public virtual void test_metadata_dates()
{
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(TEMPLATE_NS, QUOTE_ID, LEGAL_ENTITY);
ParameterMetadata metadata = node.metadata(END_DATE);
assertEquals(((LabelDateParameterMetadata)metadata).Date, END_DATE);
}
public virtual void getter()
{
assertEquals(PARAMETERS.AlphaCurve, ALPHA_CURVE);
assertEquals(PARAMETERS.BetaCurve, BETA_CURVE);
assertEquals(PARAMETERS.RhoCurve, RHO_CURVE);
assertEquals(PARAMETERS.NuCurve, NU_CURVE);
assertEquals(PARAMETERS.SabrVolatilityFormula, FORMULA);
assertEquals(PARAMETERS.ShiftCurve.Name, CurveName.of("Zero shift"));
assertEquals(PARAMETERS.DayCount, ACT_ACT_ISDA);
assertEquals(PARAMETERS.ParameterCount, 9);
double expiry = 2.0;
double alpha = ALPHA_CURVE.yValue(expiry);
double beta = BETA_CURVE.yValue(expiry);
double rho = RHO_CURVE.yValue(expiry);
double nu = NU_CURVE.yValue(expiry);
assertEquals(PARAMETERS.alpha(expiry), alpha);
assertEquals(PARAMETERS.beta(expiry), beta);
assertEquals(PARAMETERS.rho(expiry), rho);
assertEquals(PARAMETERS.nu(expiry), nu);
double strike = 1.1;
double forward = 1.05;
assertEquals(PARAMETERS.volatility(expiry, strike, forward), FORMULA.volatility(forward, strike, expiry, alpha, beta, rho, nu));
double[] adjCmp = PARAMETERS.volatilityAdjoint(expiry, strike, forward).Derivatives.toArray();
double[] adjExp = FORMULA.volatilityAdjoint(forward, strike, expiry, alpha, beta, rho, nu).Derivatives.toArray();
for (int i = 0; i < 6; ++i)
{
assertEquals(adjCmp[i], adjExp[i]);
}
for (int i = 0; i < 9; ++i)
{
if (i < 2)
{
assertEquals(PARAMETERS.getParameterMetadata(i), ALPHA_CURVE.getParameterMetadata(i));
assertEquals(PARAMETERS.getParameter(i), ALPHA_CURVE.getParameter(i));
}
else if (i < 4)
{
assertEquals(PARAMETERS.getParameterMetadata(i), BETA_CURVE.getParameterMetadata(i - 2));
assertEquals(PARAMETERS.getParameter(i), BETA_CURVE.getParameter(i - 2));
}
else if (i < 6)
{
assertEquals(PARAMETERS.getParameterMetadata(i), RHO_CURVE.getParameterMetadata(i - 4));
assertEquals(PARAMETERS.getParameter(i), RHO_CURVE.getParameter(i - 4));
}
else if (i < 8)
{
assertEquals(PARAMETERS.getParameterMetadata(i), NU_CURVE.getParameterMetadata(i - 6));
assertEquals(PARAMETERS.getParameter(i), NU_CURVE.getParameter(i - 6));
}
else
{
assertEquals(PARAMETERS.getParameterMetadata(i), ParameterMetadata.empty());
assertEquals(PARAMETERS.getParameter(i), 0d);
}
}
}
//-------------------------------------------------------------------------
public virtual void test_metadata_tenor()
{
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01);
LocalDate nodeDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(nodeDate);
assertEquals(((TenorDateParameterMetadata)metadata).Date, nodeDate);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, Tenor.TENOR_10Y);
}
//-------------------------------------------------------------------------
public virtual void test_withParameterMetadata()
{
DefaultSurfaceMetadata test = DefaultSurfaceMetadata.of(SURFACE_NAME).withParameterMetadata(ImmutableList.of(ParameterMetadata.empty()));
assertThat(test.SurfaceName).isEqualTo(SURFACE_NAME);
assertThat(test.XValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.YValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.ZValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.ParameterMetadata.Present).True;
assertThat(test.ParameterMetadata.get()).containsExactly(ParameterMetadata.empty());
}
//-------------------------------------------------------------------------
public virtual void test_withParameterMetadata()
{
DefaultCurveMetadata @base = DefaultCurveMetadata.of(CURVE_NAME);
DefaultCurveMetadata test = @base.withParameterMetadata(ParameterMetadata.listOfEmpty(2));
assertThat(test.ParameterMetadata.Present).True;
assertThat(test.ParameterMetadata.get()).containsAll(ParameterMetadata.listOfEmpty(2));
// redo for test coverage
DefaultCurveMetadata test2 = test.withParameterMetadata(ParameterMetadata.listOfEmpty(3));
assertThat(test2.ParameterMetadata.Present).True;
assertThat(test2.ParameterMetadata.get()).containsAll(ParameterMetadata.listOfEmpty(3));
}
public virtual void test_of_CurveMetadata()
{
ConstantCurve test = ConstantCurve.of(METADATA, VALUE);
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.YValue).isEqualTo(VALUE);
assertThat(test.ParameterCount).isEqualTo(1);
assertThat(test.getParameter(0)).isEqualTo(VALUE);
assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
assertThat(test.withParameter(0, 2d)).isEqualTo(ConstantCurve.of(NAME, 2d));
assertThat(test.Metadata).isEqualTo(METADATA);
assertThat(test.withMetadata(METADATA2)).isEqualTo(ConstantCurve.of(METADATA2, VALUE));
}
public virtual void test_of_SurfaceMetadata()
{
ConstantSurface test = ConstantSurface.of(METADATA, VALUE);
assertThat(test.Name).isEqualTo(SURFACE_NAME);
assertThat(test.ZValue).isEqualTo(VALUE);
assertThat(test.ParameterCount).isEqualTo(1);
assertThat(test.getParameter(0)).isEqualTo(VALUE);
assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
assertThat(test.withParameter(0, 2d)).isEqualTo(ConstantSurface.of(NAME, 2d));
assertThat(test.withPerturbation((i, v, m) => v + 1d)).isEqualTo(ConstantSurface.of(NAME, VALUE + 1d));
assertThat(test.Metadata).isEqualTo(METADATA);
assertThat(test.withMetadata(METADATA2)).isEqualTo(ConstantSurface.of(METADATA2, VALUE));
}
public virtual void test_of()
{
ConstantRecoveryRates test = ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION, RECOVERY_RATE);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.RecoveryRate, RECOVERY_RATE);
assertEquals(test.ValuationDate, VALUATION);
assertEquals(test.recoveryRate(DATE_AFTER), RECOVERY_RATE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
assertEquals(test.getParameter(0), RECOVERY_RATE);
assertEquals(test.ParameterCount, 1);
assertEquals(test.getParameterMetadata(0), ParameterMetadata.empty());
assertEquals(test.withParameter(0, 0.5), ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION, 0.5));
}
public virtual void test_of()
{
Curve test = ParallelShiftedCurve.of(CONSTANT_CURVE, ShiftType.RELATIVE, 0.1d);
assertThat(test.yValue(0)).isEqualTo(3.3d, offset(1e-10));
assertThat(test.yValue(1)).isEqualTo(3.3d, offset(1e-10));
assertThat(test.Name).isEqualTo(METADATA.CurveName);
assertThat(test.ParameterCount).isEqualTo(2);
assertThat(test.getParameter(0)).isEqualTo(3d);
assertThat(test.getParameter(1)).isEqualTo(0.1d);
assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("RelativeShift"));
assertThat(test.Metadata).isEqualTo(METADATA);
}
public virtual void test_builder1()
{
DefaultCurveMetadata test = DefaultCurveMetadata.builder().curveName(CURVE_NAME.ToString()).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).dayCount(ACT_360).jacobian(JACOBIAN_DATA).addInfo(CurveInfoType.DAY_COUNT, null).parameterMetadata(ImmutableList.of(ParameterMetadata.empty())).build();
assertThat(test.CurveName).isEqualTo(CURVE_NAME);
assertThat(test.XValueType).isEqualTo(ValueType.YEAR_FRACTION);
assertThat(test.YValueType).isEqualTo(ValueType.DISCOUNT_FACTOR);
assertThat(test.findInfo(CurveInfoType.DAY_COUNT)).Empty;
assertThat(test.getInfo(CurveInfoType.JACOBIAN)).isEqualTo(JACOBIAN_DATA);
assertThat(test.findInfo(CurveInfoType.JACOBIAN)).isEqualTo(JACOBIAN_DATA);
assertThat(test.findInfo(CurveInfoType.of("Rubbish"))).isEqualTo(null);
assertThat(test.ParameterMetadata.Present).True;
assertThat(test.ParameterMetadata.get()).containsExactly(ParameterMetadata.empty());
}
public virtual void test_builder4()
{
DefaultCurveMetadata test = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).parameterMetadata(ParameterMetadata.empty()).parameterMetadata(ParameterMetadata.empty()).build();
assertThat(test.CurveName).isEqualTo(CURVE_NAME);
assertThat(test.XValueType).isEqualTo(ValueType.YEAR_FRACTION);
assertThat(test.YValueType).isEqualTo(ValueType.DISCOUNT_FACTOR);
assertThrowsIllegalArg(() => test.getInfo(CurveInfoType.DAY_COUNT));
assertThat(test.findInfo(CurveInfoType.DAY_COUNT)).isEqualTo(null);
assertThat(test.findInfo(CurveInfoType.JACOBIAN)).isEqualTo(null);
assertThat(test.findInfo(CurveInfoType.of("Rubbish"))).isEqualTo(null);
assertThat(test.ParameterMetadata.Present).True;
assertThat(test.ParameterMetadata.get()).containsExactly(ParameterMetadata.empty());
}
public virtual void test_of_interface()
{
ConstantCurve curve = ConstantCurve.of(DefaultCurveMetadata.builder().yValueType(ValueType.RECOVERY_RATE).curveName("recoveryRate").build(), RECOVERY_RATE);
ConstantRecoveryRates test = (ConstantRecoveryRates)RecoveryRates.of(LEGAL_ENTITY, VALUATION, curve);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.RecoveryRate, RECOVERY_RATE);
assertEquals(test.ValuationDate, VALUATION);
assertEquals(test.recoveryRate(DATE_AFTER), RECOVERY_RATE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
assertEquals(test.getParameter(0), RECOVERY_RATE);
assertEquals(test.ParameterCount, 1);
assertEquals(test.getParameterMetadata(0), ParameterMetadata.empty());
assertEquals(test.withParameter(0, 0.5), ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION, 0.5));
}
public virtual void test_builder2()
{
DefaultSurfaceMetadata test = DefaultSurfaceMetadata.builder().surfaceName(SURFACE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).zValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).addInfo(SurfaceInfoType.DAY_COUNT, null).addInfo(DESCRIPTION, "Hello").parameterMetadata(ImmutableList.of(ParameterMetadata.empty())).build();
assertThat(test.SurfaceName).isEqualTo(SURFACE_NAME);
assertThat(test.XValueType).isEqualTo(ValueType.YEAR_FRACTION);
assertThat(test.YValueType).isEqualTo(ValueType.DISCOUNT_FACTOR);
assertThat(test.ZValueType).isEqualTo(ValueType.ZERO_RATE);
assertThrowsIllegalArg(() => test.getInfo(SurfaceInfoType.DAY_COUNT));
assertThat(test.findInfo(SurfaceInfoType.DAY_COUNT)).Empty;
assertThat(test.getInfo(DESCRIPTION)).isEqualTo("Hello");
assertThat(test.findInfo(DESCRIPTION)).isEqualTo(("Hello"));
assertThat(test.findInfo(SurfaceInfoType.of("Rubbish"))).isEqualTo(null);
assertThat(test.ParameterMetadata.Present).True;
assertThat(test.ParameterMetadata.get()).containsExactly(ParameterMetadata.empty());
}
public virtual void relative()
{
ParallelShiftedCurve test = ParallelShiftedCurve.relative(CONSTANT_CURVE, 0.1d);
assertThat(test.UnderlyingCurve).isEqualTo(CONSTANT_CURVE);
assertThat(test.ShiftType).isEqualTo(ShiftType.RELATIVE);
assertThat(test.ShiftAmount).isEqualTo(0.1d);
assertThat(test.Metadata).isEqualTo(METADATA);
assertThat(test.Name).isEqualTo(METADATA.CurveName);
assertThat(test.ParameterCount).isEqualTo(2);
assertThat(test.getParameter(0)).isEqualTo(3d);
assertThat(test.getParameter(1)).isEqualTo(0.1d);
assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("RelativeShift"));
assertThat(test.withParameter(0, 5d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE2, 0.1d));
assertThat(test.withParameter(1, 0.5d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE, 0.5d));
assertThat(test.withPerturbation((i, v, m) => v + 2d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE2, 2.1d));
assertThat(test.yValue(0)).isEqualTo(3.3d, offset(1e-10d));
assertThat(test.yValue(1)).isEqualTo(3.3d, offset(1e-10d));
}
//-------------------------------------------------------------------------
public virtual void absolute()
{
ParallelShiftedCurve test = ParallelShiftedCurve.absolute(CONSTANT_CURVE, 1d);
assertThat(test.UnderlyingCurve).isEqualTo(CONSTANT_CURVE);
assertThat(test.ShiftType).isEqualTo(ShiftType.ABSOLUTE);
assertThat(test.ShiftAmount).isEqualTo(1d);
assertThat(test.Metadata).isEqualTo(METADATA);
assertThat(test.Name).isEqualTo(METADATA.CurveName);
assertThat(test.ParameterCount).isEqualTo(2);
assertThat(test.getParameter(0)).isEqualTo(3d);
assertThat(test.getParameter(1)).isEqualTo(1d);
assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("AbsoluteShift"));
assertThat(test.withParameter(0, 5d)).isEqualTo(ParallelShiftedCurve.absolute(CONSTANT_CURVE2, 1d));
assertThat(test.withParameter(1, 0.5d)).isEqualTo(ParallelShiftedCurve.absolute(CONSTANT_CURVE, 0.5d));
assertThat(test.withPerturbation((i, v, m) => v + 2d)).isEqualTo(ParallelShiftedCurve.absolute(CONSTANT_CURVE2, 3d));
assertThat(test.yValue(0)).isEqualTo(4d);
assertThat(test.yValue(1)).isEqualTo(4d);
}
public virtual void test_withNode_invalid()
{
ConstantNodalCurve test = ConstantNodalCurve.of(METADATA_ENTRIES, XVALUE, YVALUE);
assertThrowsIllegalArg(() => test.withNode(1, 2, ParameterMetadata.empty()));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
DefaultSurfaceMetadata test = DefaultSurfaceMetadata.of(SURFACE_NAME);
coverImmutableBean(test);
DefaultSurfaceMetadata test2 = DefaultSurfaceMetadata.builder().surfaceName(SurfaceName.of("Test")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).zValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).parameterMetadata(ParameterMetadata.empty()).build();
coverBeanEquals(test, test2);
}
public virtual void test_withParameterMetadata_clearWhenNonEmpty()
{
DefaultSurfaceMetadata test = DefaultSurfaceMetadata.of(SURFACE_NAME).withParameterMetadata(ImmutableList.of(ParameterMetadata.empty())).withParameterMetadata(null);
assertThat(test.SurfaceName).isEqualTo(SURFACE_NAME);
assertThat(test.XValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.YValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.ZValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.ParameterMetadata.Present).False;
}
public virtual void test_builder3()
{
DefaultCurveMetadata test = DefaultCurveMetadata.builder().curveName(CURVE_NAME).parameterMetadata(ImmutableList.of(ParameterMetadata.empty())).clearParameterMetadata().build();
assertThat(test.CurveName).isEqualTo(CURVE_NAME);
assertThat(test.XValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.YValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.ParameterMetadata.Present).False;
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
DefaultCurveMetadata test = DefaultCurveMetadata.of(CURVE_NAME);
coverImmutableBean(test);
DefaultCurveMetadata test2 = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).dayCount(ACT_360).jacobian(JACOBIAN_DATA).parameterMetadata(ParameterMetadata.empty()).build();
coverBeanEquals(test, test2);
}
