//-------------------------------------------------------------------------
public virtual void coverage()
{
ParameterizedFunctionalCurve test1 = ParameterizedFunctionalCurve.of(METADATA, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
coverImmutableBean(test1);
DoubleArray @params = DoubleArray.of(1.2);
CurveMetadata metadata = DefaultCurveMetadata.builder().curveName("test").yValueType(ValueType.DISCOUNT_FACTOR).xValueType(ValueType.YEAR_FRACTION).build();
System.Func <DoubleArray, double, double> value = (DoubleArray t, double?u) =>
{
return(t.get(0) * u);
};
System.Func <DoubleArray, double, double> deriv = (DoubleArray t, double?u) =>
{
return(t.get(0));
};
System.Func <DoubleArray, double, DoubleArray> sensi = (DoubleArray t, double?u) =>
{
return(DoubleArray.of(u));
};
ParameterizedFunctionalCurve test2 = ParameterizedFunctionalCurve.of(metadata, @params, value, deriv, sensi);
coverBeanEquals(test1, test2);
}
public virtual void test_withMetadata()
{
ParameterizedFunctionalCurve @base = ParameterizedFunctionalCurve.of(METADATA, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
CurveMetadata metadata = DefaultCurveMetadata.builder().curveName("test").yValueType(ValueType.DISCOUNT_FACTOR).xValueType(ValueType.YEAR_FRACTION).build();
ParameterizedFunctionalCurve expected = ParameterizedFunctionalCurve.of(metadata, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
assertEquals(@base.withMetadata(metadata), expected);
}
public virtual void test_withPerturbation()
{
ParameterizedFunctionalCurve @base = ParameterizedFunctionalCurve.of(METADATA, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
DoubleArray parameters = PARAMETERS.minus(2d);
ParameterizedFunctionalCurve expected = ParameterizedFunctionalCurve.of(METADATA, parameters, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
assertEquals(@base.withPerturbation((i, v, m) => v - 2d), expected);
}
//-------------------------------------------------------------------------
public virtual void test_withParameter()
{
ParameterizedFunctionalCurve @base = ParameterizedFunctionalCurve.of(METADATA, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
DoubleArray parameters = DoubleArray.of(1.2, 1d, 8.9);
ParameterizedFunctionalCurve expected = ParameterizedFunctionalCurve.of(METADATA, parameters, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
assertEquals(@base.withParameter(1, 1d), expected);
}
public virtual void test_sensitivities()
{
ParameterizedFunctionalCurve test = ParameterizedFunctionalCurve.of(METADATA, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
DoubleArray sensiVal = DoubleArray.of(1d, 2d, 3d);
assertEquals(test.createParameterSensitivity(sensiVal), UnitParameterSensitivity.of(METADATA.CurveName, METADATA.ParameterMetadata.get(), sensiVal));
assertEquals(test.createParameterSensitivity(USD, sensiVal), CurrencyParameterSensitivity.of(METADATA.CurveName, METADATA.ParameterMetadata.get(), USD, sensiVal));
}
//-------------------------------------------------------------------------
public virtual void test_values()
{
ParameterizedFunctionalCurve test = ParameterizedFunctionalCurve.of(METADATA, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
double x = 5.2;
assertEquals(test.yValue(x), VALUE_FUNCTION.apply(PARAMETERS, x));
assertEquals(test.firstDerivative(x), DERIVATIVE_FUNCTION.apply(PARAMETERS, x));
assertEquals(test.yValueParameterSensitivity(x), UnitParameterSensitivity.of(METADATA.CurveName, METADATA.ParameterMetadata.get(), SENSITIVITY_FUNCTION.apply(PARAMETERS, x)));
}
//-------------------------------------------------------------------------
public virtual void test_curve()
{
ParameterizedFunctionalCurveDefinition test = ParameterizedFunctionalCurveDefinition.builder().dayCount(ACT_365F).valueFunction(VALUE_FUNCTION).derivativeFunction(DERIVATIVE_FUNCTION).sensitivityFunction(SENSITIVITY_FUNCTION).initialGuess(INITIAL_PARAMS).name(CURVE_NAME).nodes(NODES).parameterMetadata(PARAM_METADATA).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build();
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).parameterMetadata(PARAM_METADATA).build();
DoubleArray parameters = DoubleArray.of(1d, 1.5d, -0.5d);
ParameterizedFunctionalCurve expected = ParameterizedFunctionalCurve.builder().metadata(metadata).valueFunction(VALUE_FUNCTION).derivativeFunction(DERIVATIVE_FUNCTION).sensitivityFunction(SENSITIVITY_FUNCTION).parameters(parameters).build();
assertEquals(test.curve(VAL_DATE, metadata, parameters), expected);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ParameterizedFunctionalCurve other = (ParameterizedFunctionalCurve)obj;
return(JodaBeanUtils.equal(metadata, other.metadata) && JodaBeanUtils.equal(parameters, other.parameters) && JodaBeanUtils.equal(valueFunction, other.valueFunction) && JodaBeanUtils.equal(derivativeFunction, other.derivativeFunction) && JodaBeanUtils.equal(sensitivityFunction, other.sensitivityFunction));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
ParameterizedFunctionalCurve test = ParameterizedFunctionalCurve.of(METADATA, PARAMETERS, VALUE_FUNCTION, DERIVATIVE_FUNCTION, SENSITIVITY_FUNCTION);
assertEquals(test.ValueFunction, VALUE_FUNCTION);
assertEquals(test.DerivativeFunction, DERIVATIVE_FUNCTION);
assertEquals(test.SensitivityFunction, SENSITIVITY_FUNCTION);
assertEquals(test.Metadata, METADATA);
assertEquals(test.Name, METADATA.CurveName);
assertEquals(test.getParameter(2), PARAMETERS.get(2));
assertEquals(test.ParameterCount, PARAMETERS.size());
assertEquals(test.getParameterMetadata(1), METADATA.getParameterMetadata(1));
assertEquals(test.Parameters, PARAMETERS);
}
private readonly IList <ParameterMetadata> parameterMetadata; // derived, not a property
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance.
/// </summary>
/// <param name="metadata"> the metadata </param>
/// <param name="parameters"> the parameters </param>
/// <param name="valueFunction"> the value function </param>
/// <param name="derivativeFunction"> the derivative function </param>
/// <param name="sensitivityFunction"> the parameter sensitivity function </param>
/// <returns> the instance </returns>
public static ParameterizedFunctionalCurve of(CurveMetadata metadata, DoubleArray parameters, System.Func <DoubleArray, double, double> valueFunction, System.Func <DoubleArray, double, double> derivativeFunction, System.Func <DoubleArray, double, DoubleArray> sensitivityFunction)
{
return(ParameterizedFunctionalCurve.builder().metadata(metadata).parameters(parameters).valueFunction(valueFunction).derivativeFunction(derivativeFunction).sensitivityFunction(sensitivityFunction).build());
}
