public virtual void of_construction_multiplicative_2()
{
InflationNodalCurve curveComputed = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_MULTIPLICATIVE_DEF);
assertEquals(curveComputed.Underlying.XValues.get(0), NB_MONTHS_2, TOLERANCE_TIME);
assertEquals(curveComputed.Underlying.YValues.get(0), LAST_FIX_VALUE, TOLERANCE_TIME);
assertEquals(curveComputed.yValue(NB_MONTHS_2), LAST_FIX_VALUE, TOLERANCE_TIME);
}
public virtual void of_construction_additive_1()
{
InflationNodalCurve curveComputed = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_1, LAST_FIX_MONTH_1, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
assertEquals(curveComputed.Underlying.XValues.get(0), NB_MONTHS_1, TOLERANCE_TIME);
assertEquals(curveComputed.Underlying.YValues.get(0), LAST_FIX_VALUE, TOLERANCE_TIME);
assertEquals(curveComputed.yValue(NB_MONTHS_1), LAST_FIX_VALUE, TOLERANCE_TIME);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
InflationNodalCurve test = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_1, LAST_FIX_MONTH_1, LAST_FIX_VALUE, SEASONALITY_MULTIPLICATIVE_DEF);
coverImmutableBean(test);
InflationNodalCurve test2 = InflationNodalCurve.of(CURVE2_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE + 1.0d, SEASONALITY_ADDITIVE_DEF);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_curve()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.PRICE_INDEX).dayCount(ACT_365F).parameterMetadata(NODES.get(0).metadata(VAL_DATE, REF_DATA), NODES.get(1).metadata(VAL_DATE, REF_DATA)).build();
LocalDate date0 = NODES.get(0).date(VAL_DATE, REF_DATA);
LocalDate date1 = NODES.get(1).date(VAL_DATE, REF_DATA);
DoubleArray param = DoubleArray.of(250.0d, 260.0d);
InterpolatedNodalCurve expectedUnderlying = InterpolatedNodalCurve.builder().metadata(metadata).xValues(DoubleArray.of(ACT_365F.yearFraction(VAL_DATE, date0), ACT_365F.yearFraction(VAL_DATE, date1))).yValues(param).interpolator(CurveInterpolators.LOG_LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
InflationNodalCurve expected = InflationNodalCurve.of(expectedUnderlying, VAL_DATE, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
assertEquals(test.curve(VAL_DATE, metadata, param), expected);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
InflationNodalCurve other = (InflationNodalCurve)obj;
return(JodaBeanUtils.equal(underlying, other.underlying) && JodaBeanUtils.equal(seasonality, other.seasonality) && JodaBeanUtils.equal(adjustmentType, other.adjustmentType));
}
return(false);
}
public virtual void value_multiplicative()
{
InflationNodalCurve curveComputed = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_MULTIPLICATIVE_DEF);
for (int i = 1; i < TEST_MONTHS.Length; i++)
{
double nbMonths = YearMonth.from(VAL_DATE_2).until(TEST_MONTHS[i], MONTHS);
double valueComputed = curveComputed.yValue(nbMonths);
int x = (int)((nbMonths + 12) % 12);
double valueNoAdj = EXTENDED_CURVE_2.yValue(nbMonths);
double adj = SEASONALITY_MULTIPLICATIVE_COMP_2.get(x);
double valueExpected = valueNoAdj * adj;
assertEquals(valueExpected, valueComputed, TOLERANCE_VALUE);
}
}
public virtual void value_additive()
{
InflationNodalCurve curveComputed = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
for (int i = 1; i < TEST_MONTHS.Length; i++)
{
double nbMonths = YearMonth.from(VAL_DATE_2).until(TEST_MONTHS[i], MONTHS);
double valueComputed = curveComputed.yValue(nbMonths);
int x = (int)((nbMonths + 12) % 12);
double valueNoAdj = EXTENDED_CURVE_2.yValue(nbMonths);
DoubleArray seasonalityAdditiveCompounded = seasonalityCompounded(VAL_DATE_2, LAST_FIX_MONTH_2, SEASONALITY_ADDITIVE, (v, a) => v + a);
double adj = seasonalityAdditiveCompounded.get(x);
double valueExpected = valueNoAdj + adj;
assertEquals(valueExpected, valueComputed, TOLERANCE_VALUE);
}
}
public virtual void parameter_sensitivity_additive()
{
InflationNodalCurve curve = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
double shift = 1.0E-2;
for (int i = 1; i < TEST_MONTHS.Length; i++)
{
double nbMonths = YearMonth.from(VAL_DATE_2).until(TEST_MONTHS[i], MONTHS);
UnitParameterSensitivity psComputed = curve.yValueParameterSensitivity(nbMonths);
for (int j = 0; j < TIMES.size(); j++)
{
double[] valuePM = new double[2];
for (int pm = 0; pm < 2; pm++)
{
DoubleArray shiftedValues = VALUES.with(j, VALUES.get(j) + (1 - 2 * pm) * shift);
InterpolatedNodalCurve intCurveShifted = InterpolatedNodalCurve.of(METADATA, TIMES, shiftedValues, INTERPOLATOR);
InflationNodalCurve seaCurveShifted = InflationNodalCurve.of(intCurveShifted, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
valuePM[pm] = seaCurveShifted.yValue(nbMonths);
}
assertEquals(psComputed.Sensitivity.get(j), (valuePM[0] - valuePM[1]) / (2 * shift), TOLERANCE_DELTA);
}
}
}
public virtual void test_serialization()
{
InflationNodalCurve test = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_1, LAST_FIX_MONTH_1, LAST_FIX_VALUE, SEASONALITY_MULTIPLICATIVE_DEF);
assertSerialization(test);
}
public NodalCurve curve(LocalDate valuationDate, CurveMetadata metadata, DoubleArray parameters)
{
NodalCurve curveWithoutFixing = curveWithoutFixingDefinition.curve(valuationDate, metadata, parameters);
return(InflationNodalCurve.of(curveWithoutFixing, valuationDate, lastFixingMonth, lastFixingValue, seasonalityDefinition));
}