parseYearMonth(dateStr);
date = ym.atEndOfMonth();
}
catch (Exception)
{
date = LoaderUtils.parseDate(dateStr);
if (date.DayOfMonth != date.lengthOfMonth())
{
throw new System.ArgumentException(Messages.format("Fixing Series CSV loader for price index must have date at end of month: {}", resource));
}
}
}
else
{
date = LoaderUtils.parseDate(dateStr);
}
LocalDateDoubleTimeSeriesBuilder builder = builders.computeIfAbsent(id, k => LocalDateDoubleTimeSeries.builder());
builder.put(date, value);
}
}
catch (Exception ex)
{
throw new System.ArgumentException(Messages.format("Error processing resource as CSV file: {}", resource), ex);
}
return(MapStream.of(builders).mapValues(builder => builder.build()).toMap());
}
public virtual void test_value_parameter_sensitivity()
{
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
YearMonth fixingMonth = TEST_OBS[i].FixingMonth;
if (!USCPI_TS.containsDate(fixingMonth.atEndOfMonth()))
{
InflationRateSensitivity ptsExpected = (InflationRateSensitivity)InflationRateSensitivity.of(TEST_OBS[i], 1d);
CurrencyParameterSensitivities psComputed = INSTANCE.parameterSensitivity(ptsExpected);
double x = YearMonth.from(VAL_DATE).until(fixingMonth, MONTHS);
UnitParameterSensitivities sens1 = UnitParameterSensitivities.of(CURVE_INFL.yValueParameterSensitivity(x));
CurrencyParameterSensitivities psExpected = sens1.multipliedBy(ptsExpected.Currency, ptsExpected.Sensitivity);
assertTrue(psComputed.equalWithTolerance(psExpected, TOLERANCE_DELTA), "test " + i);
}
}
}
public virtual void test_value_pts_sensitivity()
{
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
PointSensitivityBuilder ptsComputed = INSTANCE.valuePointSensitivity(TEST_OBS[i]);
YearMonth fixingMonth = TEST_OBS[i].FixingMonth;
PointSensitivityBuilder ptsExpected;
if (USCPI_TS.containsDate(fixingMonth.atEndOfMonth()))
{
ptsExpected = PointSensitivityBuilder.none();
}
else
{
ptsExpected = InflationRateSensitivity.of(TEST_OBS[i], 1d);
}
assertTrue(ptsComputed.build().equalWithTolerance(ptsExpected.build(), TOLERANCE_VALUE), "test " + i);
}
}
//-------------------------------------------------------------------------
public double value(PriceIndexObservation observation)
{
YearMonth fixingMonth = observation.FixingMonth;
// If fixing in the past, check time series and returns the historic month price index if present
if (fixingMonth.isBefore(YearMonth.from(valuationDate)))
{
double?fixing = fixings.get(fixingMonth.atEndOfMonth());
if (fixing.HasValue)
{
return(fixing.Value);
}
}
// otherwise, return the estimate from the curve.
double nbMonth = numberOfMonths(fixingMonth);
return(curve.yValue(nbMonth));
}