public void testZeroIndex()
{
// Testing zero inflation indices...
EUHICP euhicp = new EUHICP(true);
if (euhicp.name() != "EU HICP"
|| euhicp.frequency() != Frequency.Monthly
|| euhicp.revised()
|| !euhicp.interpolated()
|| euhicp.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong EU HICP data ("
+ euhicp.name() + ", "
+ euhicp.frequency() + ", "
+ euhicp.revised() + ", "
+ euhicp.interpolated() + ", "
+ euhicp.availabilityLag() + ")");
}
UKRPI ukrpi = new UKRPI(false);
if (ukrpi.name() != "UK RPI"
|| ukrpi.frequency() != Frequency.Monthly
|| ukrpi.revised()
|| ukrpi.interpolated()
|| ukrpi.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong UK RPI data ("
+ ukrpi.name() + ", "
+ ukrpi.frequency() + ", "
+ ukrpi.revised() + ", "
+ ukrpi.interpolated() + ", "
+ ukrpi.availabilityLag() + ")");
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = new UnitedKingdom().adjust(evaluationDate);
Settings.setEvaluationDate(evaluationDate);
// fixing data
Date from = new Date(1, Month.January, 2005);
Date to = new Date(13, Month.August, 2007);
Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing)
.value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, 206.1, -999.0 };
bool interp = false;
UKRPI iir = new UKRPI(interp);
for (int i = 0; i < rpiSchedule.Count - 1; i++)
{
iir.addFixing(rpiSchedule[i], fixData[i]);
}
Date todayMinusLag = evaluationDate - iir.availabilityLag();
KeyValuePair<Date, Date> lim1 = Utils.inflationPeriod(todayMinusLag, iir.frequency());
todayMinusLag = lim1.Key;
double eps = 1.0e-8;
// -1 because last value not yet available,
// (no TS so can't forecast).
for (int i = 0; i < rpiSchedule.Count - 1; i++)
{
KeyValuePair<Date, Date> lim = Utils.inflationPeriod(rpiSchedule[i],
iir.frequency());
for (Date d = lim.Key; d <= lim.Value; d++)
{
if (d < Utils.inflationPeriod(todayMinusLag, iir.frequency()).Key)
{
if (Math.Abs(iir.fixing(d) - fixData[i]) > eps)
Assert.Fail("Fixings not constant within a period: "
+ iir.fixing(d)
+ ", should be " + fixData[i]);
}
}
}
}
