private UnitParameterSensitivities unitParameterSensitivity(YearMonth month)
{
// If fixing in the past, check time series and returns the historic month price index if present
if (month.isBefore(YearMonth.from(valuationDate)))
{
if (fixings.get(month.atEndOfMonth()).HasValue)
{
return(UnitParameterSensitivities.empty());
}
}
double nbMonth = numberOfMonths(month);
return(UnitParameterSensitivities.of(curve.yValueParameterSensitivity(nbMonth)));
}
//-------------------------------------------------------------------------
public PointSensitivityBuilder valuePointSensitivity(PriceIndexObservation observation)
{
YearMonth fixingMonth = observation.FixingMonth;
// If fixing in the past, check time series and returns the historic month price index if present
if (fixingMonth.isBefore(YearMonth.from(valuationDate)))
{
if (fixings.get(fixingMonth.atEndOfMonth()).HasValue)
{
return(PointSensitivityBuilder.none());
}
}
return(InflationRateSensitivity.of(observation, 1d));
}
public virtual void test_value_parameter_sensitivity_futfixing()
{
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
YearMonth fixingMonth = TEST_OBS[i].FixingMonth;
if (!fixingMonth.isBefore(YearMonth.from(VAL_DATE_2)) && !USCPI_TS.containsDate(fixingMonth.atEndOfMonth()))
{
InflationRateSensitivity ptsExpected = (InflationRateSensitivity)InflationRateSensitivity.of(TEST_OBS[i], 1d);
CurrencyParameterSensitivities psComputed = INSTANCE_WITH_FUTFIXING.parameterSensitivity(ptsExpected);
double x = YearMonth.from(VAL_DATE_2).until(fixingMonth, MONTHS);
UnitParameterSensitivities sens1 = UnitParameterSensitivities.of(CURVE_INFL2.yValueParameterSensitivity(x));
CurrencyParameterSensitivities psExpected = sens1.multipliedBy(ptsExpected.Currency, ptsExpected.Sensitivity);
assertTrue(psComputed.equalWithTolerance(psExpected, TOLERANCE_DELTA), "test " + i);
}
}
}
public virtual void test_value_pts_sensitivity_futfixing()
{
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
PointSensitivityBuilder ptsComputed = INSTANCE_WITH_FUTFIXING.valuePointSensitivity(TEST_OBS[i]);
YearMonth fixingMonth = TEST_OBS[i].FixingMonth;
PointSensitivityBuilder ptsExpected;
if (fixingMonth.isBefore(YearMonth.from(VAL_DATE_2)) && USCPI_TS.containsDate(fixingMonth.atEndOfMonth()))
{
ptsExpected = PointSensitivityBuilder.none();
}
else
{
ptsExpected = InflationRateSensitivity.of(TEST_OBS[i], 1d);
}
assertTrue(ptsComputed.build().equalWithTolerance(ptsExpected.build(), TOLERANCE_VALUE), "test " + i);
}
}
//-------------------------------------------------------------------------
public double value(PriceIndexObservation observation)
{
YearMonth fixingMonth = observation.FixingMonth;
// If fixing in the past, check time series and returns the historic month price index if present
if (fixingMonth.isBefore(YearMonth.from(valuationDate)))
{
double?fixing = fixings.get(fixingMonth.atEndOfMonth());
if (fixing.HasValue)
{
return(fixing.Value);
}
}
// otherwise, return the estimate from the curve.
double nbMonth = numberOfMonths(fixingMonth);
return(curve.yValue(nbMonth));
}
/* Test values when a fixing in the futures in present in the TS. */
public virtual void test_value_futfixing()
{
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
double valueComputed = INSTANCE_WITH_FUTFIXING.value(TEST_OBS[i]);
YearMonth fixingMonth = TEST_OBS[i].FixingMonth;
double valueExpected;
if (fixingMonth.isBefore(YearMonth.from(VAL_DATE_2)) && USCPI_TS.containsDate(fixingMonth.atEndOfMonth()))
{
valueExpected = USCPI_TS.get(fixingMonth.atEndOfMonth()).Value;
}
else
{
double x = YearMonth.from(VAL_DATE_2).until(fixingMonth, MONTHS);
valueExpected = CURVE_INFL2.yValue(x);
}
assertEquals(valueComputed, valueExpected, TOLERANCE_VALUE, "test " + i);
}
}
/// <summary>
/// Obtains an instance from a curve without initial fixing point and month-on-month seasonal adjustment.
/// <para>
/// The total adjustment is computed by accumulation of the monthly adjustment, starting with no adjustment for the
/// last fixing month.
///
/// </para>
/// </summary>
/// <param name="curveWithoutFixing"> the curve without the fixing </param>
/// <param name="valuationDate"> the valuation date of the curve </param>
/// <param name="lastMonth"> the last month for which the fixing is known </param>
/// <param name="lastFixingValue"> the value of the last fixing </param>
/// <param name="seasonalityDefinition"> the seasonality definition, which is made of month-on-month adjustment
/// and the adjustment type </param>
/// <returns> the seasonal curve instance </returns>
public static InflationNodalCurve of(NodalCurve curveWithoutFixing, LocalDate valuationDate, YearMonth lastMonth, double lastFixingValue, SeasonalityDefinition seasonalityDefinition)
{
YearMonth valuationMonth = YearMonth.from(valuationDate);
ArgChecker.isTrue(lastMonth.isBefore(valuationMonth), "Last fixing month must be before valuation date");
double nbMonth = valuationMonth.until(lastMonth, MONTHS);
DoubleArray x = curveWithoutFixing.XValues;
ArgChecker.isTrue(nbMonth < x.get(0), "The first estimation month should be after the last known index fixing");
NodalCurve extendedCurve = curveWithoutFixing.withNode(nbMonth, lastFixingValue, ParameterMetadata.empty());
double[] seasonalityCompoundedArray = new double[12];
int lastMonthIndex = lastMonth.Month.Value - 1;
seasonalityCompoundedArray[(int)((nbMonth + 12 + 1) % 12)] = seasonalityDefinition.SeasonalityMonthOnMonth.get(lastMonthIndex % 12);
for (int i = 1; i < 12; i++)
{
int j = (int)((nbMonth + 12 + 1 + i) % 12);
seasonalityCompoundedArray[j] = seasonalityDefinition.AdjustmentType.applyShift(seasonalityCompoundedArray[(j - 1 + 12) % 12], seasonalityDefinition.SeasonalityMonthOnMonth.get((lastMonthIndex + i) % 12));
}
return(new InflationNodalCurve(extendedCurve, DoubleArray.ofUnsafe(seasonalityCompoundedArray), seasonalityDefinition.AdjustmentType));
}