//-------------------------------------------------------------------------
// proper end-to-end tests are elsewhere
public virtual void test_parameterSensitivity()
{
SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS);
InflationRateSensitivity point = InflationRateSensitivity.of(PriceIndexObservation.of(US_CPI_U, VAL_MONTH.plusMonths(3)), 1d);
assertEquals(test.parameterSensitivity(point).size(), 1);
}
//-------------------------------------------------------------------------
public virtual void test_valuePointSensitivity_fixing()
{
SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS);
PriceIndexObservation obs = PriceIndexObservation.of(US_CPI_U, VAL_MONTH.minusMonths(3));
assertEquals(test.valuePointSensitivity(obs), PointSensitivityBuilder.none());
}
//-------------------------------------------------------------------------
public virtual void test_rateSensitivity()
{
ImmutableRatesProvider prov = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provSrtUp = createProvider(RATE_START + EPS_FD, RATE_START_INTERP, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provSrtDw = createProvider(RATE_START - EPS_FD, RATE_START_INTERP, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provSrtIntUp = createProvider(RATE_START, RATE_START_INTERP + EPS_FD, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provSrtIntDw = createProvider(RATE_START, RATE_START_INTERP - EPS_FD, RATE_END, RATE_END_INTERP);
ImmutableRatesProvider provEndUp = createProvider(RATE_START, RATE_START_INTERP, RATE_END + EPS_FD, RATE_END_INTERP);
ImmutableRatesProvider provEndDw = createProvider(RATE_START, RATE_START_INTERP, RATE_END - EPS_FD, RATE_END_INTERP);
ImmutableRatesProvider provEndIntUp = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP + EPS_FD);
ImmutableRatesProvider provEndIntDw = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP - EPS_FD);
InflationInterpolatedRateComputation ro = InflationInterpolatedRateComputation.of(GB_RPIX, REF_START_MONTH, REF_END_MONTH, WEIGHT);
ForwardInflationInterpolatedRateComputationFn obsFn = ForwardInflationInterpolatedRateComputationFn.DEFAULT;
double rateSrtUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtUp);
double rateSrtDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtDw);
double rateSrtIntUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtIntUp);
double rateSrtIntDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtIntDw);
double rateEndUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndUp);
double rateEndDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndDw);
double rateEndIntUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndIntUp);
double rateEndIntDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndIntDw);
PointSensitivityBuilder sensSrt = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_START_MONTH), 0.5 * (rateSrtUp - rateSrtDw) / EPS_FD);
PointSensitivityBuilder sensSrtInt = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_START_MONTH_INTERP), 0.5 * (rateSrtIntUp - rateSrtIntDw) / EPS_FD);
PointSensitivityBuilder sensEnd = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_END_MONTH), 0.5 * (rateEndUp - rateEndDw) / EPS_FD);
PointSensitivityBuilder sensEndInt = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_END_MONTH_INTERP), 0.5 * (rateEndIntUp - rateEndIntDw) / EPS_FD);
PointSensitivityBuilder sensiExpected = sensSrt.combinedWith(sensSrtInt).combinedWith(sensEnd).combinedWith(sensEndInt);
PointSensitivityBuilder sensiComputed = obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
assertTrue(sensiComputed.build().normalized().equalWithTolerance(sensiExpected.build().normalized(), EPS_FD));
}
public virtual void test_valuePointSensitivity_forward()
{
YearMonth month = VAL_MONTH.plusMonths(3);
SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS);
PriceIndexObservation obs = PriceIndexObservation.of(US_CPI_U, month);
InflationRateSensitivity expected = InflationRateSensitivity.of(obs, 1d);
assertEquals(test.valuePointSensitivity(obs), expected);
}
static SimplePriceIndexValuesTest()
{
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < USCPI_VALUES.Length; i++)
{
builder.put(USCPI_START_DATE.plusMonths(i), USCPI_VALUES[i]);
}
USCPI_TS = builder.build();
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
TEST_OBS[i] = PriceIndexObservation.of(US_CPI_U, TEST_MONTHS[i]);
}
}
//-------------------------------------------------------------------------
public virtual void test_rateSensitivity()
{
ImmutableRatesProvider prov = createProvider(RATE_END);
ImmutableRatesProvider provEndUp = createProvider(RATE_END + EPS_FD);
ImmutableRatesProvider provEndDw = createProvider(RATE_END - EPS_FD);
InflationEndMonthRateComputation ro = InflationEndMonthRateComputation.of(GB_RPIX, START_INDEX_VALUE, REFERENCE_END_MONTH);
ForwardInflationEndMonthRateComputationFn obsFn = ForwardInflationEndMonthRateComputationFn.DEFAULT;
double rateEndUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndUp);
double rateEndDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndDw);
PointSensitivityBuilder sensiExpected = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REFERENCE_END_MONTH), 0.5 * (rateEndUp - rateEndDw) / EPS_FD);
PointSensitivityBuilder sensiComputed = obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
assertTrue(sensiComputed.build().normalized().equalWithTolerance(sensiExpected.build().normalized(), EPS_FD));
}
//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
InflationRateSensitivity a1 = InflationRateSensitivity.of(GB_HICP_OBS, 32d);
InflationRateSensitivity a2 = InflationRateSensitivity.of(GB_HICP_OBS, 32d);
InflationRateSensitivity b = InflationRateSensitivity.of(CH_CPI_OBS, 32d);
InflationRateSensitivity c = InflationRateSensitivity.of(GB_HICP_OBS, USD, 32d);
InflationRateSensitivity d = InflationRateSensitivity.of(PriceIndexObservation.of(GB_HICP, YearMonth.of(2015, 10)), 32d);
ZeroRateSensitivity other = ZeroRateSensitivity.of(GBP, 2d, 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) > 0, true);
assertEquals(b.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
public virtual void test_wrongMonthOrder()
{
assertThrowsIllegalArg(() => InflationInterpolatedRateComputation.of(GB_HICP, END_MONTH_FIRST, START_MONTH_FIRST, WEIGHT));
assertThrowsIllegalArg(() => InflationInterpolatedRateComputation.meta().builder().set(InflationInterpolatedRateComputation.meta().startObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 1))).set(InflationInterpolatedRateComputation.meta().startSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 1))).set(InflationInterpolatedRateComputation.meta().endObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationInterpolatedRateComputation.meta().endSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 8))).set(InflationInterpolatedRateComputation.meta().weight(), WEIGHT).build());
assertThrowsIllegalArg(() => InflationInterpolatedRateComputation.meta().builder().set(InflationInterpolatedRateComputation.meta().startObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 1))).set(InflationInterpolatedRateComputation.meta().startSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 2))).set(InflationInterpolatedRateComputation.meta().endObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationInterpolatedRateComputation.meta().endSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationInterpolatedRateComputation.meta().weight(), WEIGHT).build());
assertThrowsIllegalArg(() => InflationInterpolatedRateComputation.meta().builder().set(InflationInterpolatedRateComputation.meta().startObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 8))).set(InflationInterpolatedRateComputation.meta().startSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 9))).set(InflationInterpolatedRateComputation.meta().endObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationInterpolatedRateComputation.meta().endSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 8))).set(InflationInterpolatedRateComputation.meta().weight(), WEIGHT).build());
}
public virtual void test_wrongMonthOrder()
{
assertThrowsIllegalArg(() => InflationEndInterpolatedRateComputation.meta().builder().set(InflationEndInterpolatedRateComputation.meta().startIndexValue(), START_INDEX).set(InflationEndInterpolatedRateComputation.meta().endObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationEndInterpolatedRateComputation.meta().endSecondObservation(), PriceIndexObservation.of(GB_HICP, YearMonth.of(2010, 7))).set(InflationEndInterpolatedRateComputation.meta().weight(), WEIGHT).build());
}
