//-------------------------------------------------------------------------
public virtual void test_valuePointSensitivity_fixing()
{
SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS);
PriceIndexObservation obs = PriceIndexObservation.of(US_CPI_U, VAL_MONTH.minusMonths(3));
assertEquals(test.valuePointSensitivity(obs), PointSensitivityBuilder.none());
}
/// <summary>
/// Creates a rate observation where the start index value is known.
/// <para>
/// This is typically used for capital indexed bonds.
/// The rate is calculated between the value of {@code firstIndexValue}
/// and the observed value at the end month linked to the specified end date.
/// This method requires that {@code firstIndexValue} is present.
///
/// </para>
/// </summary>
/// <param name="endDate"> the end date of the period </param>
/// <returns> the rate observation </returns>
public RateComputation createRateComputation(LocalDate endDate)
{
if (firstIndexValue == null)
{
throw new System.InvalidOperationException("First index value must be specified");
}
YearMonth referenceEndMonth = YearMonth.from(endDate.minus(lag));
if (indexCalculationMethod.Equals(PriceIndexCalculationMethod.INTERPOLATED))
{
// interpolate between data from two different months
double weight = 1d - (endDate.DayOfMonth - 1d) / endDate.lengthOfMonth();
return(InflationEndInterpolatedRateComputation.of(index, firstIndexValue.Value, referenceEndMonth, weight));
}
else if (indexCalculationMethod.Equals(PriceIndexCalculationMethod.MONTHLY))
{
// no interpolation
return(InflationEndMonthRateComputation.of(index, firstIndexValue.Value, referenceEndMonth));
}
else if (indexCalculationMethod.Equals(PriceIndexCalculationMethod.INTERPOLATED_JAPAN))
{
// interpolation, Japan
double weight = 1d;
int dayOfMonth = endDate.DayOfMonth;
if (dayOfMonth > 10)
{
weight -= (dayOfMonth - 10d) / endDate.lengthOfMonth();
}
else if (dayOfMonth < 10)
{
weight -= (dayOfMonth + endDate.minusMonths(1).lengthOfMonth() - 10d) / endDate.minusMonths(1).lengthOfMonth();
referenceEndMonth = referenceEndMonth.minusMonths(1);
}
return(InflationEndInterpolatedRateComputation.of(index, firstIndexValue.Value, referenceEndMonth, weight));
}
else
{
throw new System.ArgumentException("PriceIndexCalculationMethod " + indexCalculationMethod.ToString() + " is not supported");
}
}
