//-------------------------------------------------------------------------
public virtual void test_of()
{
SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE);
assertEquals(test.Currency, GBP);
assertEquals(test.ValuationDate, DATE_VAL);
assertEquals(test.Curve, CURVE);
assertEquals(test.ParameterCount, CURVE.ParameterCount);
assertEquals(test.getParameter(0), CURVE.getParameter(0));
assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0));
assertEquals(test.withParameter(0, 1d).Curve, CURVE.withParameter(0, 1d));
assertEquals(test.withPerturbation((i, v, m) => v + 1d).Curve, CURVE.withPerturbation((i, v, m) => v + 1d));
assertEquals(test.findData(CURVE.Name), CURVE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
}
//-------------------------------------------------------------------------
private InterpolatedNodalCurve fitSwap(int curveIndex, BasicFixedLeg swap, InterpolatedNodalCurve curve, double swapRate)
{
int nPayments = swap.NumPayments;
int nNodes = curve.ParameterCount;
double t1 = curveIndex == 0 ? 0.0 : curve.XValues.get(curveIndex - 1);
double t2 = curveIndex == nNodes - 1 ? double.PositiveInfinity : curve.XValues.get(curveIndex + 1);
double temp = 0;
double temp2 = 0;
int i1 = 0;
int i2 = nPayments;
double[] paymentAmounts = new double[nPayments];
for (int i = 0; i < nPayments; i++)
{
double t = swap.getPaymentTime(i);
paymentAmounts[i] = swap.getPaymentAmounts(i, swapRate);
if (t <= t1)
{
double df = Math.Exp(-curve.yValue(t) * t);
temp += paymentAmounts[i] * df;
temp2 += paymentAmounts[i] * t *df *curve.yValueParameterSensitivity(t).Sensitivity.get(curveIndex);
i1++;
}
else if (t >= t2)
{
double df = Math.Exp(-curve.yValue(t) * t);
temp += paymentAmounts[i] * df;
temp2 -= paymentAmounts[i] * t *df *curve.yValueParameterSensitivity(t).Sensitivity.get(curveIndex);
i2--;
}
}
double cachedValues = temp;
double cachedSense = temp2;
int index1 = i1;
int index2 = i2;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: java.util.function.Function<double, double> func = new java.util.function.Function<double, double>()
System.Func <double, double> func = (double?x) =>
{
InterpolatedNodalCurve tempCurve = curve.withParameter(curveIndex, x);
double sum = 1.0 - cachedValues; // Floating leg at par
for (int i = index1; i < index2; i++)
{
double t = swap.getPaymentTime(i);
sum -= paymentAmounts[i] * Math.Exp(-tempCurve.yValue(t) * t);
}
return(sum);
};
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: java.util.function.Function<double, double> grad = new java.util.function.Function<double, double>()
System.Func <double, double> grad = (double?x) =>
{
InterpolatedNodalCurve tempCurve = curve.withParameter(curveIndex, x);
double sum = cachedSense;
for (int i = index1; i < index2; i++)
{
double t = swap.getPaymentTime(i);
sum += swap.getPaymentAmounts(i, swapRate) * t * Math.Exp(-tempCurve.yValue(t) * t) * tempCurve.yValueParameterSensitivity(t).Sensitivity.get(curveIndex);
}
return(sum);
};
double guess = curve.getParameter(curveIndex);
if (guess == 0.0 && func(guess) == 0.0)
{
return(curve);
}
double[] bracket = guess > 0d ? BRACKETER.getBracketedPoints(func, 0.8 * guess, 1.25 * guess, double.NegativeInfinity, double.PositiveInfinity) : BRACKETER.getBracketedPoints(func, 1.25 * guess, 0.8 * guess, double.NegativeInfinity, double.PositiveInfinity);
double r = rootFinder.getRoot(func, grad, bracket[0], bracket[1]).Value;
return(curve.withParameter(curveIndex, r));
}
public virtual void test_withParameter()
{
IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE).withParameter(1, 0.55);
IsdaCreditDiscountFactors exp = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE.withParameter(1, 0.55));
assertEquals(test, exp);
}
