public virtual void pointAndParameterPriceIndex()
{
double eps = 1.0e-13;
LocalDate valuationDate = LocalDate.of(2014, 1, 22);
DoubleArray x = DoubleArray.of(0.5, 1.0, 2.0);
DoubleArray y = DoubleArray.of(224.2, 262.6, 277.5);
CurveInterpolator interp = CurveInterpolators.NATURAL_CUBIC_SPLINE;
string curveName = "GB_RPI_CURVE";
InterpolatedNodalCurve interpCurve = InterpolatedNodalCurve.of(Curves.prices(curveName), x, y, interp);
ImmutableRatesProvider provider = ImmutableRatesProvider.builder(VAL_DATE).priceIndexCurve(GB_RPI, interpCurve).timeSeries(GB_RPI, LocalDateDoubleTimeSeries.of(date(2013, 11, 30), 200)).build();
double pointSensiValue = 2.5;
YearMonth refMonth = YearMonth.from(valuationDate.plusMonths(9));
InflationRateSensitivity pointSensi = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPI, refMonth), pointSensiValue);
CurrencyParameterSensitivities computed = provider.parameterSensitivity(pointSensi.build());
DoubleArray sensiComputed = computed.Sensitivities.get(0).Sensitivity;
InflationRateSensitivity pointSensi1 = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPI, refMonth), 1);
DoubleArray sensiExpectedUnit = provider.priceIndexValues(GB_RPI).parameterSensitivity(pointSensi1).Sensitivities.get(0).Sensitivity;
assertTrue(sensiComputed.equalWithTolerance(sensiExpectedUnit.multipliedBy(pointSensiValue), eps));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance from an index, start index value and reference end month.
/// </summary>
/// <param name="index"> the index </param>
/// <param name="startIndexValue"> the start index value </param>
/// <param name="referenceEndMonth"> the reference end month </param>
/// <returns> the inflation rate computation </returns>
public static InflationEndMonthRateComputation of(PriceIndex index, double startIndexValue, YearMonth referenceEndMonth)
{
return(new InflationEndMonthRateComputation(startIndexValue, PriceIndexObservation.of(index, referenceEndMonth)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance from an index, reference start month and reference end month.
/// <para>
/// The second start/end observations will be one month later than the start/end month.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="referenceStartMonth"> the reference start month </param>
/// <param name="referenceEndMonth"> the reference end month </param>
/// <param name="weight"> the weight </param>
/// <returns> the inflation rate computation </returns>
public static InflationInterpolatedRateComputation of(PriceIndex index, YearMonth referenceStartMonth, YearMonth referenceEndMonth, double weight)
{
return(new InflationInterpolatedRateComputation(PriceIndexObservation.of(index, referenceStartMonth), PriceIndexObservation.of(index, referenceStartMonth.plusMonths(1)), PriceIndexObservation.of(index, referenceEndMonth), PriceIndexObservation.of(index, referenceEndMonth.plusMonths(1)), weight));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance from an index, reference start month and reference end month.
/// </summary>
/// <param name="index"> the index </param>
/// <param name="referenceStartMonth"> the reference start month </param>
/// <param name="referenceEndMonth"> the reference end month </param>
/// <returns> the inflation rate computation </returns>
public static InflationMonthlyRateComputation of(PriceIndex index, YearMonth referenceStartMonth, YearMonth referenceEndMonth)
{
return(new InflationMonthlyRateComputation(PriceIndexObservation.of(index, referenceStartMonth), PriceIndexObservation.of(index, referenceEndMonth)));
}