public virtual void test_of_collectionCollection_valueCollectionWithNull()
{
ICollection <LocalDate> dates = SparseLocalDateDoubleTimeSeriesTest.dates(DATE_2011_01_01, DATE_2012_01_01);
ICollection <double> values = Arrays.asList(2d, null);
assertThrowsIllegalArg(() => LocalDateDoubleTimeSeries.builder().putAll(dates, values).build());
}
public virtual void test_of_collectionCollection_collectionsOfDifferentSize()
{
ICollection <LocalDate> dates = SparseLocalDateDoubleTimeSeriesTest.dates(DATE_2011_01_01);
ICollection <double> values = SparseLocalDateDoubleTimeSeriesTest.values(2d, 3d);
assertThrowsIllegalArg(() => LocalDateDoubleTimeSeries.builder().putAll(dates, values).build());
}
private void assertPriceIndexSeries(LocalDateDoubleTimeSeries actualSeries)
{
assertEquals(actualSeries.size(), 3);
LocalDateDoubleTimeSeries expectedSeries = LocalDateDoubleTimeSeries.builder().put(LocalDate.of(2017, 1, 31), 200).put(LocalDate.of(2017, 2, 28), 300).put(LocalDate.of(2017, 3, 31), 390).build();
assertEquals(actualSeries, expectedSeries);
}
internal LocalDate nextFixing; // Running variable through the different methods: next fixing date to be analyzed
internal ObservationDetails(OvernightCompoundedRateComputation computation, OvernightIndexRates rates)
{
this.computation = computation;
this.rates = rates;
this.indexFixingDateSeries = rates.Fixings;
this.dayCount = computation.Index.DayCount;
// Details of the cutoff period
this.firstFixing = computation.StartDate;
this.lastFixingP1 = computation.EndDate;
this.lastFixing = computation.FixingCalendar.previous(lastFixingP1);
this.cutoffOffset = Math.Max(computation.RateCutOffDays, 1);
this.accrualFactorCutoff = new double[cutoffOffset - 1];
LocalDate currentFixing = lastFixing;
for (int i = 0; i < cutoffOffset - 1; i++)
{
currentFixing = computation.FixingCalendar.previous(currentFixing);
LocalDate effectiveDate = computation.calculateEffectiveFromFixing(currentFixing);
LocalDate maturityDate = computation.calculateMaturityFromEffective(effectiveDate);
accrualFactorCutoff[i] = dayCount.yearFraction(effectiveDate, maturityDate);
}
this.lastFixingNonCutoff = currentFixing;
LocalDate startUnderlyingPeriod = computation.calculateEffectiveFromFixing(firstFixing);
LocalDate endUnderlyingPeriod = computation.calculateMaturityFromFixing(lastFixing);
this.accrualFactorTotal = dayCount.yearFraction(startUnderlyingPeriod, endUnderlyingPeriod);
}
//-------------------------------------------------------------------------
public FxIndexRates fxIndexRates(FxIndex index)
{
LocalDateDoubleTimeSeries fixings = timeSeries(index);
FxForwardRates fxForwardRates = this.fxForwardRates(index.CurrencyPair);
return(ForwardFxIndexRates.of(index, fxForwardRates, fixings));
}
private void assertLibor6mSeries(LocalDateDoubleTimeSeries actualSeries)
{
assertEquals(actualSeries.size(), 3);
LocalDateDoubleTimeSeries expectedSeries = LocalDateDoubleTimeSeries.builder().put(LocalDate.of(1971, 1, 4), 0.0681).put(LocalDate.of(1971, 1, 5), 0.0675).put(LocalDate.of(1971, 1, 6), 0.0669).build();
assertEquals(actualSeries, expectedSeries);
}
/// <summary>
/// Tests the combinedWith method when the other set of market data is not an instance of ImmutableScenarioMarketData
/// </summary>
public virtual void test_combinedWithDifferentImpl()
{
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();
MarketData marketData = ImmutableMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addValue(TEST_ID1, 1.1).addValue(TEST_ID2, 1.2).build();
RepeatedScenarioMarketData repeatedScenarioMarketData = RepeatedScenarioMarketData.of(3, marketData);
ImmutableScenarioMarketData immutableScenarioMarketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID2, timeSeries2a).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
ScenarioMarketData combinedData = immutableScenarioMarketData.combinedWith(repeatedScenarioMarketData);
assertThat(combinedData.ScenarioCount).isEqualTo(3);
assertThat(combinedData.getValue(TEST_ID1).getValue(0)).isEqualTo(1.1);
assertThat(combinedData.getValue(TEST_ID1).getValue(2)).isEqualTo(1.1);
assertThat(combinedData.getValue(TEST_ID1).getValue(3)).isEqualTo(1.1);
assertThat(combinedData.getValue(TEST_ID2)).isEqualTo(MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2));
assertThat(combinedData.getValue(TEST_ID3)).isEqualTo(MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2));
assertThat(combinedData.getTimeSeries(TEST_ID1)).isEqualTo(timeSeries1);
assertThat(combinedData.getTimeSeries(TEST_ID2)).isEqualTo(timeSeries2a);
assertThat(combinedData.getTimeSeries(TEST_ID3)).isEqualTo(timeSeries3);
}
public virtual void densityChoosesImplementation()
{
LocalDateDoubleTimeSeries series1 = LocalDateDoubleTimeSeries.builder().put(date(2015, 1, 5), 14).put(date(2015, 1, 12), 12).put(date(2015, 1, 19), 13).build();
assertEquals(series1.GetType(), typeof(SparseLocalDateDoubleTimeSeries));
// Now add in a week's worth of data
LocalDateDoubleTimeSeries series2 = series1.toBuilder().put(date(2015, 1, 6), 14).put(date(2015, 1, 7), 13).put(date(2015, 1, 8), 12).put(date(2015, 1, 9), 13).build();
// Not yet enough as we have 7/11 populated (i.e. below 70%)
assertEquals(series2.GetType(), typeof(SparseLocalDateDoubleTimeSeries));
// Add in 1 more days giving 8/11 populated
LocalDateDoubleTimeSeries series3 = series2.toBuilder().put(date(2015, 1, 13), 11).build();
assertEquals(series3.GetType(), typeof(DenseLocalDateDoubleTimeSeries));
// Now add in a weekend date, which means we have 9/15
LocalDateDoubleTimeSeries series4 = series3.toBuilder().put(date(2015, 1, 10), 12).build();
assertEquals(series4.GetType(), typeof(SparseLocalDateDoubleTimeSeries));
// Add in 2 new dates giving 11/15
LocalDateDoubleTimeSeries series5 = series4.toBuilder().put(date(2015, 1, 14), 11).put(date(2015, 1, 15), 10).build();
assertEquals(series5.GetType(), typeof(DenseLocalDateDoubleTimeSeries));
}
public virtual void test_duplicatesGetOverwritten()
{
LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.builder().put(date(2014, 1, 1), 12).put(date(2014, 1, 1), 14).build();
assertEquals(test.size(), 1);
assertEquals(test.get(date(2014, 1, 1)), double?.of(14d));
}
static CalibrationZeroRateAndDiscountFactorUsd2OisIrsTest()
{
DSC_NAMES[DSCON_CURVE_NAME] = USD;
ISet <Index> usdFedFundSet = new HashSet <Index>();
usdFedFundSet.Add(USD_FED_FUND);
IDX_NAMES[DSCON_CURVE_NAME] = usdFedFundSet;
ISet <Index> usdLibor3Set = new HashSet <Index>();
usdLibor3Set.Add(USD_LIBOR_3M);
IDX_NAMES[FWD3_CURVE_NAME] = usdLibor3Set;
double fixingValue = 0.002345;
LocalDateDoubleTimeSeries tsBdUsdLibor3M = LocalDateDoubleTimeSeries.builder().put(VAL_DATE_BD, fixingValue).build();
LocalDate fixingDateHo = LocalDate.of(2015, 12, 24);
LocalDateDoubleTimeSeries tsHoUsdLibor3M = LocalDateDoubleTimeSeries.builder().put(fixingDateHo, fixingValue).build();
TS_BD_LIBOR3M = ImmutableMarketData.builder(VAL_DATE_BD).addTimeSeries(IndexQuoteId.of(USD_LIBOR_3M), tsBdUsdLibor3M).build();
TS_HO_LIBOR3M = ImmutableMarketData.builder(VAL_DATE_HO).addTimeSeries(IndexQuoteId.of(USD_LIBOR_3M), tsHoUsdLibor3M).build();
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_NODES[i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0])));
for (int i = 0; i < FWD3_NB_FRA_NODES; i++)
{
FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
FWD3_NODES[i + 1 + FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1 + FWD3_NB_FRA_NODES])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE_BD);
for (int i = 0; i < FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]);
}
for (int i = 0; i < DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
ALL_QUOTES_BD = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupFwd3 = new List <CurveNode[]>();
groupFwd3.Add(FWD3_NODES);
CURVES_NODES.Add(groupFwd3);
IList <CurveMetadata> groupDsc = new List <CurveMetadata>();
groupDsc.Add(DefaultCurveMetadata.builder().curveName(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupDsc);
IList <CurveMetadata> groupFwd3 = new List <CurveMetadata>();
groupFwd3.Add(DefaultCurveMetadata.builder().curveName(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupFwd3);
}
public virtual void test_of_map_valueNull()
{
IDictionary <LocalDate, double> map = new Dictionary <LocalDate, double>();
map[DATE_2011_01_01] = 2d;
map[DATE_2012_01_01] = null;
assertThrowsIllegalArg(() => LocalDateDoubleTimeSeries.builder().putAll(map).build());
}
//-------------------------------------------------------------------------
public virtual void test_stream()
{
LocalDateDoubleTimeSeries @base = LocalDateDoubleTimeSeries.builder().putAll(DATES_2010_12, VALUES_10_12).build();
object[] test = @base.ToArray();
assertEquals(test[0], LocalDateDoublePoint.of(DATE_2010_01_01, 10));
assertEquals(test[1], LocalDateDoublePoint.of(DATE_2011_01_01, 11));
assertEquals(test[2], LocalDateDoublePoint.of(DATE_2012_01_01, 12));
}
public virtual void test_earliestLatest_whenEmpty()
{
LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.empty();
TestHelper.assertThrows(() => test.EarliestDate, typeof(NoSuchElementException));
TestHelper.assertThrows(() => test.EarliestValue, typeof(NoSuchElementException));
TestHelper.assertThrows(() => test.LatestDate, typeof(NoSuchElementException));
TestHelper.assertThrows(() => test.LatestValue, typeof(NoSuchElementException));
}
//-------------------------------------------------------------------------
public virtual void test_earliestLatest()
{
LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.builder().putAll(DATES_2010_12, VALUES_10_12).build();
assertEquals(test.EarliestDate, DATE_2010_01_01);
assertEquals(test.EarliestValue, 10d, TOLERANCE);
assertEquals(test.LatestDate, DATE_2012_01_01);
assertEquals(test.LatestValue, 12d, TOLERANCE);
}
//-------------------------------------------------------------------------
// creates a simple provider
private SimpleRatesProvider createProvider(ResolvedFra fraExp)
{
DiscountFactors mockDf = SimpleDiscountFactors.of(GBP, VAL_DATE, ConstantCurve.of(Curves.discountFactors("DSC", DAY_COUNT), DISCOUNT_FACTOR));
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(VAL_DATE, FORWARD_RATE);
IborIndexRates mockIbor = SimpleIborIndexRates.of(GBP_LIBOR_3M, VAL_DATE, ConstantCurve.of(Curves.forwardRates("L3M", DAY_COUNT), FORWARD_RATE), timeSeries);
SimpleRatesProvider prov = new SimpleRatesProvider(VAL_DATE, mockDf);
prov.IborRates = mockIbor;
return prov;
}
