public virtual void test_of_LocalDateAndTime()
{
HullWhiteOneFactorPiecewiseConstantParametersProvider test = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(PARAMETERS, ACT_360, VAL_DATE, TIME, ZONE);
assertEquals(test.DayCount, ACT_360);
assertEquals(test.Parameters, PARAMETERS);
assertEquals(test.ValuationDateTime, VAL_DATE.atTime(TIME).atZone(ZONE));
}
public virtual void test_of_ZonedDateTime()
{
HullWhiteOneFactorPiecewiseConstantParametersProvider test = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(PARAMETERS, ACT_360, DATE_TIME);
assertEquals(test.DayCount, ACT_360);
assertEquals(test.Parameters, PARAMETERS);
assertEquals(test.ValuationDateTime, DATE_TIME);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
HullWhiteOneFactorPiecewiseConstantParametersProvider test1 = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(PARAMETERS, ACT_360, DATE_TIME);
coverImmutableBean(test1);
HullWhiteOneFactorPiecewiseConstantParameters @params = HullWhiteOneFactorPiecewiseConstantParameters.of(0.02, DoubleArray.of(0.01, 0.011, 0.014), DoubleArray.of(0.5, 5.0));
HullWhiteOneFactorPiecewiseConstantParametersProvider test2 = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(@params, ACT_ACT_ISDA, DATE_TIME.plusDays(1));
coverBeanEquals(test1, test2);
}
public virtual void test_futuresConvexityFactorAdjoint()
{
HullWhiteOneFactorPiecewiseConstantParametersProvider provider = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(PARAMETERS, ACT_360, DATE_TIME);
LocalDate data1 = LocalDate.of(2015, 5, 14);
LocalDate data2 = LocalDate.of(2015, 5, 20);
LocalDate data3 = LocalDate.of(2015, 8, 20);
ValueDerivatives computed = provider.futuresConvexityFactorAdjoint(data1, data2, data3);
ValueDerivatives expected = HullWhiteOneFactorPiecewiseConstantInterestRateModel.DEFAULT.futuresConvexityFactorAdjoint(PARAMETERS, ACT_360.relativeYearFraction(VAL_DATE, data1), ACT_360.relativeYearFraction(VAL_DATE, data2), ACT_360.relativeYearFraction(VAL_DATE, data3));
assertEquals(computed, expected);
}
public virtual void test_alpha()
{
HullWhiteOneFactorPiecewiseConstantParametersProvider provider = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(PARAMETERS, ACT_360, DATE_TIME);
LocalDate data1 = LocalDate.of(2015, 5, 20);
LocalDate data2 = LocalDate.of(2015, 8, 20);
LocalDate data3 = LocalDate.of(2015, 8, 20);
LocalDate data4 = LocalDate.of(2015, 8, 27);
double computed = provider.alpha(data1, data2, data3, data4);
double expected = HullWhiteOneFactorPiecewiseConstantInterestRateModel.DEFAULT.alpha(PARAMETERS, ACT_360.relativeYearFraction(VAL_DATE, data1), ACT_360.relativeYearFraction(VAL_DATE, data2), ACT_360.relativeYearFraction(VAL_DATE, data3), ACT_360.relativeYearFraction(VAL_DATE, data4));
assertEquals(computed, expected);
}
public virtual void test_serialization()
{
HullWhiteOneFactorPiecewiseConstantParametersProvider test = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(PARAMETERS, ACT_360, DATE_TIME);
assertSerialization(test);
}