public virtual void createScenarioValue()
{
MarketDataBox <double> box = MarketDataBox.ofScenarioValues(1d, 2d, 3d);
QuoteScenarioArray quotesArray = KEY.createScenarioValue(box, 3);
assertThat(quotesArray.Quotes).isEqualTo(DoubleArray.of(1d, 2d, 3d));
}
public virtual void test_toZonedDateTime_scenario_long()
{
ValuationZoneTimeDefinition test = ValuationZoneTimeDefinition.of(LOCAL_TIME_1, ZONE_ID, LOCAL_TIME_1, LOCAL_TIME_2);
MarketDataBox <LocalDate> dates = MarketDataBox.ofScenarioValues(LocalDate.of(2016, 10, 21), LocalDate.of(2016, 10, 22), LocalDate.of(2016, 10, 23));
MarketDataBox <ZonedDateTime> computed = test.toZonedDateTime(dates);
MarketDataBox <ZonedDateTime> expected = MarketDataBox.ofScenarioValue(ScenarioArray.of(dates.getValue(0).atTime(LOCAL_TIME_1).atZone(ZONE_ID), dates.getValue(1).atTime(LOCAL_TIME_2).atZone(ZONE_ID), dates.getValue(2).atTime(LOCAL_TIME_1).atZone(ZONE_ID)));
assertEquals(computed, expected);
}
public virtual void test_applyTo()
{
double baseValue = 3d;
MarketDataBox <double> marketData = MarketDataBox.ofSingleValue(baseValue);
GenericDoubleShifts testScaled = GenericDoubleShifts.of(ShiftType.SCALED, SHIFT_AMOUNT, SPREAD);
MarketDataBox <double> computedScaled = testScaled.applyTo(marketData, REF_DATA);
MarketDataBox <double> expectedScaled = MarketDataBox.ofScenarioValues(ImmutableList.of((baseValue + SPREAD) * SHIFT_AMOUNT.get(0) - SPREAD, (baseValue + SPREAD) * SHIFT_AMOUNT.get(1) - SPREAD, (baseValue + SPREAD) * SHIFT_AMOUNT.get(2) - SPREAD));
assertEquals(computedScaled, expectedScaled);
GenericDoubleShifts testRelative = GenericDoubleShifts.of(ShiftType.RELATIVE, SHIFT_AMOUNT, SPREAD);
MarketDataBox <double> computedRelative = testRelative.applyTo(marketData, REF_DATA);
MarketDataBox <double> expectedRelative = MarketDataBox.ofScenarioValues(ImmutableList.of((baseValue + SPREAD) * (1d + SHIFT_AMOUNT.get(0)) - SPREAD, (baseValue + SPREAD) * (1d + SHIFT_AMOUNT.get(1)) - SPREAD, (baseValue + SPREAD) * (1d + SHIFT_AMOUNT.get(2)) - SPREAD));
assertEquals(computedRelative, expectedRelative);
GenericDoubleShifts testAbsolute = GenericDoubleShifts.of(ShiftType.ABSOLUTE, SHIFT_AMOUNT);
MarketDataBox <double> computedAbsolute = testAbsolute.applyTo(marketData, REF_DATA);
MarketDataBox <double> expectedAbsolute = MarketDataBox.ofScenarioValues(ImmutableList.of(baseValue + SHIFT_AMOUNT.get(0), baseValue + SHIFT_AMOUNT.get(1), baseValue + SHIFT_AMOUNT.get(2)));
assertEquals(computedAbsolute, expectedAbsolute);
}
public virtual void test_applyTo()
{
MarketDataBox <FxRate> marketData = MarketDataBox.ofSingleValue(FX_RATE);
FxRateShifts testScaled = FxRateShifts.of(ShiftType.SCALED, SHIFT_AMOUNT_2, EURUSD);
MarketDataBox <FxRate> computedScaled = testScaled.applyTo(marketData, REF_DATA);
MarketDataBox <FxRate> expectedScaled = MarketDataBox.ofScenarioValues(ImmutableList.of(FxRate.of(EURUSD, BASE_RATE * SHIFT_AMOUNT_2.get(0)), FxRate.of(EURUSD, BASE_RATE * SHIFT_AMOUNT_2.get(1)), FxRate.of(EURUSD, BASE_RATE * SHIFT_AMOUNT_2.get(2))));
assertEquals(computedScaled, expectedScaled);
FxRateShifts testScaledInv = FxRateShifts.of(ShiftType.SCALED, SHIFT_AMOUNT_2, USDEUR);
MarketDataBox <FxRate> computedScaledInv = testScaledInv.applyTo(marketData, REF_DATA);
MarketDataBox <FxRate> expectedScaledInv = MarketDataBox.ofScenarioValues(ImmutableList.of(FxRate.of(USDEUR, 1d / BASE_RATE * SHIFT_AMOUNT_2.get(0)), FxRate.of(USDEUR, 1d / BASE_RATE * SHIFT_AMOUNT_2.get(1)), FxRate.of(USDEUR, 1d / BASE_RATE * SHIFT_AMOUNT_2.get(2))));
assertEquals(computedScaledInv, expectedScaledInv);
FxRateShifts testAbsolute = FxRateShifts.of(ShiftType.ABSOLUTE, SHIFT_AMOUNT_1, EURUSD);
MarketDataBox <FxRate> computedAbsolute = testAbsolute.applyTo(marketData, REF_DATA);
MarketDataBox <FxRate> expectedAbsolute = MarketDataBox.ofScenarioValues(ImmutableList.of(FxRate.of(EURUSD, BASE_RATE + SHIFT_AMOUNT_1.get(0)), FxRate.of(EURUSD, BASE_RATE + SHIFT_AMOUNT_1.get(1)), FxRate.of(EURUSD, BASE_RATE + SHIFT_AMOUNT_1.get(2))));
assertEquals(computedAbsolute, expectedAbsolute);
FxRateShifts testRelative = FxRateShifts.of(ShiftType.RELATIVE, SHIFT_AMOUNT_1, EURUSD);
MarketDataBox <FxRate> computedRelative = testRelative.applyTo(marketData, REF_DATA);
MarketDataBox <FxRate> expectedRelative = MarketDataBox.ofScenarioValues(ImmutableList.of(FxRate.of(EURUSD, BASE_RATE * (1d + SHIFT_AMOUNT_1.get(0))), FxRate.of(EURUSD, BASE_RATE * (1d + SHIFT_AMOUNT_1.get(1))), FxRate.of(EURUSD, BASE_RATE * (1d + SHIFT_AMOUNT_1.get(2)))));
assertEquals(computedRelative, expectedRelative);
}
