public virtual void test_withPerturbation()
{
CombinedCurve computed = COMBINED_CURVE.withPerturbation((i, v, m) => 2d * v * i);
CombinedCurve expected = CombinedCurve.of(BASE_CURVE.withPerturbation((i, v, m) => 2d * v * i), SPREAD_CURVE.withPerturbation((i, v, m) => 2d * v * (i + BASE_CURVE.ParameterCount)));
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
coverImmutableBean(COMBINED_CURVE);
CombinedCurve test = CombinedCurve.of(ConstantCurve.of(DefaultCurveMetadata.builder().curveName("name1").xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).build(), 1d), ConstantCurve.of(DefaultCurveMetadata.builder().curveName("name2").xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).build(), 2d));
coverBeanEquals(COMBINED_CURVE, test);
}
//-------------------------------------------------------------------------
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 override CombinedCurve withPerturbation(ParameterPerturbation perturbation)
{
Curve newBaseCurve = baseCurve.withPerturbation((idx, value, meta) => perturbation(idx, baseCurve.getParameter(idx), baseCurve.getParameterMetadata(idx)));
int offset = baseCurve.ParameterCount;
Curve newSpreadCurve = spreadCurve.withPerturbation((idx, value, meta) => perturbation(idx + offset, spreadCurve.getParameter(idx), spreadCurve.getParameterMetadata(idx)));
IList <ParameterMetadata> newParamMeta = Stream.concat(IntStream.range(0, newBaseCurve.ParameterCount).mapToObj(i => newBaseCurve.getParameterMetadata(i)), IntStream.range(0, newSpreadCurve.ParameterCount).mapToObj(i => newSpreadCurve.getParameterMetadata(i))).collect(toImmutableList());
return(CombinedCurve.of(newBaseCurve, newSpreadCurve, metadata.withParameterMetadata(newParamMeta)));
}
public virtual void test_withParameter()
{
CombinedCurve computed1 = COMBINED_CURVE.withParameter(1, 12.5);
CombinedCurve expected1 = CombinedCurve.of(BASE_CURVE.withParameter(1, 12.5), SPREAD_CURVE);
assertEquals(computed1, expected1);
CombinedCurve computed2 = COMBINED_CURVE.withParameter(5, 7.5);
CombinedCurve expected2 = CombinedCurve.of(BASE_CURVE, SPREAD_CURVE.withParameter(5 - BASE_CURVE.ParameterCount, 7.5));
assertEquals(computed2, expected2);
}
//-------------------------------------------------------------------------
public virtual void test_withMetadata()
{
IList <ParameterMetadata> combinedParamMeta = new List <ParameterMetadata>();
((IList <ParameterMetadata>)combinedParamMeta).AddRange(PARAM_METADATA_BASE);
((IList <ParameterMetadata>)combinedParamMeta).AddRange(PARAM_METADATA_SPREAD);
CurveMetadata newMetadata = DefaultCurveMetadata.builder().curveName("newName").xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).parameterMetadata(combinedParamMeta).build();
CombinedCurve computed = COMBINED_CURVE.withMetadata(newMetadata);
CombinedCurve expected = CombinedCurve.of(BASE_CURVE, SPREAD_CURVE, newMetadata);
assertEquals(computed, expected);
}
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 override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
CombinedCurve other = (CombinedCurve)obj;
return(JodaBeanUtils.equal(baseCurve, other.baseCurve) && JodaBeanUtils.equal(spreadCurve, other.spreadCurve) && JodaBeanUtils.equal(metadata, other.metadata));
}
return(false);
}
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));
}
