public virtual void test_resolveValues_indexBased_indexTooBig()
{
ValueStep step = ValueStep.of(3, ValueAdjustment.ofReplace(300d));
ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step));
assertThrowsIllegalArg(() => test.resolveValues(SCHEDULE));
}
//-------------------------------------------------------------------------
public virtual void of()
{
CalculationResults test = CalculationResults.of(TARGET, ImmutableList.of(CALC_RESULT));
assertEquals(test.Target, TARGET);
assertEquals(test.Cells, ImmutableList.of(CALC_RESULT));
}
public virtual void test_build()
{
FxOptionSensitivity @base = FxOptionSensitivity.of(NAME, PAIR, EXPIRY, STRIKE, FORWARD, GBP, SENSI_VALUE);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public virtual void test_of_list()
{
FailureItems test = FailureItems.of(ImmutableList.of(FAILURE1, FAILURE2));
assertEquals(test.Empty, false);
assertEquals(test.Failures, ImmutableList.of(FAILURE1, FAILURE2));
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
IborFutureOptionSensitivity @base = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public virtual void test_of_list_size1()
{
PointSensitivities test = PointSensitivityBuilder.of(ImmutableList.of(SENS)).build();
assertEquals(test.size(), 1);
assertEquals(test.Sensitivities.get(0), SENS);
}
public virtual void test_of()
{
ValuationZoneTimeDefinition test = ValuationZoneTimeDefinition.of(LocalTime.MIDNIGHT, ZONE_ID, LOCAL_TIME_1, LOCAL_TIME_2, LOCAL_TIME_3);
assertEquals(test.LocalTimes, ImmutableList.of(LOCAL_TIME_1, LOCAL_TIME_2, LOCAL_TIME_3));
assertEquals(test.ZoneId, ZONE_ID);
}
public virtual void test_of_List()
{
PointSensitivities test = PointSensitivities.of(Lists.newArrayList(CS1, CS2));
assertEquals(test.Sensitivities, ImmutableList.of(CS1, CS2));
assertEquals(test.size(), 2);
}
public virtual void test_of_intStepsArray()
{
ValueSchedule test = ValueSchedule.of(10000d, STEP1, STEP2);
assertEquals(test.InitialValue, 10000d, TOLERANCE);
assertEquals(test.Steps, ImmutableList.of(STEP1, STEP2));
}
public virtual void test_of_intStepsList_empty()
{
ValueSchedule test = ValueSchedule.of(10000d, Lists.newArrayList());
assertEquals(test.InitialValue, 10000d, TOLERANCE);
assertEquals(test.Steps, ImmutableList.of());
}
public virtual void test_constant_ALWAYS_1()
{
ValueSchedule test = ValueSchedule.ALWAYS_1;
assertEquals(test.InitialValue, 1d, TOLERANCE);
assertEquals(test.Steps, ImmutableList.of());
}
public virtual void test_resolveValues_dateBased_invalidDateAfter()
{
ValueStep step = ValueStep.of(date(2014, 4, 3), ValueAdjustment.ofReplace(300d));
ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step));
assertThrowsIllegalArg(() => test.resolveValues(SCHEDULE), "ValueStep date is after the end of the schedule.*");
}
public virtual void test_resolveValues_dateBased_invalidChangeValue()
{
ValueStep step = ValueStep.of(date(2014, 4, 1), ValueAdjustment.ofReplace(300d));
ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step));
assertThrowsIllegalArg(() => test.resolveValues(SCHEDULE), "ValueStep date does not match a period boundary.*");
}
//-------------------------------------------------------------------------
public virtual void test_mergeToTerm()
{
Schedule testNormal = Schedule.builder().periods(ImmutableList.of(P1_STUB, P2_NORMAL, P3_NORMAL)).frequency(P1M).rollConvention(DAY_17).build();
assertEquals(testNormal.mergeToTerm(), Schedule.ofTerm(P1_3));
assertEquals(testNormal.mergeToTerm().mergeToTerm(), Schedule.ofTerm(P1_3));
}
//-------------------------------------------------------------------------
public virtual void test_combinedWith()
{
PointSensitivities test = PointSensitivities.of(Lists.newArrayList(CS2, CS1));
PointSensitivities test2 = PointSensitivities.of(Lists.newArrayList(CS3));
assertEquals(test.combinedWith(test2).Sensitivities, ImmutableList.of(CS2, CS1, CS3));
}
public virtual void test_merge_badDate()
{
Schedule test = Schedule.builder().periods(ImmutableList.of(P2_NORMAL, P3_NORMAL, P4_NORMAL, P5_NORMAL, P6_NORMAL)).frequency(P1M).rollConvention(DAY_17).build();
assertThrows(() => test.merge(2, JUL_03, AUG_17), typeof(ScheduleException));
assertThrows(() => test.merge(2, JUL_17, SEP_30), typeof(ScheduleException));
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
SwaptionSensitivity @base = SwaptionSensitivity.of(NAME, EXPIRY, TENOR, STRIKE, FORWARD, GBP, 32d);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
BondFutureOptionSensitivity @base = BondFutureOptionSensitivity.of(NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
InflationRateSensitivity @base = InflationRateSensitivity.of(GB_HICP_OBS, 3.5);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_EMPTY()
{
FailureItems test = FailureItems.EMPTY;
assertEquals(test.Empty, true);
assertEquals(test.Failures, ImmutableList.of());
}
public virtual void test_matching()
{
assertEquals(FpmlPartySelector.matching("a1").selectParties(MAP), ImmutableList.of("A"));
assertEquals(FpmlPartySelector.matching("a2").selectParties(MAP), ImmutableList.of("A"));
assertEquals(FpmlPartySelector.matching("b").selectParties(MAP), ImmutableList.of("B"));
assertEquals(FpmlPartySelector.matching("c").selectParties(MAP), ImmutableList.of());
}
public virtual void test_builder_addAll()
{
FailureItems test = FailureItems.builder().addAllFailures(ImmutableList.of(FAILURE1, FAILURE2)).build();
assertEquals(test.Empty, false);
assertEquals(test.Failures, ImmutableList.of(FAILURE1, FAILURE2));
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
CreditCurveZeroRateSensitivity @base = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, GBP, YEAR_FRACTION, 32d);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public virtual void of_list()
{
CalculationFunctions test = CalculationFunctions.of(ImmutableList.of(TARGET));
assertEquals(test.getFunction(new TestTarget()), TARGET);
assertEquals(test.findFunction(new TestTarget()), TARGET);
}
public virtual void test_of_size4_bothStubs()
{
Schedule test = Schedule.builder().periods(ImmutableList.of(P1_STUB, P2_NORMAL, P3_NORMAL, P4_STUB)).frequency(P1M).rollConvention(DAY_17).build();
assertEquals(test.size(), 4);
assertEquals(test.Term, false);
assertEquals(test.SinglePeriod, false);
assertEquals(test.Frequency, P1M);
assertEquals(test.RollConvention, DAY_17);
assertEquals(test.EndOfMonthConvention, false);
assertEquals(test.Periods, ImmutableList.of(P1_STUB, P2_NORMAL, P3_NORMAL, P4_STUB));
assertEquals(test.getPeriod(0), P1_STUB);
assertEquals(test.getPeriod(1), P2_NORMAL);
assertEquals(test.getPeriod(2), P3_NORMAL);
assertEquals(test.getPeriod(3), P4_STUB);
assertEquals(test.StartDate, P1_STUB.StartDate);
assertEquals(test.EndDate, P4_STUB.EndDate);
assertEquals(test.UnadjustedStartDate, P1_STUB.UnadjustedStartDate);
assertEquals(test.UnadjustedEndDate, P4_STUB.UnadjustedEndDate);
assertEquals(test.FirstPeriod, P1_STUB);
assertEquals(test.LastPeriod, P4_STUB);
assertEquals(test.InitialStub, P1_STUB);
assertEquals(test.FinalStub, P4_STUB);
assertEquals(test.RegularPeriods, ImmutableList.of(P2_NORMAL, P3_NORMAL));
assertThrows(() => test.getPeriod(4), typeof(System.IndexOutOfRangeException));
assertEquals(test.UnadjustedDates, ImmutableList.of(JUL_04, JUL_17, AUG_17, SEP_17, SEP_30));
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_isEndOfMonthConvention_eom()
{
// schedule doesn't make sense, but test only requires roll convention of EOM
Schedule test = Schedule.builder().periods(ImmutableList.of(P2_NORMAL, P3_NORMAL)).frequency(P1M).rollConvention(RollConventions.EOM).build();
assertEquals(test.EndOfMonthConvention, true);
}
public virtual void of_list()
{
CalculationParameters test = CalculationParameters.of(ImmutableList.of(PARAM));
assertEquals(test.Parameters.size(), 1);
assertEquals(test.findParameter(typeof(TestParameter)), PARAM);
}
public virtual void test_resolveValues_dateBased_indexZeroValid()
{
ValueStep step = ValueStep.of(date(2014, 1, 1), ValueAdjustment.ofReplace(300d));
ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step));
assertEquals(test.resolveValues(SCHEDULE), DoubleArray.of(300d, 300d, 300d));
}
