//-------------------------------------------------------------------------
public virtual void test_metadata()
{
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 expected = 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();
assertEquals(test.metadata(VAL_DATE, REF_DATA), expected);
}
//-------------------------------------------------------------------------
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()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
coverImmutableBean(test);
InterpolatedNodalCurveDefinition underlyingDef2 = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("foo")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).nodes(NODES).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
SeasonalityDefinition seasonalityDef2 = SeasonalityDefinition.of(SEASONALITY_ADDITIVE, ShiftType.SCALED);
InflationNodalCurveDefinition test2 = new InflationNodalCurveDefinition(underlyingDef2, LAST_FIX_MONTH.plus(Period.ofMonths(1)), LAST_FIX_VALUE + 1.0d, seasonalityDef2);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
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();
coverImmutableBean(test);
InterpolatedNodalCurveDefinition test2 = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("Foo")).nodes(NODES2).interpolator(CurveInterpolators.LOG_LINEAR).extrapolatorLeft(CurveExtrapolators.LOG_LINEAR).extrapolatorRight(CurveExtrapolators.LOG_LINEAR).build();
coverBeanEquals(test, test2);
}
public virtual void test_filtered_dropOther_atStart()
{
DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(3), GBP_LIBOR_1M, TICKER, DROP_OTHER_2D);
DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(4), GBP_LIBOR_1M, TICKER);
DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER);
ImmutableList <DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
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();
assertEquals(test.filtered(VAL_DATE, REF_DATA).Nodes, ImmutableList.of(node1, node3));
}
public virtual void test_filtered_exception_atEnd()
{
DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(5), GBP_LIBOR_1M, TICKER);
DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(10), GBP_LIBOR_1M, TICKER);
DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER, EXCEPTION_2D);
ImmutableList <DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
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();
assertThrowsIllegalArg(() => test.filtered(VAL_DATE, REF_DATA), "Curve node dates clash.*");
}
public virtual void test_builder()
{
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();
assertEquals(test.Name, CURVE_NAME);
assertEquals(test.XValueType, ValueType.YEAR_FRACTION);
assertEquals(test.YValueType, ValueType.ZERO_RATE);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.Nodes, NODES);
assertEquals(test.Interpolator, CurveInterpolators.LINEAR);
assertEquals(test.ExtrapolatorLeft, CurveExtrapolators.FLAT);
assertEquals(test.ExtrapolatorRight, CurveExtrapolators.FLAT);
assertEquals(test.ParameterCount, 2);
}
//-------------------------------------------------------------------------
public virtual void test_filtered()
{
DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(5), GBP_LIBOR_1M, GBP_LIBOR_1M_ID);
DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(10), GBP_LIBOR_1M, GBP_LIBOR_1M_ID);
DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, GBP_LIBOR_1M_ID, DROP_THIS_2D);
ImmutableList <DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
LocalDate valuationDate = date(2015, 6, 30);
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(CURVE_NAME1).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).nodes(nodes).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(curveDefn, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
RatesCurveGroupDefinition expected = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(curveDefn.filtered(valuationDate, REF_DATA), GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
assertEquals(test.filtered(valuationDate, REF_DATA), expected);
}
public virtual void test_serialization()
{
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();
assertSerialization(test);
}
//-------------------------------------------------------------------------
public virtual void test_toCurveParameterSize()
{
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();
assertEquals(test.toCurveParameterSize(), CurveParameterSize.of(CURVE_NAME, NODES.size()));
}
