//-------------------------------------------------------------------------
public virtual void test_createParameterSensitivity()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR);
assertThat(test.createParameterSensitivity(DoubleArray.of(2d, 3d, 4d))).isEqualTo(UnitParameterSensitivity.of(CURVE_NAME, DoubleArray.of(2d, 3d, 4d)));
assertThat(test.createParameterSensitivity(Currency.GBP, DoubleArray.of(2d, 3d, 4d))).isEqualTo(CurrencyParameterSensitivity.of(CURVE_NAME, Currency.GBP, DoubleArray.of(2d, 3d, 4d)));
}
public virtual void test_withValuesXy_badSize()
{
InterpolatedNodalCurve @base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR);
assertThrowsIllegalArg(() => @base.withValues(DoubleArray.EMPTY, DoubleArray.EMPTY));
assertThrowsIllegalArg(() => @base.withValues(DoubleArray.of(1d, 3d, 5d), DoubleArray.of(4d, 6d)));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR);
coverImmutableBean(test);
InterpolatedNodalCurve test2 = InterpolatedNodalCurve.builder().metadata(METADATA_ENTRIES).xValues(XVALUES2).yValues(YVALUES_BUMPED).extrapolatorLeft(CurveExtrapolators.LOG_LINEAR).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorRight(CurveExtrapolators.LOG_LINEAR).build();
coverBeanEquals(test, test2);
}
public virtual void test_of_extrapolators()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR, LINEAR_EXTRAPOLATOR, LINEAR_EXTRAPOLATOR);
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.ExtrapolatorLeft.Name).isEqualTo(LINEAR_EXTRAPOLATOR.Name);
assertThat(test.Interpolator.Name).isEqualTo(INTERPOLATOR.Name);
assertThat(test.ExtrapolatorRight.Name).isEqualTo(LINEAR_EXTRAPOLATOR.Name);
}
public virtual void underlyingCurve()
{
assertEquals(ADD_FIXED_CURVE.split(), ImmutableList.of(FIXED_CURVE, SPREAD_CURVE));
CurveMetadata metadata = DefaultCurveMetadata.builder().curveName(CurveName.of("newCurve")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).parameterMetadata(PARAM_METADATA_SPREAD).build();
InterpolatedNodalCurve newCurve = InterpolatedNodalCurve.of(metadata, XVALUES_SPREAD, YVALUES_SPREAD, INTERPOLATOR);
assertEquals(ADD_FIXED_CURVE.withUnderlyingCurve(0, newCurve), AddFixedCurve.of(newCurve, SPREAD_CURVE));
assertEquals(ADD_FIXED_CURVE.withUnderlyingCurve(1, newCurve), AddFixedCurve.of(FIXED_CURVE, newCurve));
assertThrowsIllegalArg(() => ADD_FIXED_CURVE.withUnderlyingCurve(2, newCurve));
}
//-------------------------------------------------------------------------
public virtual void test_underlyingCurves()
{
CurveMetadata metadata = DefaultCurveMetadata.builder().curveName("newCurve").xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).parameterMetadata(PARAM_METADATA_SPREAD).build();
InterpolatedNodalCurve newCurve = InterpolatedNodalCurve.of(metadata, XVALUES_SPREAD, YVALUES_SPREAD, NATURAL_CUBIC_SPLINE, LINEAR, LINEAR);
assertEquals(COMBINED_CURVE.withUnderlyingCurve(0, newCurve), CombinedCurve.of(newCurve, SPREAD_CURVE, COMBINED_CURVE.Metadata));
assertEquals(COMBINED_CURVE.withUnderlyingCurve(1, newCurve), CombinedCurve.of(BASE_CURVE, newCurve, COMBINED_CURVE.Metadata));
assertEquals(COMBINED_CURVE.split(), ImmutableList.of(BASE_CURVE, SPREAD_CURVE));
assertThrowsIllegalArg(() => COMBINED_CURVE.withUnderlyingCurve(2, newCurve));
}
public virtual void test_of_invalid()
{
// not enough nodes
assertThrowsIllegalArg(() => InterpolatedNodalCurve.of(METADATA, DoubleArray.of(1d), DoubleArray.of(1d), INTERPOLATOR));
// x node size != y node size
assertThrowsIllegalArg(() => InterpolatedNodalCurve.of(METADATA, XVALUES, DoubleArray.of(1d, 3d), INTERPOLATOR));
// parameter metadata size != node size
assertThrowsIllegalArg(() => InterpolatedNodalCurve.of(METADATA_ENTRIES, DoubleArray.of(1d, 3d), DoubleArray.of(1d, 3d), INTERPOLATOR));
// x not in order
assertThrowsIllegalArg(() => InterpolatedNodalCurve.of(METADATA, DoubleArray.of(2d, 1d), DoubleArray.of(2d, 3d), INTERPOLATOR));
}
public virtual void test_of_noCurveMetadata()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_NOPARAM, XVALUES, YVALUES, INTERPOLATOR);
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.ParameterCount).isEqualTo(SIZE);
assertThat(test.getParameter(0)).isEqualTo(YVALUES.get(0));
assertThat(test.getParameter(1)).isEqualTo(YVALUES.get(1));
assertThat(test.getParameterMetadata(0)).isEqualTo(SimpleCurveParameterMetadata.of(ValueType.YEAR_FRACTION, XVALUES.get(0)));
assertThat(test.getParameterMetadata(1)).isEqualTo(SimpleCurveParameterMetadata.of(ValueType.YEAR_FRACTION, XVALUES.get(1)));
}
//-------------------------------------------------------------------------
public virtual void test_withValuesXy()
{
InterpolatedNodalCurve @base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR);
InterpolatedNodalCurve test = @base.withValues(XVALUES2, YVALUES_BUMPED);
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.ParameterCount).isEqualTo(SIZE);
assertThat(test.Metadata).isEqualTo(METADATA);
assertThat(test.XValues).isEqualTo(XVALUES2);
assertThat(test.YValues).isEqualTo(YVALUES_BUMPED);
}
public virtual void test_firstDerivative()
{
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(0, 1), DoubleArray.of(2, 2.5), CurveInterpolators.LINEAR);
Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1);
Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2);
assertThat(curve.firstDerivative(0.1)).isEqualTo(0.5);
assertThat(absoluteShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5);
assertThat(relativeShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5 * 1.2);
}
public virtual void test_withNode_atEnd_withoutMetadata()
{
InterpolatedNodalCurve @base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR);
LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y);
InterpolatedNodalCurve test = @base.withNode(0.5d, 4d, item);
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.ParameterCount).isEqualTo(SIZE + 1);
assertThat(test.Metadata).isEqualTo(METADATA);
assertThat(test.XValues).isEqualTo(DoubleArray.of(0.5d, 1d, 2d, 3d));
assertThat(test.YValues).isEqualTo(DoubleArray.of(4d, 5d, 7d, 8d));
}
//-------------------------------------------------------------------------
public virtual void test_yValueParameterSensitivity()
{
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(0, 1), DoubleArray.of(2, 2.5), CurveInterpolators.LINEAR);
Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1);
Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2);
UnitParameterSensitivity expected = curve.yValueParameterSensitivity(0.1);
assertThat(absoluteShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected);
assertThat(relativeShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected);
}
public virtual void test_relative()
{
CurveParallelShifts test = CurveParallelShifts.relative(0.1d, 0.2d, 0.4d);
Curve baseCurve = InterpolatedNodalCurve.of(Curves.zeroRates("curve", DayCounts.ACT_365F), DoubleArray.of(1, 2, 3), DoubleArray.of(5, 6, 7), CurveInterpolators.LOG_LINEAR);
MarketDataBox <Curve> shiftedCurveBox = test.applyTo(MarketDataBox.ofSingleValue(baseCurve), REF_DATA);
assertEquals(shiftedCurveBox.getValue(0), ParallelShiftedCurve.relative(baseCurve, 0.1d));
assertEquals(shiftedCurveBox.getValue(1), ParallelShiftedCurve.relative(baseCurve, 0.2d));
assertEquals(shiftedCurveBox.getValue(2), ParallelShiftedCurve.relative(baseCurve, 0.4d));
}
public virtual void test_dayCount()
{
CurveMetadata baseMetadata = DefaultCurveMetadata.builder().curveName(BASE_NAME).xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).build();
CurveMetadata spreadMetadata = DefaultCurveMetadata.builder().curveName(SPREAD_NAME).xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(DayCounts.ACT_360).build();
InterpolatedNodalCurve baseCurve = InterpolatedNodalCurve.of(baseMetadata, XVALUES_BASE, YVALUES_BASE, NATURAL_CUBIC_SPLINE, LINEAR, LINEAR);
InterpolatedNodalCurve spreadCurve = InterpolatedNodalCurve.of(spreadMetadata, XVALUES_SPREAD, YVALUES_SPREAD, PCHIP, LINEAR, LINEAR);
CurveMetadata combinedMetadata1 = DefaultCurveMetadata.builder().curveName("CombinedCurve").xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(DayCounts.ACT_360).build();
assertThrowsIllegalArg(() => CombinedCurve.of(baseCurve, spreadCurve, combinedMetadata1));
CurveMetadata combinedMetadata2 = DefaultCurveMetadata.builder().curveName("CombinedCurve").xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).build();
assertThrowsIllegalArg(() => CombinedCurve.of(baseCurve, spreadCurve, combinedMetadata2));
}
//-------------------------------------------------------------------------
public virtual void test_lookup()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR);
BoundCurveInterpolator interp = INTERPOLATOR.bind(XVALUES, YVALUES, FLAT_EXTRAPOLATOR, FLAT_EXTRAPOLATOR);
assertThat(test.yValue(XVALUES.get(0))).isEqualTo(YVALUES.get(0));
assertThat(test.yValue(XVALUES.get(1))).isEqualTo(YVALUES.get(1));
assertThat(test.yValue(XVALUES.get(2))).isEqualTo(YVALUES.get(2));
assertThat(test.yValue(10d)).isEqualTo(interp.interpolate(10d));
assertThat(test.yValueParameterSensitivity(10d).MarketDataName).isEqualTo(CURVE_NAME);
assertThat(test.yValueParameterSensitivity(10d).Sensitivity).isEqualTo(interp.parameterSensitivity(10d));
assertThat(test.firstDerivative(10d)).isEqualTo(interp.firstDerivative(10d));
}
public virtual void test_withNode_replace_withMetadata()
{
InterpolatedNodalCurve @base = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR);
LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y);
InterpolatedNodalCurve test = @base.withNode(2d, 4d, item);
IList <ParameterMetadata> list = new List <ParameterMetadata>(METADATA_ENTRIES.ParameterMetadata.get());
list[1] = item;
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.ParameterCount).isEqualTo(SIZE);
assertThat(test.Metadata).isEqualTo(METADATA.withParameterMetadata(list));
assertThat(test.XValues).isEqualTo(DoubleArray.of(1d, 2d, 3d));
assertThat(test.YValues).isEqualTo(DoubleArray.of(5d, 4d, 8d));
}
//-------------------------------------------------------------------------
public virtual void test_withNode_atStart_withMetadata()
{
InterpolatedNodalCurve @base = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR);
LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y);
InterpolatedNodalCurve test = @base.withNode(0.5d, 4d, item);
IList <ParameterMetadata> list = new List <ParameterMetadata>();
list.Add(item);
((IList <ParameterMetadata>)list).AddRange(ParameterMetadata.listOfEmpty(SIZE));
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.ParameterCount).isEqualTo(SIZE + 1);
assertThat(test.Metadata).isEqualTo(METADATA_ENTRIES.withParameterMetadata(list));
assertThat(test.XValues).isEqualTo(DoubleArray.of(0.5d, 1d, 2d, 3d));
assertThat(test.YValues).isEqualTo(DoubleArray.of(4d, 5d, 7d, 8d));
}
public virtual void test_of()
{
CurveMetadata baseMetadata = DefaultCurveMetadata.builder().curveName(BASE_NAME).xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).build();
CurveMetadata spreadMetadata = DefaultCurveMetadata.builder().curveName(SPREAD_NAME).xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).build();
InterpolatedNodalCurve baseCurve = InterpolatedNodalCurve.of(baseMetadata, XVALUES_BASE, YVALUES_BASE, NATURAL_CUBIC_SPLINE, LINEAR, LINEAR);
InterpolatedNodalCurve spreadCurve = InterpolatedNodalCurve.of(spreadMetadata, XVALUES_SPREAD, YVALUES_SPREAD, PCHIP, LINEAR, LINEAR);
CurveMetadata combinedMetadata = DefaultCurveMetadata.builder().curveName("CombinedCurve").xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).build();
CombinedCurve test = CombinedCurve.of(baseCurve, spreadCurve, combinedMetadata);
assertEquals(test.BaseCurve, baseCurve);
assertEquals(test.SpreadCurve, spreadCurve);
assertEquals(test.Metadata, combinedMetadata);
assertEquals(test.Name, combinedMetadata.CurveName);
assertEquals(test.ParameterCount, baseCurve.ParameterCount + spreadCurve.ParameterCount);
assertEquals(test.getParameter(1), baseCurve.getParameter(1));
assertEquals(test.getParameter(6), spreadCurve.getParameter(3));
assertEquals(test.getParameterMetadata(2), baseCurve.getParameterMetadata(2));
assertEquals(test.getParameterMetadata(5), spreadCurve.getParameterMetadata(2));
}
//-------------------------------------------------------------------------
public virtual void test_of_CurveMetadata()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR);
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.ParameterCount).isEqualTo(SIZE);
assertThat(test.getParameter(0)).isEqualTo(YVALUES.get(0));
assertThat(test.getParameter(1)).isEqualTo(YVALUES.get(1));
assertThat(test.getParameterMetadata(0)).isSameAs(METADATA_ENTRIES.ParameterMetadata.get().get(0));
assertThat(test.getParameterMetadata(1)).isSameAs(METADATA_ENTRIES.ParameterMetadata.get().get(1));
assertThat(test.withParameter(0, 2d)).isEqualTo(InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES.with(0, 2d), INTERPOLATOR));
assertThat(test.withPerturbation((i, v, m) => v - 2d)).isEqualTo(InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES_BUMPED, INTERPOLATOR));
assertThat(test.ExtrapolatorLeft.Name).isEqualTo(FLAT_EXTRAPOLATOR.Name);
assertThat(test.Interpolator.Name).isEqualTo(INTERPOLATOR.Name);
assertThat(test.ExtrapolatorRight.Name).isEqualTo(FLAT_EXTRAPOLATOR.Name);
assertThat(test.Metadata).isEqualTo(METADATA_ENTRIES);
assertThat(test.XValues).isEqualTo(XVALUES);
assertThat(test.YValues).isEqualTo(YVALUES);
}
public virtual void parameter_sensitivity_additive()
{
InflationNodalCurve curve = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
double shift = 1.0E-2;
for (int i = 1; i < TEST_MONTHS.Length; i++)
{
double nbMonths = YearMonth.from(VAL_DATE_2).until(TEST_MONTHS[i], MONTHS);
UnitParameterSensitivity psComputed = curve.yValueParameterSensitivity(nbMonths);
for (int j = 0; j < TIMES.size(); j++)
{
double[] valuePM = new double[2];
for (int pm = 0; pm < 2; pm++)
{
DoubleArray shiftedValues = VALUES.with(j, VALUES.get(j) + (1 - 2 * pm) * shift);
InterpolatedNodalCurve intCurveShifted = InterpolatedNodalCurve.of(METADATA, TIMES, shiftedValues, INTERPOLATOR);
InflationNodalCurve seaCurveShifted = InflationNodalCurve.of(intCurveShifted, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
valuePM[pm] = seaCurveShifted.yValue(nbMonths);
}
assertEquals(psComputed.Sensitivity.get(j), (valuePM[0] - valuePM[1]) / (2 * shift), TOLERANCE_DELTA);
}
}
}
public virtual void test_serialization()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR);
assertSerialization(test);
}
/// <summary>
/// Creates the ISDA compliant curve.
/// <para>
/// The parameter metadata is not stored in the metadata of the curve.
///
/// </para>
/// </summary>
/// <param name="yearFractions"> the year fraction values </param>
/// <param name="zeroRates"> the zero rate values </param>
/// <returns> the curve </returns>
public InterpolatedNodalCurve curve(DoubleArray yearFractions, DoubleArray zeroRates)
{
CurveMetadata baseMetadata = Curves.zeroRates(name, dayCount);
return(InterpolatedNodalCurve.of(baseMetadata, yearFractions, zeroRates, CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR));
}
public virtual void test_withMetadata_badSize()
{
InterpolatedNodalCurve @base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR);
assertThrowsIllegalArg(() => @base.withMetadata(METADATA_ENTRIES2));
}
