public virtual void test_bind_no_seasonality()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addForwardCurve(CURVE_DEFN_I, GB_RPI).build();
LocalDate valuationDate = LocalDate.of(2015, 11, 10);
LocalDate lastFixingDate = LocalDate.of(2015, 10, 31);
LocalDate otherFixingDate = LocalDate.of(2015, 9, 30);
double lastFixingValue = 234.56;
IDictionary <Index, LocalDateDoubleTimeSeries> map = ImmutableMap.of(GB_RPI, LocalDateDoubleTimeSeries.builder().put(lastFixingDate, 234.56).put(otherFixingDate, lastFixingValue - 1).build());
RatesCurveGroupDefinition testBound = test.bindTimeSeries(valuationDate, map);
IList <CurveDefinition> list = testBound.CurveDefinitions;
assertEquals(list.Count, 2);
assertTrue(list[0] is InterpolatedNodalCurveDefinition);
assertTrue(list[1] is InflationNodalCurveDefinition);
InflationNodalCurveDefinition seasonDef = (InflationNodalCurveDefinition)list[1];
assertEquals(seasonDef.CurveWithoutFixingDefinition, CURVE_DEFN_I);
assertEquals(seasonDef.LastFixingMonth, YearMonth.from(lastFixingDate));
assertEquals(seasonDef.LastFixingValue, lastFixingValue);
assertEquals(seasonDef.Name, CURVE_NAME_I);
assertEquals(seasonDef.YValueType, ValueType.PRICE_INDEX);
// Check the default
assertTrue(seasonDef.SeasonalityDefinition.SeasonalityMonthOnMonth.equalWithTolerance(DoubleArray.filled(12, 1d), 1.0E-10));
assertEquals(seasonDef.SeasonalityDefinition.AdjustmentType, ShiftType.SCALED);
}
public virtual void test_builder()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
assertEquals(test.CurveWithoutFixingDefinition, UNDERLYING_DEF);
assertEquals(test.LastFixingMonth, LAST_FIX_MONTH);
assertEquals(test.LastFixingValue, LAST_FIX_VALUE);
assertEquals(test.SeasonalityDefinition, SEASONALITY_DEF);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
coverImmutableBean(test);
InterpolatedNodalCurveDefinition underlyingDef2 = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("foo")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).nodes(NODES).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
SeasonalityDefinition seasonalityDef2 = SeasonalityDefinition.of(SEASONALITY_ADDITIVE, ShiftType.SCALED);
InflationNodalCurveDefinition test2 = new InflationNodalCurveDefinition(underlyingDef2, LAST_FIX_MONTH.plus(Period.ofMonths(1)), LAST_FIX_VALUE + 1.0d, seasonalityDef2);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_curve()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.PRICE_INDEX).dayCount(ACT_365F).parameterMetadata(NODES.get(0).metadata(VAL_DATE, REF_DATA), NODES.get(1).metadata(VAL_DATE, REF_DATA)).build();
LocalDate date0 = NODES.get(0).date(VAL_DATE, REF_DATA);
LocalDate date1 = NODES.get(1).date(VAL_DATE, REF_DATA);
DoubleArray param = DoubleArray.of(250.0d, 260.0d);
InterpolatedNodalCurve expectedUnderlying = InterpolatedNodalCurve.builder().metadata(metadata).xValues(DoubleArray.of(ACT_365F.yearFraction(VAL_DATE, date0), ACT_365F.yearFraction(VAL_DATE, date1))).yValues(param).interpolator(CurveInterpolators.LOG_LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
InflationNodalCurve expected = InflationNodalCurve.of(expectedUnderlying, VAL_DATE, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
assertEquals(test.curve(VAL_DATE, metadata, param), expected);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
InflationNodalCurveDefinition other = (InflationNodalCurveDefinition)obj;
return(JodaBeanUtils.equal(curveWithoutFixingDefinition, other.curveWithoutFixingDefinition) && JodaBeanUtils.equal(lastFixingMonth, other.lastFixingMonth) && JodaBeanUtils.equal(lastFixingValue, other.lastFixingValue) && JodaBeanUtils.equal(seasonalityDefinition, other.seasonalityDefinition));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_bind()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addForwardCurve(CURVE_DEFN_I, GB_RPI).addSeasonality(CURVE_NAME_I, SEASONALITY_ADDITIVE_DEF).build();
LocalDate valuationDate = LocalDate.of(2015, 11, 10);
LocalDate lastFixingDate = LocalDate.of(2015, 10, 31);
LocalDate otherFixingDate = LocalDate.of(2015, 9, 30);
double lastFixingValue = 234.56;
IDictionary <Index, LocalDateDoubleTimeSeries> map = ImmutableMap.of(GB_RPI, LocalDateDoubleTimeSeries.builder().put(lastFixingDate, 234.56).put(otherFixingDate, lastFixingValue - 1).build());
RatesCurveGroupDefinition testBound = test.bindTimeSeries(valuationDate, map);
IList <CurveDefinition> list = testBound.CurveDefinitions;
assertEquals(list.Count, 2);
assertTrue(list[0] is InterpolatedNodalCurveDefinition);
assertTrue(list[1] is InflationNodalCurveDefinition);
InflationNodalCurveDefinition seasonDef = (InflationNodalCurveDefinition)list[1];
assertEquals(seasonDef.CurveWithoutFixingDefinition, CURVE_DEFN_I);
assertEquals(seasonDef.LastFixingMonth, YearMonth.from(lastFixingDate));
assertEquals(seasonDef.LastFixingValue, lastFixingValue);
assertEquals(seasonDef.Name, CURVE_NAME_I);
assertEquals(seasonDef.SeasonalityDefinition, SEASONALITY_ADDITIVE_DEF);
assertEquals(seasonDef.YValueType, ValueType.PRICE_INDEX);
}
//-------------------------------------------------------------------------
public virtual void test_toCurveParameterSize()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
assertEquals(test.toCurveParameterSize(), CurveParameterSize.of(CURVE_NAME, NODES.size()));
}
//-------------------------------------------------------------------------
public virtual void test_metadata()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
DefaultCurveMetadata expected = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.PRICE_INDEX).dayCount(ACT_365F).parameterMetadata(NODES.get(0).metadata(VAL_DATE, REF_DATA), NODES.get(1).metadata(VAL_DATE, REF_DATA)).build();
assertEquals(test.metadata(VAL_DATE, REF_DATA), expected);
}
public virtual void test_serialization()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
assertSerialization(test);
}
