private ImmutableRatesProvider createProvider(double rateStart, double rateStartInterp, double rateEnd, double rateEndInterp)
{
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(VAL_DATE.with(lastDayOfMonth()), 300);
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(Curves.prices("GB-RPIX"), DoubleArray.of(4, 5, 16, 17), DoubleArray.of(rateStart, rateStartInterp, rateEnd, rateEndInterp), INTERPOLATOR);
return(ImmutableRatesProvider.builder(VAL_DATE).priceIndexCurve(GB_RPIX, curve).timeSeries(GB_RPIX, timeSeries).build());
}
public virtual void test_rate()
{
SimpleRatesProvider prov = new SimpleRatesProvider();
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE);
IborIndexRates mockIbor = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
prov.IborRates = mockIbor;
ForwardIborRateComputationFn obsFn = ForwardIborRateComputationFn.DEFAULT;
assertEquals(obsFn.rate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov), RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obsFn.explainRate(GBP_LIBOR_3M_COMP, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov, builder), RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 1);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_START_DATE), FORWARD_START_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FORWARD_RATE_END_DATE), FORWARD_END_DATE);
assertEquals(built.get(ExplainKey.COMBINED_RATE), RATE);
}
public TestingIborIndexRates(IborIndex index, LocalDate valuationDate, LocalDateDoubleTimeSeries rates, LocalDateDoubleTimeSeries fixings, IborRateSensitivity sens)
{
this.index = index;
this.valuationDate = valuationDate;
this.rates = rates;
this.fixings = fixings;
this.sens = sens;
}
//-------------------------------------------------------------------------
public virtual void test_fxIndexRates()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).timeSeries(GBP_USD_WM, ts).build();
assertEquals(test.fxIndexRates(GBP_USD_WM).Index, GBP_USD_WM);
assertEquals(test.fxIndexRates(GBP_USD_WM).Fixings, ts);
assertEquals(test.TimeSeriesIndices, ImmutableSet.of(GBP_USD_WM));
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(PREV_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).timeSeries(GBP_USD_WM, ts).build();
assertEquals(test.ValuationDate, VAL_DATE);
assertEquals(ImmutableRatesProvider.meta().timeSeries().get(test), ImmutableMap.of(GBP_USD_WM, ts));
assertSame(test.toImmutableRatesProvider(), test);
}
//-------------------------------------------------------------------------
public virtual void test_overnightIndexRates()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).overnightIndexCurve(USD_FED_FUND, FED_FUND_CURVE).timeSeries(USD_FED_FUND, ts).build();
assertEquals(test.overnightIndexRates(USD_FED_FUND).Index, USD_FED_FUND);
assertEquals(test.overnightIndexRates(USD_FED_FUND).Fixings, ts);
assertEquals(test.OvernightIndices, ImmutableSet.of(USD_FED_FUND));
assertEquals(test.TimeSeriesIndices, ImmutableSet.of(USD_FED_FUND));
}
//-------------------------------------------------------------------------
public virtual void test_iborIndexRates()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).iborIndexCurve(USD_LIBOR_3M, USD_LIBOR_CURVE).timeSeries(USD_LIBOR_3M, ts).build();
assertEquals(test.iborIndexRates(USD_LIBOR_3M).Index, USD_LIBOR_3M);
assertEquals(test.iborIndexRates(USD_LIBOR_3M).Fixings, ts);
assertEquals(test.IborIndices, ImmutableSet.of(USD_LIBOR_3M));
assertEquals(test.TimeSeriesIndices, ImmutableSet.of(USD_LIBOR_3M));
}
static ForwardOvernightAveragedDailyRateComputationFnTest()
{
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < FIXING_DATES.Length; ++i)
{
builder.put(FIXING_DATES[i], FIXING_RATES[i]);
}
TIME_SERIES = builder.build();
}
//-------------------------------------------------------------------------
public virtual void test_priceIndexValues()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d);
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).priceIndexCurve(GB_RPI, GBPRI_CURVE).timeSeries(GB_RPI, ts).build();
assertEquals(test.priceIndexValues(GB_RPI).Index, GB_RPI);
assertEquals(test.priceIndexValues(GB_RPI).Fixings, ts);
assertEquals(test.PriceIndices, ImmutableSet.of(GB_RPI));
assertEquals(test.TimeSeriesIndices, ImmutableSet.of(GB_RPI));
}
static SimplePriceIndexValuesTest()
{
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < USCPI_VALUES.Length; i++)
{
builder.put(USCPI_START_DATE.plusMonths(i), USCPI_VALUES[i]);
}
USCPI_TS = builder.build();
for (int i = 0; i < TEST_MONTHS.Length; i++)
{
TEST_OBS[i] = PriceIndexObservation.of(US_CPI_U, TEST_MONTHS[i]);
}
}
public virtual void test_periodRatePointSensitivity_onholidaybeforepublication()
{
LocalDate lastFixingDate = LocalDate.of(2017, 6, 30);
LocalDate gbdBeforeValDate = LocalDate.of(2017, 7, 3);
LocalDate gbdAfterValDate = LocalDate.of(2017, 7, 5);
double fixingValue = 0.0010;
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(-1.0d, 10.0d), DoubleArray.of(0.01, 0.02), INTERPOLATOR);
ZeroRateDiscountFactors df = ZeroRateDiscountFactors.of(USD, LocalDate.of(2017, 7, 4), curve);
LocalDateDoubleTimeSeries series = LocalDateDoubleTimeSeries.builder().put(lastFixingDate, fixingValue).build();
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(USD_FED_FUND, df, series);
OvernightIndexObservation obs = OvernightIndexObservation.of(USD_FED_FUND, gbdBeforeValDate, REF_DATA);
OvernightRateSensitivity expected = OvernightRateSensitivity.ofPeriod(obs, gbdAfterValDate, USD, 1d);
assertEquals(test.periodRatePointSensitivity(obs, gbdAfterValDate), expected);
}
static ImmutableRatesProviderSimpleData()
{
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_eur = DoubleArray.of(0.0, 0.1, 0.25, 0.5, 0.75, 1.0, 2.0);
DoubleArray rate_eur = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.0140);
InterpolatedNodalCurve dscCurve = InterpolatedNodalCurve.of(Curves.zeroRates("EUR-Discount", ACT_365F), time_eur, rate_eur, interp);
DoubleArray time_index = DoubleArray.of(0.0, 0.25, 0.5, 1.0);
DoubleArray rate_index = DoubleArray.of(0.0180, 0.0180, 0.0175, 0.0165);
InterpolatedNodalCurve indexCurve = InterpolatedNodalCurve.of(Curves.zeroRates("EUR-EURIBOR6M", ACT_365F), time_index, rate_index, interp);
IMM_PROV_EUR_NOFIX = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(EUR, dscCurve).iborIndexCurve(EUR_EURIBOR_6M, indexCurve).build();
LocalDateDoubleTimeSeries tsE6 = LocalDateDoubleTimeSeries.builder().put(VAL_DATE, 0.012345).build();
IMM_PROV_EUR_FIX = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(EUR, dscCurve).iborIndexCurve(EUR_EURIBOR_6M, indexCurve, tsE6).build();
}
/// <summary>
/// Obtains time series of price index up to valuation date.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the time series </returns>
public static LocalDateDoubleTimeSeries getTimeSeries(LocalDate valuationDate)
{
LocalDate[] dates = new LocalDate[] { LocalDate.of(2005, 1, 31), LocalDate.of(2005, 2, 28), LocalDate.of(2005, 3, 31), LocalDate.of(2005, 4, 30), LocalDate.of(2005, 5, 31), LocalDate.of(2005, 6, 30), LocalDate.of(2005, 7, 31), LocalDate.of(2005, 8, 31), LocalDate.of(2005, 9, 30), LocalDate.of(2005, 10, 31), LocalDate.of(2005, 11, 30), LocalDate.of(2005, 12, 31), LocalDate.of(2006, 1, 31), LocalDate.of(2006, 2, 28), LocalDate.of(2006, 3, 31), LocalDate.of(2006, 4, 30), LocalDate.of(2006, 5, 31), LocalDate.of(2006, 6, 30), LocalDate.of(2006, 7, 31), LocalDate.of(2006, 8, 31), LocalDate.of(2006, 9, 30), LocalDate.of(2006, 10, 31), LocalDate.of(2006, 11, 30), LocalDate.of(2006, 12, 31), LocalDate.of(2007, 1, 31), LocalDate.of(2007, 2, 28), LocalDate.of(2007, 3, 31), LocalDate.of(2007, 4, 30), LocalDate.of(2007, 5, 31), LocalDate.of(2007, 6, 30), LocalDate.of(2007, 7, 31), LocalDate.of(2007, 8, 31), LocalDate.of(2007, 9, 30), LocalDate.of(2007, 10, 31), LocalDate.of(2007, 11, 30), LocalDate.of(2007, 12, 31), LocalDate.of(2008, 1, 31), LocalDate.of(2008, 2, 29), LocalDate.of(2008, 3, 31), LocalDate.of(2008, 4, 30), LocalDate.of(2008, 5, 31), LocalDate.of(2008, 6, 30), LocalDate.of(2008, 7, 31), LocalDate.of(2008, 8, 31), LocalDate.of(2008, 9, 30), LocalDate.of(2008, 10, 31), LocalDate.of(2008, 11, 30), LocalDate.of(2008, 12, 31), LocalDate.of(2009, 1, 31), LocalDate.of(2009, 2, 28), LocalDate.of(2009, 3, 31), LocalDate.of(2009, 4, 30), LocalDate.of(2009, 5, 31), LocalDate.of(2009, 6, 30), LocalDate.of(2009, 7, 31), LocalDate.of(2009, 8, 31), LocalDate.of(2009, 9, 30), LocalDate.of(2009, 10, 31), LocalDate.of(2009, 11, 30), LocalDate.of(2009, 12, 31), LocalDate.of(2010, 1, 31), LocalDate.of(2010, 2, 28), LocalDate.of(2010, 3, 31), LocalDate.of(2010, 4, 30), LocalDate.of(2010, 5, 31), LocalDate.of(2010, 6, 30), LocalDate.of(2010, 7, 31), LocalDate.of(2010, 8, 31), LocalDate.of(2010, 9, 30), LocalDate.of(2010, 10, 31), LocalDate.of(2010, 11, 30), LocalDate.of(2010, 12, 31), LocalDate.of(2011, 1, 31), LocalDate.of(2011, 2, 28), LocalDate.of(2011, 3, 31), LocalDate.of(2011, 4, 30), LocalDate.of(2011, 5, 31), LocalDate.of(2011, 6, 30), LocalDate.of(2011, 7, 31), LocalDate.of(2011, 8, 31), LocalDate.of(2011, 9, 30), LocalDate.of(2011, 10, 31), LocalDate.of(2011, 11, 30), LocalDate.of(2011, 12, 31), LocalDate.of(2012, 1, 31), LocalDate.of(2012, 2, 29), LocalDate.of(2012, 3, 31), LocalDate.of(2012, 4, 30), LocalDate.of(2012, 5, 31), LocalDate.of(2012, 6, 30), LocalDate.of(2012, 7, 31), LocalDate.of(2012, 8, 31), LocalDate.of(2012, 9, 30), LocalDate.of(2012, 10, 31), LocalDate.of(2012, 11, 30), LocalDate.of(2012, 12, 31), LocalDate.of(2013, 1, 31), LocalDate.of(2013, 2, 28), LocalDate.of(2013, 3, 31), LocalDate.of(2013, 4, 30), LocalDate.of(2013, 5, 31), LocalDate.of(2013, 6, 30), LocalDate.of(2013, 7, 31), LocalDate.of(2013, 8, 31), LocalDate.of(2013, 9, 30), LocalDate.of(2013, 10, 31), LocalDate.of(2013, 11, 30), LocalDate.of(2013, 12, 31), LocalDate.of(2014, 1, 31), LocalDate.of(2014, 2, 28), LocalDate.of(2014, 3, 31), LocalDate.of(2014, 4, 30), LocalDate.of(2014, 5, 31), LocalDate.of(2014, 6, 30), LocalDate.of(2014, 7, 31), LocalDate.of(2014, 8, 31), LocalDate.of(2014, 9, 30), LocalDate.of(2014, 10, 31), LocalDate.of(2014, 11, 30), LocalDate.of(2014, 12, 31), LocalDate.of(2015, 1, 31), LocalDate.of(2015, 2, 28), LocalDate.of(2015, 3, 31), LocalDate.of(2015, 4, 30), LocalDate.of(2015, 5, 31), LocalDate.of(2015, 6, 30), LocalDate.of(2015, 7, 31), LocalDate.of(2015, 8, 31), LocalDate.of(2015, 9, 30), LocalDate.of(2015, 10, 31), LocalDate.of(2015, 11, 30), LocalDate.of(2015, 12, 31), LocalDate.of(2016, 1, 31) };
double[] values = new double[] { 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 211.143, 212.193, 212.709, 213.24, 213.856, 215.693, 215.351, 215.834, 215.969, 216.177, 216.33, 215.949, 216.687, 216.741, 217.631, 218.009, 218.178, 217.965, 218.011, 218.312, 218.439, 218.711, 218.803, 219.179, 220.223, 221.309, 223.467, 224.906, 225.964, 225.722, 225.922, 226.545, 226.889, 226.421, 226.23, 225.672, 226.655, 227.663, 229.392, 230.085, 229.815, 229.478, 229.104, 230.379, 231.407, 231.317, 230.221, 229.601, 230.28, 232.166, 232.773, 232.531, 232.945, 233.504, 233.596, 233.877, 234.149, 233.546, 233.069, 233.049, 233.916, 234.781, 236.293, 237.072, 237.9, 238.343, 238.25, 237.852, 238.031, 237.433, 236.151, 234.812, 233.707, 234.722, 236.119, 236.599, 237.805, 238.638, 238.654, 238.316, 237.945, 237.838, 237.336, 236.525, 236.916 };
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < values.Length; ++i)
{
if (dates[i].isBefore(valuationDate))
{
builder.put(dates[i], values[i]);
}
}
return(builder.build());
}
/// <summary>
/// Obtains time series of price index up to valuation date.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the time series </returns>
public static LocalDateDoubleTimeSeries getTimeSeriesJp(LocalDate valuationDate)
{
LocalDate[] dates = new LocalDate[] { LocalDate.of(2013, 1, 31), LocalDate.of(2013, 2, 28), LocalDate.of(2013, 3, 31), LocalDate.of(2013, 4, 30), LocalDate.of(2013, 5, 31), LocalDate.of(2013, 6, 30), LocalDate.of(2013, 7, 31), LocalDate.of(2013, 8, 31), LocalDate.of(2013, 9, 30), LocalDate.of(2013, 10, 31), LocalDate.of(2013, 11, 30), LocalDate.of(2013, 12, 31), LocalDate.of(2014, 1, 31), LocalDate.of(2014, 2, 28), LocalDate.of(2014, 3, 31), LocalDate.of(2014, 4, 30), LocalDate.of(2014, 5, 31), LocalDate.of(2014, 6, 30), LocalDate.of(2014, 7, 31), LocalDate.of(2014, 8, 31), LocalDate.of(2014, 9, 30), LocalDate.of(2014, 10, 31), LocalDate.of(2014, 11, 30), LocalDate.of(2014, 12, 31), LocalDate.of(2015, 1, 31), LocalDate.of(2015, 2, 28), LocalDate.of(2015, 3, 31), LocalDate.of(2015, 4, 30), LocalDate.of(2015, 5, 31), LocalDate.of(2015, 6, 30), LocalDate.of(2015, 7, 31), LocalDate.of(2015, 8, 31), LocalDate.of(2015, 9, 30), LocalDate.of(2015, 10, 31), LocalDate.of(2015, 11, 30), LocalDate.of(2015, 12, 31), LocalDate.of(2016, 1, 31) };
double[] values = new double[] { 99.1, 99.2, 99.5, 99.8, 100, 100, 100.1, 100.4, 100.5, 100.7, 100.7, 100.6, 100.4, 100.5, 100.8, 103, 103.4, 103.4, 103.5, 103.5, 103.5, 103.6, 103.4, 103.2, 102.6, 102.5, 103, 103.3, 103.4, 103.4, 103.4, 103.4, 103.4, 103.5, 103.4, 103.3 };
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < values.Length; ++i)
{
if (dates[i].isBefore(valuationDate))
{
builder.put(dates[i], values[i]);
}
}
return(builder.build());
}
/// <summary>
/// Obtains time series of price index up to valuation date.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the time series </returns>
public static LocalDateDoubleTimeSeries getTimeSeriesGb(LocalDate valuationDate)
{
LocalDate[] dates = new LocalDate[] { LocalDate.of(2015, 1, 31), LocalDate.of(2015, 2, 28), LocalDate.of(2015, 3, 31), LocalDate.of(2015, 4, 30), LocalDate.of(2015, 5, 31), LocalDate.of(2015, 6, 30), LocalDate.of(2015, 7, 31), LocalDate.of(2015, 8, 31), LocalDate.of(2015, 9, 30), LocalDate.of(2015, 10, 31), LocalDate.of(2015, 11, 30), LocalDate.of(2015, 12, 31), LocalDate.of(2016, 1, 31) };
double[] values = new double[] { 255.4, 256.7, 257.1, 258.0, 258.5, 258.9, 258.6, 259.8, 259.6, 259.5, 259.8, 260.6, 258.8 };
LocalDateDoubleTimeSeriesBuilder builder = LocalDateDoubleTimeSeries.builder();
for (int i = 0; i < values.Length; ++i)
{
if (dates[i].isBefore(valuationDate))
{
builder.put(dates[i], values[i]);
}
}
return(builder.build());
}
public virtual void test_rate()
{
RatesProvider mockProv = mock(typeof(RatesProvider));
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE3TS);
IborIndexRates mockRates3M = new TestingIborIndexRates(GBP_LIBOR_3M, FIXING_DATE, LocalDateDoubleTimeSeries.empty(), timeSeries);
IborIndexRates mockRates6M = new TestingIborIndexRates(GBP_LIBOR_6M, FIXING_DATE, LocalDateDoubleTimeSeries.of(FIXING_DATE, RATE6), LocalDateDoubleTimeSeries.empty());
when(mockProv.iborIndexRates(GBP_LIBOR_3M)).thenReturn(mockRates3M);
when(mockProv.iborIndexRates(GBP_LIBOR_6M)).thenReturn(mockRates6M);
IborInterpolatedRateComputation ro = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
ForwardIborInterpolatedRateComputationFn obs = ForwardIborInterpolatedRateComputationFn.DEFAULT;
LocalDate fixingEndDate3M = GBP_LIBOR_3M_OBS.MaturityDate;
LocalDate fixingEndDate6M = GBP_LIBOR_6M_OBS.MaturityDate;
double days3M = fixingEndDate3M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 3M fixing period
double days6M = fixingEndDate6M.toEpochDay() - FIXING_DATE.toEpochDay(); //nb days in 6M fixing period
double daysCpn = ACCRUAL_END_DATE.toEpochDay() - FIXING_DATE.toEpochDay();
double weight3M = (days6M - daysCpn) / (days6M - days3M);
double weight6M = (daysCpn - days3M) / (days6M - days3M);
double rateExpected = (weight3M * RATE3TS + weight6M * RATE6);
double rateComputed = obs.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv);
assertEquals(rateComputed, rateExpected, TOLERANCE_RATE);
// explain
ExplainMapBuilder builder = ExplainMap.builder();
assertEquals(obs.explainRate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, mockProv, builder), rateExpected, TOLERANCE_RATE);
ExplainMap built = builder.build();
assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 2);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX), GBP_LIBOR_3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.INDEX_VALUE), RATE3TS);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.WEIGHT), weight3M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(0).get(ExplainKey.FROM_FIXING_SERIES), true);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FIXING_DATE), FIXING_DATE);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX), GBP_LIBOR_6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.INDEX_VALUE), RATE6);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.WEIGHT), weight6M);
assertEquals(built.get(ExplainKey.OBSERVATIONS).get().get(1).get(ExplainKey.FROM_FIXING_SERIES), null);
assertEquals(built.get(ExplainKey.COMBINED_RATE), rateExpected);
}
public virtual void test_combinedWith()
{
LocalDateDoubleTimeSeries timeSeries1 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 1).put(date(2011, 3, 9), 2).put(date(2011, 3, 10), 3).build();
LocalDateDoubleTimeSeries timeSeries2 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 10).put(date(2011, 3, 9), 20).put(date(2011, 3, 10), 30).build();
LocalDateDoubleTimeSeries timeSeries2a = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 1000).put(date(2011, 3, 9), 2000).put(date(2011, 3, 10), 3000).build();
LocalDateDoubleTimeSeries timeSeries3 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 100).put(date(2011, 3, 9), 200).put(date(2011, 3, 10), 300).build();
ImmutableScenarioMarketData marketData1 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).build();
ImmutableScenarioMarketData marketData2 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 10)).addTimeSeries(TEST_ID2, timeSeries2a).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(21.0, 21.1, 21.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
// marketData1 values should be in the combined data when the same ID is present in both
ImmutableScenarioMarketData expected = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
ScenarioMarketData combined = marketData1.combinedWith(marketData2);
assertThat(combined).isEqualTo(expected);
assertThat(combined.Ids).isEqualTo(ImmutableSet.of(TEST_ID1, TEST_ID2, TEST_ID3));
}
public virtual void test_currentCash_onPaymentDate()
{
LocalDate paymentDate = RFRA.PaymentDate;
double publishedRate = 0.025;
ResolvedFraTrade trade = FraTrade.builder().info(TradeInfo.builder().tradeDate(paymentDate).build()).product(FRA).build().resolve(REF_DATA);
ImmutableRatesProvider ratesProvider = RatesProviderDataSets.multiGbp(paymentDate).toBuilder().timeSeries(GBP_LIBOR_3M, LocalDateDoubleTimeSeries.of(paymentDate, publishedRate)).build();
assertEquals(PRICER_TRADE.currentCash(trade, ratesProvider), CurrencyAmount.of(FRA.Currency, (publishedRate - FRA.FixedRate) / (1d + publishedRate * RFRA.YearFraction) * RFRA.YearFraction * RFRA.Notional));
}
/// <summary>
/// Create a yield curve bundle with three curves.
/// One called "Discounting EUR" with a constant rate of 2.50%, one called "Discounting USD"
/// with a constant rate of 1.00% and one called "Discounting GBP" with a constant rate of 2.00%;
/// "Discounting KRW" with a constant rate of 3.21%;
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="fxIndex"> the FX index </param>
/// <param name="spotRate"> the spot rate for the index </param>
/// <returns> the provider </returns>
public static RatesProvider createProvider(LocalDate valuationDate, FxIndex fxIndex, double spotRate)
{
return(ImmutableRatesProvider.builder(valuationDate).discountCurve(EUR, EUR_DSC).discountCurve(USD, USD_DSC).discountCurve(GBP, GBP_DSC).discountCurve(KRW, KRW_DSC).fxRateProvider(FX_MATRIX).timeSeries(fxIndex, LocalDateDoubleTimeSeries.of(fxIndex.calculateFixingFromMaturity(valuationDate, REF_DATA), spotRate)).build());
}
/// <summary>
/// Creates rates provider with specified valuation date and time series of the index.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="index"> the index </param>
/// <param name="timeSeries"> the time series </param>
/// <returns> the rates provider </returns>
public static ImmutableRatesProvider createRatesProvider(LocalDate valuationDate, IborIndex index, LocalDateDoubleTimeSeries timeSeries)
{
return(ImmutableRatesProvider.builder(valuationDate).discountCurves(ImmutableMap.of(EUR, DSC_CURVE)).indexCurves(ImmutableMap.of(EUR_EURIBOR_3M, FWD3_CURVE, EUR_EURIBOR_6M, FWD6_CURVE)).fxRateProvider(FxMatrix.empty()).timeSeries(index, timeSeries).build());
}
/// <summary>
/// Obtains an immutable rates providers with valuation date and time series.
/// <para>
/// The time series must contain historical data for the price index.
///
/// </para>
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="timeSeries"> the time series </param>
/// <returns> the rates provider </returns>
public static ImmutableRatesProvider getRatesProvider(LocalDate valuationDate, LocalDateDoubleTimeSeries timeSeries)
{
return(ImmutableRatesProvider.builder(valuationDate).fxRateProvider(FxMatrix.empty()).priceIndexCurve(US_CPI_U, CPI_CURVE).timeSeries(US_CPI_U, timeSeries).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
SimplePriceIndexValues instance1 = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS);
coverImmutableBean(instance1);
SimplePriceIndexValues test2 = SimplePriceIndexValues.of(GB_HICP, VAL_DATE.plusMonths(1), CURVE_NOFIX, LocalDateDoubleTimeSeries.of(VAL_MONTH.minusMonths(2).atEndOfMonth(), 100d));
coverBeanEquals(instance1, test2);
}
public virtual Result <LocalDateDoubleTimeSeries> provideTimeSeries(ObservableId id)
{
return(Result.success(LocalDateDoubleTimeSeries.empty()));
}