public virtual void test_relative()
{
CurveParallelShifts test = CurveParallelShifts.relative(0.1d, 0.2d, 0.4d);
Curve baseCurve = InterpolatedNodalCurve.of(Curves.zeroRates("curve", DayCounts.ACT_365F), DoubleArray.of(1, 2, 3), DoubleArray.of(5, 6, 7), CurveInterpolators.LOG_LINEAR);
MarketDataBox <Curve> shiftedCurveBox = test.applyTo(MarketDataBox.ofSingleValue(baseCurve), REF_DATA);
assertEquals(shiftedCurveBox.getValue(0), ParallelShiftedCurve.relative(baseCurve, 0.1d));
assertEquals(shiftedCurveBox.getValue(1), ParallelShiftedCurve.relative(baseCurve, 0.2d));
assertEquals(shiftedCurveBox.getValue(2), ParallelShiftedCurve.relative(baseCurve, 0.4d));
}
public virtual void absoluteScenarios()
{
CurveName curveName = CurveName.of("curveName");
CurveGroupName curveGroupName = CurveGroupName.of("curveGroupName");
Curve curve = ConstantCurve.of(curveName, 2);
PerturbationMapping <Curve> mapping = PerturbationMapping.of(MarketDataFilter.ofName(curveName), CurveParallelShifts.absolute(0.1, 0.2, 0.3));
CurveId curveId = CurveId.of(curveGroupName, curveName);
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(TestHelper.date(2011, 3, 8)).addValue(curveId, curve).build();
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping);
MarketDataFactory marketDataFactory = MarketDataFactory.of(mock(typeof(ObservableDataProvider)), mock(typeof(TimeSeriesProvider)));
MarketDataRequirements requirements = MarketDataRequirements.builder().addValues(curveId).build();
ScenarioMarketData scenarioData = marketDataFactory.createMultiScenario(requirements, MarketDataConfig.empty(), marketData, REF_DATA, scenarioDefinition);
MarketDataBox <Curve> curves = scenarioData.getValue(curveId);
assertThat(curves.ScenarioCount).isEqualTo(3);
checkCurveValues(curves.getValue(0), 2.1);
checkCurveValues(curves.getValue(1), 2.2);
checkCurveValues(curves.getValue(2), 2.3);
}
public virtual void test_pointShifts()
{
SabrParametersSwaptionVolatilities @base = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
PointShiftsBuilder builder = PointShifts.builder(ShiftType.ABSOLUTE);
for (int i = 0; i < @base.ParameterCount; ++i)
{
builder.addShift(0, @base.getParameterMetadata(i).Identifier, 0.1d * (i + 1d));
builder.addShift(1, @base.getParameterMetadata(i).Identifier, 10d * (i + 1d));
}
PointShifts shifts = builder.build();
MarketDataBox <ParameterizedData> resBox = shifts.applyTo(MarketDataBox.ofSingleValue(@base), REF_DATA);
SabrParametersSwaptionVolatilities computed0 = (SabrParametersSwaptionVolatilities)resBox.getValue(0);
SabrParametersSwaptionVolatilities computed1 = (SabrParametersSwaptionVolatilities)resBox.getValue(1);
for (int i = 0; i < @base.ParameterCount; ++i)
{
assertEquals(computed0.getParameter(i), @base.getParameter(i) + 0.1d * (i + 1d));
assertEquals(computed1.getParameter(i), @base.getParameter(i) + 10d * (i + 1d));
}
}
public virtual void test_toZonedDateTime_scenario_long()
{
ValuationZoneTimeDefinition test = ValuationZoneTimeDefinition.of(LOCAL_TIME_1, ZONE_ID, LOCAL_TIME_1, LOCAL_TIME_2);
MarketDataBox <LocalDate> dates = MarketDataBox.ofScenarioValues(LocalDate.of(2016, 10, 21), LocalDate.of(2016, 10, 22), LocalDate.of(2016, 10, 23));
MarketDataBox <ZonedDateTime> computed = test.toZonedDateTime(dates);
MarketDataBox <ZonedDateTime> expected = MarketDataBox.ofScenarioValue(ScenarioArray.of(dates.getValue(0).atTime(LOCAL_TIME_1).atZone(ZONE_ID), dates.getValue(1).atTime(LOCAL_TIME_2).atZone(ZONE_ID), dates.getValue(2).atTime(LOCAL_TIME_1).atZone(ZONE_ID)));
assertEquals(computed, expected);
}