public virtual void test_of_noCurveMetadata()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_NOPARAM, XVALUES, YVALUES, INTERPOLATOR);
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.ParameterCount).isEqualTo(SIZE);
assertThat(test.getParameter(0)).isEqualTo(YVALUES.get(0));
assertThat(test.getParameter(1)).isEqualTo(YVALUES.get(1));
assertThat(test.getParameterMetadata(0)).isEqualTo(SimpleCurveParameterMetadata.of(ValueType.YEAR_FRACTION, XVALUES.get(0)));
assertThat(test.getParameterMetadata(1)).isEqualTo(SimpleCurveParameterMetadata.of(ValueType.YEAR_FRACTION, XVALUES.get(1)));
}
//-------------------------------------------------------------------------
public virtual void test_of_CurveMetadata()
{
InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR);
assertThat(test.Name).isEqualTo(CURVE_NAME);
assertThat(test.ParameterCount).isEqualTo(SIZE);
assertThat(test.getParameter(0)).isEqualTo(YVALUES.get(0));
assertThat(test.getParameter(1)).isEqualTo(YVALUES.get(1));
assertThat(test.getParameterMetadata(0)).isSameAs(METADATA_ENTRIES.ParameterMetadata.get().get(0));
assertThat(test.getParameterMetadata(1)).isSameAs(METADATA_ENTRIES.ParameterMetadata.get().get(1));
assertThat(test.withParameter(0, 2d)).isEqualTo(InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES.with(0, 2d), INTERPOLATOR));
assertThat(test.withPerturbation((i, v, m) => v - 2d)).isEqualTo(InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES_BUMPED, INTERPOLATOR));
assertThat(test.ExtrapolatorLeft.Name).isEqualTo(FLAT_EXTRAPOLATOR.Name);
assertThat(test.Interpolator.Name).isEqualTo(INTERPOLATOR.Name);
assertThat(test.ExtrapolatorRight.Name).isEqualTo(FLAT_EXTRAPOLATOR.Name);
assertThat(test.Metadata).isEqualTo(METADATA_ENTRIES);
assertThat(test.XValues).isEqualTo(XVALUES);
assertThat(test.YValues).isEqualTo(YVALUES);
}
public virtual void test_of_noMetadata()
{
IList <ParameterMetadata> combinedParamMeta = new List <ParameterMetadata>();
((IList <ParameterMetadata>)combinedParamMeta).AddRange(PARAM_METADATA_BASE);
((IList <ParameterMetadata>)combinedParamMeta).AddRange(PARAM_METADATA_SPREAD);
CurveMetadata expectedMetadata = DefaultCurveMetadata.builder().curveName(BASE_NAME + "+" + SPREAD_NAME).xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).parameterMetadata(combinedParamMeta).build();
assertEquals(COMBINED_CURVE.BaseCurve, BASE_CURVE);
assertEquals(COMBINED_CURVE.SpreadCurve, SPREAD_CURVE);
assertEquals(COMBINED_CURVE.Metadata, expectedMetadata);
assertEquals(COMBINED_CURVE.Name, expectedMetadata.CurveName);
assertEquals(COMBINED_CURVE.ParameterCount, BASE_CURVE.ParameterCount + SPREAD_CURVE.ParameterCount);
assertEquals(COMBINED_CURVE.getParameter(1), BASE_CURVE.getParameter(1));
assertEquals(COMBINED_CURVE.getParameter(6), SPREAD_CURVE.getParameter(3));
assertEquals(COMBINED_CURVE.getParameterMetadata(0), BASE_CURVE.getParameterMetadata(0));
assertEquals(COMBINED_CURVE.getParameterMetadata(4), SPREAD_CURVE.getParameterMetadata(1));
}
public virtual void test_of()
{
CurveMetadata baseMetadata = DefaultCurveMetadata.builder().curveName(BASE_NAME).xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).build();
CurveMetadata spreadMetadata = DefaultCurveMetadata.builder().curveName(SPREAD_NAME).xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).build();
InterpolatedNodalCurve baseCurve = InterpolatedNodalCurve.of(baseMetadata, XVALUES_BASE, YVALUES_BASE, NATURAL_CUBIC_SPLINE, LINEAR, LINEAR);
InterpolatedNodalCurve spreadCurve = InterpolatedNodalCurve.of(spreadMetadata, XVALUES_SPREAD, YVALUES_SPREAD, PCHIP, LINEAR, LINEAR);
CurveMetadata combinedMetadata = DefaultCurveMetadata.builder().curveName("CombinedCurve").xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).dayCount(ACT_365F).build();
CombinedCurve test = CombinedCurve.of(baseCurve, spreadCurve, combinedMetadata);
assertEquals(test.BaseCurve, baseCurve);
assertEquals(test.SpreadCurve, spreadCurve);
assertEquals(test.Metadata, combinedMetadata);
assertEquals(test.Name, combinedMetadata.CurveName);
assertEquals(test.ParameterCount, baseCurve.ParameterCount + spreadCurve.ParameterCount);
assertEquals(test.getParameter(1), baseCurve.getParameter(1));
assertEquals(test.getParameter(6), spreadCurve.getParameter(3));
assertEquals(test.getParameterMetadata(2), baseCurve.getParameterMetadata(2));
assertEquals(test.getParameterMetadata(5), spreadCurve.getParameterMetadata(2));
}
