public virtual void test_bind_no_seasonality()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addForwardCurve(CURVE_DEFN_I, GB_RPI).build();
LocalDate valuationDate = LocalDate.of(2015, 11, 10);
LocalDate lastFixingDate = LocalDate.of(2015, 10, 31);
LocalDate otherFixingDate = LocalDate.of(2015, 9, 30);
double lastFixingValue = 234.56;
IDictionary <Index, LocalDateDoubleTimeSeries> map = ImmutableMap.of(GB_RPI, LocalDateDoubleTimeSeries.builder().put(lastFixingDate, 234.56).put(otherFixingDate, lastFixingValue - 1).build());
RatesCurveGroupDefinition testBound = test.bindTimeSeries(valuationDate, map);
IList <CurveDefinition> list = testBound.CurveDefinitions;
assertEquals(list.Count, 2);
assertTrue(list[0] is InterpolatedNodalCurveDefinition);
assertTrue(list[1] is InflationNodalCurveDefinition);
InflationNodalCurveDefinition seasonDef = (InflationNodalCurveDefinition)list[1];
assertEquals(seasonDef.CurveWithoutFixingDefinition, CURVE_DEFN_I);
assertEquals(seasonDef.LastFixingMonth, YearMonth.from(lastFixingDate));
assertEquals(seasonDef.LastFixingValue, lastFixingValue);
assertEquals(seasonDef.Name, CURVE_NAME_I);
assertEquals(seasonDef.YValueType, ValueType.PRICE_INDEX);
// Check the default
assertTrue(seasonDef.SeasonalityDefinition.SeasonalityMonthOnMonth.equalWithTolerance(DoubleArray.filled(12, 1d), 1.0E-10));
assertEquals(seasonDef.SeasonalityDefinition.AdjustmentType, ShiftType.SCALED);
}
//-------------------------------------------------------------------------
public virtual void test_bind()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addForwardCurve(CURVE_DEFN_I, GB_RPI).addSeasonality(CURVE_NAME_I, SEASONALITY_ADDITIVE_DEF).build();
LocalDate valuationDate = LocalDate.of(2015, 11, 10);
LocalDate lastFixingDate = LocalDate.of(2015, 10, 31);
LocalDate otherFixingDate = LocalDate.of(2015, 9, 30);
double lastFixingValue = 234.56;
IDictionary <Index, LocalDateDoubleTimeSeries> map = ImmutableMap.of(GB_RPI, LocalDateDoubleTimeSeries.builder().put(lastFixingDate, 234.56).put(otherFixingDate, lastFixingValue - 1).build());
RatesCurveGroupDefinition testBound = test.bindTimeSeries(valuationDate, map);
IList <CurveDefinition> list = testBound.CurveDefinitions;
assertEquals(list.Count, 2);
assertTrue(list[0] is InterpolatedNodalCurveDefinition);
assertTrue(list[1] is InflationNodalCurveDefinition);
InflationNodalCurveDefinition seasonDef = (InflationNodalCurveDefinition)list[1];
assertEquals(seasonDef.CurveWithoutFixingDefinition, CURVE_DEFN_I);
assertEquals(seasonDef.LastFixingMonth, YearMonth.from(lastFixingDate));
assertEquals(seasonDef.LastFixingValue, lastFixingValue);
assertEquals(seasonDef.Name, CURVE_NAME_I);
assertEquals(seasonDef.SeasonalityDefinition, SEASONALITY_ADDITIVE_DEF);
assertEquals(seasonDef.YValueType, ValueType.PRICE_INDEX);
}