static ForwardOvernightAveragedDailyRateComputationFnTest()
{
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < FIXING_DATES.Length; ++i)
{
builder.put(FIXING_DATES[i], FIXING_RATES[i]);
}
TIME_SERIES = builder.build();
}
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]);
}
}
/// <summary>
/// Obtains time series of price index up to valuation date.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the time series </returns>
public static LocalDateDoubleTimeSeries getTimeSeries(LocalDate valuationDate)
{
LocalDate[] dates = new LocalDate[] { LocalDate.of(2005, 1, 31), LocalDate.of(2005, 2, 28), LocalDate.of(2005, 3, 31), LocalDate.of(2005, 4, 30), LocalDate.of(2005, 5, 31), LocalDate.of(2005, 6, 30), LocalDate.of(2005, 7, 31), LocalDate.of(2005, 8, 31), LocalDate.of(2005, 9, 30), LocalDate.of(2005, 10, 31), LocalDate.of(2005, 11, 30), LocalDate.of(2005, 12, 31), LocalDate.of(2006, 1, 31), LocalDate.of(2006, 2, 28), LocalDate.of(2006, 3, 31), LocalDate.of(2006, 4, 30), LocalDate.of(2006, 5, 31), LocalDate.of(2006, 6, 30), LocalDate.of(2006, 7, 31), LocalDate.of(2006, 8, 31), LocalDate.of(2006, 9, 30), LocalDate.of(2006, 10, 31), LocalDate.of(2006, 11, 30), LocalDate.of(2006, 12, 31), LocalDate.of(2007, 1, 31), LocalDate.of(2007, 2, 28), LocalDate.of(2007, 3, 31), LocalDate.of(2007, 4, 30), LocalDate.of(2007, 5, 31), LocalDate.of(2007, 6, 30), LocalDate.of(2007, 7, 31), LocalDate.of(2007, 8, 31), LocalDate.of(2007, 9, 30), LocalDate.of(2007, 10, 31), LocalDate.of(2007, 11, 30), LocalDate.of(2007, 12, 31), LocalDate.of(2008, 1, 31), LocalDate.of(2008, 2, 29), LocalDate.of(2008, 3, 31), LocalDate.of(2008, 4, 30), LocalDate.of(2008, 5, 31), LocalDate.of(2008, 6, 30), LocalDate.of(2008, 7, 31), LocalDate.of(2008, 8, 31), LocalDate.of(2008, 9, 30), LocalDate.of(2008, 10, 31), LocalDate.of(2008, 11, 30), LocalDate.of(2008, 12, 31), LocalDate.of(2009, 1, 31), LocalDate.of(2009, 2, 28), LocalDate.of(2009, 3, 31), LocalDate.of(2009, 4, 30), LocalDate.of(2009, 5, 31), LocalDate.of(2009, 6, 30), LocalDate.of(2009, 7, 31), LocalDate.of(2009, 8, 31), LocalDate.of(2009, 9, 30), LocalDate.of(2009, 10, 31), LocalDate.of(2009, 11, 30), LocalDate.of(2009, 12, 31), LocalDate.of(2010, 1, 31), LocalDate.of(2010, 2, 28), LocalDate.of(2010, 3, 31), LocalDate.of(2010, 4, 30), LocalDate.of(2010, 5, 31), LocalDate.of(2010, 6, 30), LocalDate.of(2010, 7, 31), LocalDate.of(2010, 8, 31), LocalDate.of(2010, 9, 30), LocalDate.of(2010, 10, 31), LocalDate.of(2010, 11, 30), LocalDate.of(2010, 12, 31), LocalDate.of(2011, 1, 31), LocalDate.of(2011, 2, 28), LocalDate.of(2011, 3, 31), LocalDate.of(2011, 4, 30), LocalDate.of(2011, 5, 31), LocalDate.of(2011, 6, 30), LocalDate.of(2011, 7, 31), LocalDate.of(2011, 8, 31), LocalDate.of(2011, 9, 30), LocalDate.of(2011, 10, 31), LocalDate.of(2011, 11, 30), LocalDate.of(2011, 12, 31), LocalDate.of(2012, 1, 31), LocalDate.of(2012, 2, 29), LocalDate.of(2012, 3, 31), LocalDate.of(2012, 4, 30), LocalDate.of(2012, 5, 31), LocalDate.of(2012, 6, 30), LocalDate.of(2012, 7, 31), LocalDate.of(2012, 8, 31), LocalDate.of(2012, 9, 30), LocalDate.of(2012, 10, 31), LocalDate.of(2012, 11, 30), LocalDate.of(2012, 12, 31), LocalDate.of(2013, 1, 31), LocalDate.of(2013, 2, 28), LocalDate.of(2013, 3, 31), LocalDate.of(2013, 4, 30), LocalDate.of(2013, 5, 31), LocalDate.of(2013, 6, 30), LocalDate.of(2013, 7, 31), LocalDate.of(2013, 8, 31), LocalDate.of(2013, 9, 30), LocalDate.of(2013, 10, 31), LocalDate.of(2013, 11, 30), LocalDate.of(2013, 12, 31), LocalDate.of(2014, 1, 31), LocalDate.of(2014, 2, 28), LocalDate.of(2014, 3, 31), LocalDate.of(2014, 4, 30), LocalDate.of(2014, 5, 31), LocalDate.of(2014, 6, 30), LocalDate.of(2014, 7, 31), LocalDate.of(2014, 8, 31), LocalDate.of(2014, 9, 30), LocalDate.of(2014, 10, 31), LocalDate.of(2014, 11, 30), LocalDate.of(2014, 12, 31), LocalDate.of(2015, 1, 31), LocalDate.of(2015, 2, 28), LocalDate.of(2015, 3, 31), LocalDate.of(2015, 4, 30), LocalDate.of(2015, 5, 31), LocalDate.of(2015, 6, 30), LocalDate.of(2015, 7, 31), LocalDate.of(2015, 8, 31), LocalDate.of(2015, 9, 30), LocalDate.of(2015, 10, 31), LocalDate.of(2015, 11, 30), LocalDate.of(2015, 12, 31), LocalDate.of(2016, 1, 31) };
double[] values = new double[] { 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 216.687, 216.741, 217.631, 218.009, 218.178, 217.965, 218.011, 218.312, 218.439, 218.711, 218.803, 219.179, 220.223, 221.309, 223.467, 224.906, 225.964, 225.722, 225.922, 226.545, 226.889, 226.421, 226.23, 225.672, 226.655, 227.663, 229.392, 230.085, 229.815, 229.478, 229.104, 230.379, 231.407, 231.317, 230.221, 229.601, 230.28, 232.166, 232.773, 232.531, 232.945, 233.504, 233.596, 233.877, 234.149, 233.546, 233.069, 233.049, 233.916, 234.781, 236.293, 237.072, 237.9, 238.343, 238.25, 237.852, 238.031, 237.433, 236.151, 234.812, 233.707, 234.722, 236.119, 236.599, 237.805, 238.638, 238.654, 238.316, 237.945, 237.838, 237.336, 236.525, 236.916 };
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < values.Length; ++i)
{
if (dates[i].isBefore(valuationDate))
{
builder.put(dates[i], values[i]);
}
}
return(builder.build());
}
public virtual void test_periodRatePointSensitivity_onholidaybeforepublication()
{
LocalDate lastFixingDate = LocalDate.of(2017, 6, 30);
LocalDate gbdBeforeValDate = LocalDate.of(2017, 7, 3);
LocalDate gbdAfterValDate = LocalDate.of(2017, 7, 5);
double fixingValue = 0.0010;
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(-1.0d, 10.0d), DoubleArray.of(0.01, 0.02), INTERPOLATOR);
ZeroRateDiscountFactors df = ZeroRateDiscountFactors.of(USD, LocalDate.of(2017, 7, 4), curve);
LocalDateDoubleTimeSeries series = LocalDateDoubleTimeSeries.builder().put(lastFixingDate, fixingValue).build();
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(USD_FED_FUND, df, series);
OvernightIndexObservation obs = OvernightIndexObservation.of(USD_FED_FUND, gbdBeforeValDate, REF_DATA);
OvernightRateSensitivity expected = OvernightRateSensitivity.ofPeriod(obs, gbdAfterValDate, USD, 1d);
assertEquals(test.periodRatePointSensitivity(obs, gbdAfterValDate), expected);
}
static ImmutableRatesProviderSimpleData()
{
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_eur = DoubleArray.of(0.0, 0.1, 0.25, 0.5, 0.75, 1.0, 2.0);
DoubleArray rate_eur = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.0140);
InterpolatedNodalCurve dscCurve = InterpolatedNodalCurve.of(Curves.zeroRates("EUR-Discount", ACT_365F), time_eur, rate_eur, interp);
DoubleArray time_index = DoubleArray.of(0.0, 0.25, 0.5, 1.0);
DoubleArray rate_index = DoubleArray.of(0.0180, 0.0180, 0.0175, 0.0165);
InterpolatedNodalCurve indexCurve = InterpolatedNodalCurve.of(Curves.zeroRates("EUR-EURIBOR6M", ACT_365F), time_index, rate_index, interp);
IMM_PROV_EUR_NOFIX = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(EUR, dscCurve).iborIndexCurve(EUR_EURIBOR_6M, indexCurve).build();
LocalDateDoubleTimeSeries tsE6 = LocalDateDoubleTimeSeries.builder().put(VAL_DATE, 0.012345).build();
IMM_PROV_EUR_FIX = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(EUR, dscCurve).iborIndexCurve(EUR_EURIBOR_6M, indexCurve, tsE6).build();
}
/// <summary>
/// Obtains time series of price index up to valuation date.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the time series </returns>
public static LocalDateDoubleTimeSeries getTimeSeriesJp(LocalDate valuationDate)
{
LocalDate[] dates = new LocalDate[] { LocalDate.of(2013, 1, 31), LocalDate.of(2013, 2, 28), LocalDate.of(2013, 3, 31), LocalDate.of(2013, 4, 30), LocalDate.of(2013, 5, 31), LocalDate.of(2013, 6, 30), LocalDate.of(2013, 7, 31), LocalDate.of(2013, 8, 31), LocalDate.of(2013, 9, 30), LocalDate.of(2013, 10, 31), LocalDate.of(2013, 11, 30), LocalDate.of(2013, 12, 31), LocalDate.of(2014, 1, 31), LocalDate.of(2014, 2, 28), LocalDate.of(2014, 3, 31), LocalDate.of(2014, 4, 30), LocalDate.of(2014, 5, 31), LocalDate.of(2014, 6, 30), LocalDate.of(2014, 7, 31), LocalDate.of(2014, 8, 31), LocalDate.of(2014, 9, 30), LocalDate.of(2014, 10, 31), LocalDate.of(2014, 11, 30), LocalDate.of(2014, 12, 31), LocalDate.of(2015, 1, 31), LocalDate.of(2015, 2, 28), LocalDate.of(2015, 3, 31), LocalDate.of(2015, 4, 30), LocalDate.of(2015, 5, 31), LocalDate.of(2015, 6, 30), LocalDate.of(2015, 7, 31), LocalDate.of(2015, 8, 31), LocalDate.of(2015, 9, 30), LocalDate.of(2015, 10, 31), LocalDate.of(2015, 11, 30), LocalDate.of(2015, 12, 31), LocalDate.of(2016, 1, 31) };
double[] values = new double[] { 99.1, 99.2, 99.5, 99.8, 100, 100, 100.1, 100.4, 100.5, 100.7, 100.7, 100.6, 100.4, 100.5, 100.8, 103, 103.4, 103.4, 103.5, 103.5, 103.5, 103.6, 103.4, 103.2, 102.6, 102.5, 103, 103.3, 103.4, 103.4, 103.4, 103.4, 103.4, 103.5, 103.4, 103.3 };
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < values.Length; ++i)
{
if (dates[i].isBefore(valuationDate))
{
builder.put(dates[i], values[i]);
}
}
return(builder.build());
}
/// <summary>
/// Obtains time series of price index up to valuation date.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the time series </returns>
public static LocalDateDoubleTimeSeries getTimeSeriesGb(LocalDate valuationDate)
{
LocalDate[] dates = new LocalDate[] { LocalDate.of(2015, 1, 31), LocalDate.of(2015, 2, 28), LocalDate.of(2015, 3, 31), LocalDate.of(2015, 4, 30), LocalDate.of(2015, 5, 31), LocalDate.of(2015, 6, 30), LocalDate.of(2015, 7, 31), LocalDate.of(2015, 8, 31), LocalDate.of(2015, 9, 30), LocalDate.of(2015, 10, 31), LocalDate.of(2015, 11, 30), LocalDate.of(2015, 12, 31), LocalDate.of(2016, 1, 31) };
double[] values = new double[] { 255.4, 256.7, 257.1, 258.0, 258.5, 258.9, 258.6, 259.8, 259.6, 259.5, 259.8, 260.6, 258.8 };
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < values.Length; ++i)
{
if (dates[i].isBefore(valuationDate))
{
builder.put(dates[i], values[i]);
}
}
return(builder.build());
}
public virtual void test_combinedWith()
{
LocalDateDoubleTimeSeries timeSeries1 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 1).put(date(2011, 3, 9), 2).put(date(2011, 3, 10), 3).build();
LocalDateDoubleTimeSeries timeSeries2 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 10).put(date(2011, 3, 9), 20).put(date(2011, 3, 10), 30).build();
LocalDateDoubleTimeSeries timeSeries2a = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 1000).put(date(2011, 3, 9), 2000).put(date(2011, 3, 10), 3000).build();
LocalDateDoubleTimeSeries timeSeries3 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 100).put(date(2011, 3, 9), 200).put(date(2011, 3, 10), 300).build();
ImmutableScenarioMarketData marketData1 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).build();
ImmutableScenarioMarketData marketData2 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 10)).addTimeSeries(TEST_ID2, timeSeries2a).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(21.0, 21.1, 21.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
// marketData1 values should be in the combined data when the same ID is present in both
ImmutableScenarioMarketData expected = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
ScenarioMarketData combined = marketData1.combinedWith(marketData2);
assertThat(combined).isEqualTo(expected);
assertThat(combined.Ids).isEqualTo(ImmutableSet.of(TEST_ID1, TEST_ID2, TEST_ID3));
}