//-------------------------------------------------------------------------
public virtual void test_curve()
{
InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder().name(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).nodes(NODES).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).parameterMetadata(NODES.get(0).metadata(VAL_DATE, REF_DATA), NODES.get(1).metadata(VAL_DATE, REF_DATA)).build();
InterpolatedNodalCurve expected = InterpolatedNodalCurve.builder().metadata(metadata).xValues(DoubleArray.of(ACT_365F.yearFraction(VAL_DATE, DATE1), ACT_365F.yearFraction(VAL_DATE, DATE2))).yValues(DoubleArray.of(1d, 1.5d)).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
assertEquals(test.curve(VAL_DATE, metadata, DoubleArray.of(1d, 1.5d)), expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR);
coverImmutableBean(test);
InterpolatedNodalCurve test2 = InterpolatedNodalCurve.builder().metadata(METADATA_ENTRIES).xValues(XVALUES2).yValues(YVALUES_BUMPED).extrapolatorLeft(CurveExtrapolators.LOG_LINEAR).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorRight(CurveExtrapolators.LOG_LINEAR).build();
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 NodalCurve curve(LocalDate valuationDate, CurveMetadata metadata, DoubleArray parameters)
{
DoubleArray nodeTimes = buildNodeTimes(valuationDate, metadata);
return(InterpolatedNodalCurve.builder().metadata(metadata).xValues(nodeTimes).yValues(parameters).extrapolatorLeft(extrapolatorLeft).interpolator(interpolator).extrapolatorRight(extrapolatorRight).build());
}
/// <summary>
/// Creates an interpolated curve with metadata.
/// </summary>
/// <param name="metadata"> the curve metadata </param>
/// <param name="xValues"> the x-values </param>
/// <param name="yValues"> the y-values </param>
/// <param name="interpolator"> the interpolator </param>
/// <param name="extrapolatorLeft"> the extrapolator for extrapolating off the left-hand end of the curve </param>
/// <param name="extrapolatorRight"> the extrapolator for extrapolating off the right-hand end of the curve </param>
/// <returns> the curve </returns>
public static InterpolatedNodalCurve of(CurveMetadata metadata, DoubleArray xValues, DoubleArray yValues, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight)
{
return(InterpolatedNodalCurve.builder().metadata(metadata).xValues(xValues).yValues(yValues).interpolator(interpolator).extrapolatorLeft(extrapolatorLeft).extrapolatorRight(extrapolatorRight).build());
}
private readonly IList <ParameterMetadata> parameterMetadata; // derived, not a property
//-------------------------------------------------------------------------
/// <summary>
/// Creates an interpolated curve with metadata.
/// </summary>
/// <param name="metadata"> the curve metadata </param>
/// <param name="xValues"> the x-values </param>
/// <param name="yValues"> the y-values </param>
/// <param name="interpolator"> the interpolator </param>
/// <returns> the curve </returns>
public static InterpolatedNodalCurve of(CurveMetadata metadata, DoubleArray xValues, DoubleArray yValues, CurveInterpolator interpolator)
{
return(InterpolatedNodalCurve.builder().metadata(metadata).xValues(xValues).yValues(yValues).interpolator(interpolator).build());
}
