public void testYYIndex()
{
// Testing year-on-year inflation indices
SavedSettings backup = new SavedSettings();
//IndexHistoryCleaner cleaner = new IndexHistoryCleaner();
YYEUHICP yyeuhicp = new YYEUHICP(true);
if (yyeuhicp.name() != "EU YY_HICP" ||
yyeuhicp.frequency() != Frequency.Monthly ||
yyeuhicp.revised() ||
!yyeuhicp.interpolated() ||
yyeuhicp.ratio() ||
yyeuhicp.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year EU HICP data ("
+ yyeuhicp.name() + ", "
+ yyeuhicp.frequency() + ", "
+ yyeuhicp.revised() + ", "
+ yyeuhicp.interpolated() + ", "
+ yyeuhicp.ratio() + ", "
+ yyeuhicp.availabilityLag() + ")");
}
YYEUHICPr yyeuhicpr = new YYEUHICPr(true);
if (yyeuhicpr.name() != "EU YYR_HICP" ||
yyeuhicpr.frequency() != Frequency.Monthly ||
yyeuhicpr.revised() ||
!yyeuhicpr.interpolated() ||
!yyeuhicpr.ratio() ||
yyeuhicpr.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year EU HICPr data ("
+ yyeuhicpr.name() + ", "
+ yyeuhicpr.frequency() + ", "
+ yyeuhicpr.revised() + ", "
+ yyeuhicpr.interpolated() + ", "
+ yyeuhicpr.ratio() + ", "
+ yyeuhicpr.availabilityLag() + ")");
}
YYUKRPI yyukrpi = new YYUKRPI(false);
if (yyukrpi.name() != "UK YY_RPI" ||
yyukrpi.frequency() != Frequency.Monthly ||
yyukrpi.revised() ||
yyukrpi.interpolated() ||
yyukrpi.ratio() ||
yyukrpi.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year UK RPI data ("
+ yyukrpi.name() + ", "
+ yyukrpi.frequency() + ", "
+ yyukrpi.revised() + ", "
+ yyukrpi.interpolated() + ", "
+ yyukrpi.ratio() + ", "
+ yyukrpi.availabilityLag() + ")");
}
YYUKRPIr yyukrpir = new YYUKRPIr(false);
if (yyukrpir.name() != "UK YYR_RPI" ||
yyukrpir.frequency() != Frequency.Monthly ||
yyukrpir.revised() ||
yyukrpir.interpolated() ||
!yyukrpir.ratio() ||
yyukrpir.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year UK RPIr data ("
+ yyukrpir.name() + ", "
+ yyukrpir.frequency() + ", "
+ yyukrpir.revised() + ", "
+ yyukrpir.interpolated() + ", "
+ yyukrpir.ratio() + ", "
+ yyukrpir.availabilityLag() + ")");
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = new UnitedKingdom().adjust(evaluationDate);
Settings.setEvaluationDate(evaluationDate);
// fixing data
Date from = new Date(1, Month.January, 2005);
Date to = new Date(13, Month.August, 2007);
Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing).value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3 };
bool interp = false;
YYUKRPIr iir = new YYUKRPIr(interp);
YYUKRPIr iirYES = new YYUKRPIr(true);
for (int i = 0; i < fixData.Length; i++)
{
iir.addFixing(rpiSchedule[i], fixData[i]);
iirYES.addFixing(rpiSchedule[i], fixData[i]);
}
Date todayMinusLag = evaluationDate - iir.availabilityLag();
KeyValuePair <Date, Date> lim0 = Utils.inflationPeriod(todayMinusLag, iir.frequency());
todayMinusLag = lim0.Value + 1 - 2 * new Period(iir.frequency());
double eps = 1.0e-8;
// Interpolation tests
//--------------------
// (no TS so can't forecast).
for (int i = 13; i < rpiSchedule.Count; i++)
{
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(rpiSchedule[i], iir.frequency());
KeyValuePair <Date, Date> limBef = Utils.inflationPeriod(rpiSchedule[i - 12], iir.frequency());
for (Date d = lim.Key; d <= lim.Value; d++)
{
if (d < todayMinusLag)
{
double expected = fixData[i] / fixData[i - 12] - 1.0;
double calculated = iir.fixing(d);
Assert.IsTrue(Math.Abs(calculated - expected) < eps,
"Non-interpolated fixings not constant within a period: "
+ calculated
+ ", should be "
+ expected);
double dp = lim.Value + 1 - lim.Key;
double dpBef = limBef.Value + 1 - limBef.Key;
double dl = d - lim.Key;
// potentially does not work on 29th Feb
double dlBef = new NullCalendar().advance(d, -new Period(1, TimeUnit.Years),
BusinessDayConvention.ModifiedFollowing) - limBef.Key;
double linearNow = fixData[i] + (fixData[i + 1] - fixData[i]) * dl / dp;
double linearBef = fixData[i - 12] + (fixData[i + 1 - 12] - fixData[i - 12]) * dlBef / dpBef;
double expectedYES = linearNow / linearBef - 1.0;
double calculatedYES = iirYES.fixing(d);
Assert.IsTrue(Math.Abs(expectedYES - calculatedYES) < eps,
"Error in interpolated fixings: expect " + expectedYES
+ " see " + calculatedYES
+ " flat " + calculated
+ ", data: " + fixData[i - 12] + ", " + fixData[i + 1 - 12]
+ ", " + fixData[i] + ", " + fixData[i + 1]
+ ", fac: " + dp + ", " + dl
+ ", " + dpBef + ", " + dlBef
+ ", to: " + linearNow + ", " + linearBef
);
}
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(YYEUHICP obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(YYEUHICP obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
