//------------------------------------------------------------------------- public virtual void test_rateSensitivity() { ImmutableRatesProvider prov = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP); ImmutableRatesProvider provSrtUp = createProvider(RATE_START + EPS_FD, RATE_START_INTERP, RATE_END, RATE_END_INTERP); ImmutableRatesProvider provSrtDw = createProvider(RATE_START - EPS_FD, RATE_START_INTERP, RATE_END, RATE_END_INTERP); ImmutableRatesProvider provSrtIntUp = createProvider(RATE_START, RATE_START_INTERP + EPS_FD, RATE_END, RATE_END_INTERP); ImmutableRatesProvider provSrtIntDw = createProvider(RATE_START, RATE_START_INTERP - EPS_FD, RATE_END, RATE_END_INTERP); ImmutableRatesProvider provEndUp = createProvider(RATE_START, RATE_START_INTERP, RATE_END + EPS_FD, RATE_END_INTERP); ImmutableRatesProvider provEndDw = createProvider(RATE_START, RATE_START_INTERP, RATE_END - EPS_FD, RATE_END_INTERP); ImmutableRatesProvider provEndIntUp = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP + EPS_FD); ImmutableRatesProvider provEndIntDw = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP - EPS_FD); InflationInterpolatedRateComputation ro = InflationInterpolatedRateComputation.of(GB_RPIX, REF_START_MONTH, REF_END_MONTH, WEIGHT); ForwardInflationInterpolatedRateComputationFn obsFn = ForwardInflationInterpolatedRateComputationFn.DEFAULT; double rateSrtUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtUp); double rateSrtDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtDw); double rateSrtIntUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtIntUp); double rateSrtIntDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provSrtIntDw); double rateEndUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndUp); double rateEndDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndDw); double rateEndIntUp = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndIntUp); double rateEndIntDw = obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, provEndIntDw); PointSensitivityBuilder sensSrt = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_START_MONTH), 0.5 * (rateSrtUp - rateSrtDw) / EPS_FD); PointSensitivityBuilder sensSrtInt = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_START_MONTH_INTERP), 0.5 * (rateSrtIntUp - rateSrtIntDw) / EPS_FD); PointSensitivityBuilder sensEnd = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_END_MONTH), 0.5 * (rateEndUp - rateEndDw) / EPS_FD); PointSensitivityBuilder sensEndInt = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPIX, REF_END_MONTH_INTERP), 0.5 * (rateEndIntUp - rateEndIntDw) / EPS_FD); PointSensitivityBuilder sensiExpected = sensSrt.combinedWith(sensSrtInt).combinedWith(sensEnd).combinedWith(sensEndInt); PointSensitivityBuilder sensiComputed = obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov); assertTrue(sensiComputed.build().normalized().equalWithTolerance(sensiExpected.build().normalized(), EPS_FD)); }
//------------------------------------------------------------------------- public virtual void test_rate() { ImmutableRatesProvider prov = createProvider(RATE_START, RATE_START_INTERP, RATE_END, RATE_END_INTERP); InflationInterpolatedRateComputation ro = InflationInterpolatedRateComputation.of(GB_RPIX, REF_START_MONTH, REF_END_MONTH, WEIGHT); ForwardInflationInterpolatedRateComputationFn obsFn = ForwardInflationInterpolatedRateComputationFn.DEFAULT; double rateExpected = (WEIGHT * RATE_END + (1.0 - WEIGHT) * RATE_END_INTERP) / (WEIGHT * RATE_START + (1.0 - WEIGHT) * RATE_START_INTERP) - 1.0; assertEquals(obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov), rateExpected, EPS); // explain ExplainMapBuilder builder = ExplainMap.builder(); assertEquals(obsFn.explainRate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov, builder), rateExpected, EPS); ExplainMap built = builder.build(); assertEquals(built.get(ExplainKey.OBSERVATIONS).Present, true); assertEquals(built.get(ExplainKey.OBSERVATIONS).get().size(), 4); ExplainMap explain0 = built.get(ExplainKey.OBSERVATIONS).get().get(0); assertEquals(explain0.get(ExplainKey.FIXING_DATE), REF_START_MONTH.atEndOfMonth()); assertEquals(explain0.get(ExplainKey.INDEX), GB_RPIX); assertEquals(explain0.get(ExplainKey.INDEX_VALUE), RATE_START); assertEquals(explain0.get(ExplainKey.WEIGHT), WEIGHT); ExplainMap explain1 = built.get(ExplainKey.OBSERVATIONS).get().get(1); assertEquals(explain1.get(ExplainKey.FIXING_DATE), REF_START_MONTH_INTERP.atEndOfMonth()); assertEquals(explain1.get(ExplainKey.INDEX), GB_RPIX); assertEquals(explain1.get(ExplainKey.INDEX_VALUE), RATE_START_INTERP); assertEquals(explain1.get(ExplainKey.WEIGHT), (1d - WEIGHT)); ExplainMap explain2 = built.get(ExplainKey.OBSERVATIONS).get().get(2); assertEquals(explain2.get(ExplainKey.FIXING_DATE), REF_END_MONTH.atEndOfMonth()); assertEquals(explain2.get(ExplainKey.INDEX), GB_RPIX); assertEquals(explain2.get(ExplainKey.INDEX_VALUE), RATE_END); assertEquals(explain2.get(ExplainKey.WEIGHT), WEIGHT); ExplainMap explain3 = built.get(ExplainKey.OBSERVATIONS).get().get(3); assertEquals(explain3.get(ExplainKey.FIXING_DATE), REF_END_MONTH_INTERP.atEndOfMonth()); assertEquals(explain3.get(ExplainKey.INDEX), GB_RPIX); assertEquals(explain3.get(ExplainKey.INDEX_VALUE), RATE_END_INTERP); assertEquals(explain3.get(ExplainKey.WEIGHT), (1d - WEIGHT)); assertEquals(built.get(ExplainKey.COMBINED_RATE).Value.doubleValue(), rateExpected, EPS); }