public void test_of_singleton() { LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.of(DATE_2011_01_01, 2d); assertEquals(test.isEmpty(), false); assertEquals(test.size(), 1); assertEquals(test.containsDate(DATE_2010_01_01), false); assertEquals(test.containsDate(DATE_2011_01_01), true); assertEquals(test.containsDate(DATE_2012_01_01), false); assertEquals(test.get(DATE_2010_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2011_01_01), OptionalDouble.of(2d)); assertEquals(test.get(DATE_2012_01_01), OptionalDouble.empty()); assertEquals(test.dates().toArray(), new Object[] {DATE_2011_01_01}); assertEquals(test.values().toArray(), new double[] {2d}); }
public void test_of_singleton() { LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.of(DATE_2011_01_01, 2d); assertEquals(test.isEmpty(), false); assertEquals(test.size(), 1); // Check start is not weekend assertEquals(test.containsDate(DATE_2010_01_01), false); assertEquals(test.containsDate(DATE_2011_01_01), true); assertEquals(test.containsDate(DATE_2012_01_01), false); assertEquals(test.get(DATE_2010_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2011_01_01), OptionalDouble.of(2d)); assertEquals(test.get(DATE_2012_01_01), OptionalDouble.empty()); assertEquals(test.dates().toArray(), new Object[] {DATE_2011_01_01}); assertEquals(test.values().toArray(), new double[] {2d}); }
@Override public double rate(IborIndexObservation observation) { LocalDate fixingDate = observation.getFixingDate(); if (fixingDate.equals(valuationDate) && fixings.containsDate(fixingDate)) { return fixings.get(fixingDate).getAsDouble(); } return rates.get(fixingDate).getAsDouble(); }
public void test_of_map() { Map<LocalDate, Double> map = new HashMap<>(); map.put(DATE_2011_01_01, 2d); map.put(DATE_2012_01_01, 3d); LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.builder().putAll(map).build(); assertEquals(test.isEmpty(), false); assertEquals(test.size(), 2); assertEquals(test.containsDate(DATE_2010_01_01), false); assertEquals(test.containsDate(DATE_2011_01_01), true); assertEquals(test.containsDate(DATE_2012_01_01), true); assertEquals(test.get(DATE_2010_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2011_01_01), OptionalDouble.of(2d)); assertEquals(test.get(DATE_2012_01_01), OptionalDouble.of(3d)); assertEquals(test.dates().toArray(), new Object[] {DATE_2011_01_01, DATE_2012_01_01}); assertEquals(test.values().toArray(), new double[] {2d, 3d}); }
public void test_of_map() { Map<LocalDate, Double> map = new HashMap<>(); map.put(DATE_2011_01_01, 2d); map.put(DATE_2012_01_01, 3d); LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.builder().putAll(map).build(); assertEquals(test.isEmpty(), false); assertEquals(test.size(), 2); assertEquals(test.containsDate(DATE_2010_01_01), false); assertEquals(test.containsDate(DATE_2011_01_01), true); assertEquals(test.containsDate(DATE_2012_01_01), true); assertEquals(test.get(DATE_2010_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2011_01_01), OptionalDouble.of(2d)); assertEquals(test.get(DATE_2012_01_01), OptionalDouble.of(3d)); assertEquals(test.dates().toArray(), new Object[] {DATE_2011_01_01, DATE_2012_01_01}); assertEquals(test.values().toArray(), new double[] {2d, 3d}); }
public void test_of_collection() { Collection<LocalDateDoublePoint> points = Arrays.asList( LocalDateDoublePoint.of(DATE_2011_01_01, 2d), LocalDateDoublePoint.of(DATE_2012_01_01, 3d)); LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.builder().putAll(points.stream()).build(); assertEquals(test.isEmpty(), false); assertEquals(test.size(), 2); assertEquals(test.containsDate(DATE_2010_01_01), false); assertEquals(test.containsDate(DATE_2011_01_01), true); assertEquals(test.containsDate(DATE_2012_01_01), true); assertEquals(test.get(DATE_2010_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2011_01_01), OptionalDouble.of(2d)); assertEquals(test.get(DATE_2012_01_01), OptionalDouble.of(3d)); assertEquals(test.dates().toArray(), new Object[] {DATE_2011_01_01, DATE_2012_01_01}); assertEquals(test.values().toArray(), new double[] {2d, 3d}); }
public void test_of_collectionCollection() { Collection<LocalDate> dates = dates(DATE_2011_01_01, DATE_2012_01_01); Collection<Double> values = values(2d, 3d); LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.builder().putAll(dates, values).build(); assertEquals(test.isEmpty(), false); assertEquals(test.size(), 2); assertEquals(test.containsDate(DATE_2010_01_01), false); assertEquals(test.containsDate(DATE_2011_01_01), true); assertEquals(test.containsDate(DATE_2012_01_01), true); assertEquals(test.get(DATE_2010_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2011_01_01), OptionalDouble.of(2d)); assertEquals(test.get(DATE_2012_01_01), OptionalDouble.of(3d)); assertEquals(test.dates().toArray(), new Object[] {DATE_2011_01_01, DATE_2012_01_01}); assertEquals(test.values().toArray(), new double[] {2d, 3d}); }
public void test_emptySeries() { LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.empty(); assertEquals(test.isEmpty(), true); assertEquals(test.size(), 0); assertEquals(test.containsDate(DATE_2010_01_01), false); assertEquals(test.containsDate(DATE_2011_01_01), false); assertEquals(test.containsDate(DATE_2012_01_01), false); assertEquals(test.get(DATE_2010_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2011_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2012_01_01), OptionalDouble.empty()); assertEquals(test, LocalDateDoubleTimeSeries.builder().putAll(dates(), values()).build()); assertEquals(test.dates().count(), 0); assertEquals(test.values().count(), 0); }
public void test_of_collection() { Collection<LocalDateDoublePoint> points = Arrays.asList( LocalDateDoublePoint.of(DATE_2011_01_01, 2d), LocalDateDoublePoint.of(DATE_2012_01_01, 3d)); LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.builder().putAll(points.stream()).build(); assertEquals(test.isEmpty(), false); assertEquals(test.size(), 2); assertEquals(test.containsDate(DATE_2010_01_01), false); assertEquals(test.containsDate(DATE_2011_01_01), true); assertEquals(test.containsDate(DATE_2012_01_01), true); assertEquals(test.get(DATE_2010_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2011_01_01), OptionalDouble.of(2d)); assertEquals(test.get(DATE_2012_01_01), OptionalDouble.of(3d)); assertEquals(test.dates().toArray(), new Object[] {DATE_2011_01_01, DATE_2012_01_01}); assertEquals(test.values().toArray(), new double[] {2d, 3d}); }
public void test_of_collectionCollection() { Collection<LocalDate> dates = dates(DATE_2011_01_01, DATE_2012_01_01); Collection<Double> values = values(2d, 3d); LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.builder().putAll(dates, values).build(); assertEquals(test.isEmpty(), false); assertEquals(test.size(), 2); assertEquals(test.containsDate(DATE_2010_01_01), false); assertEquals(test.containsDate(DATE_2011_01_01), true); assertEquals(test.containsDate(DATE_2012_01_01), true); assertEquals(test.get(DATE_2010_01_01), OptionalDouble.empty()); assertEquals(test.get(DATE_2011_01_01), OptionalDouble.of(2d)); assertEquals(test.get(DATE_2012_01_01), OptionalDouble.of(3d)); assertEquals(test.dates().toArray(), new Object[] {DATE_2011_01_01, DATE_2012_01_01}); assertEquals(test.values().toArray(), new double[] {2d, 3d}); }
/** * Obtains the intersection of a pair of time series. * <p> * This returns a time-series with the intersection of the dates of the two inputs. * The operator is invoked to combine the values. * * @param other the time-series to combine with * @param mapper the function to be used to combine the values * @return a new time-series containing the dates in common between the * input series with their values combined together using the function */ public default LocalDateDoubleTimeSeries intersection(LocalDateDoubleTimeSeries other, DoubleBinaryOperator mapper) { ArgChecker.notNull(other, "other"); ArgChecker.notNull(mapper, "mapper"); return new LocalDateDoubleTimeSeriesBuilder() .putAll(stream() .filter(pt -> other.containsDate(pt.getDate())) .map(pt -> LocalDateDoublePoint.of( pt.getDate(), mapper.applyAsDouble(pt.getValue(), other.get(pt.getDate()).getAsDouble())))) .build(); }
public void test_value() { for (int i = 0; i < TEST_MONTHS.length; i++) { double valueComputed = INSTANCE.value(TEST_OBS[i]); YearMonth fixingMonth = TEST_OBS[i].getFixingMonth(); double valueExpected; if (USCPI_TS.containsDate(fixingMonth.atEndOfMonth())) { valueExpected = USCPI_TS.get(fixingMonth.atEndOfMonth()).getAsDouble(); } else { double x = YearMonth.from(VAL_DATE).until(fixingMonth, MONTHS); valueExpected = CURVE_INFL.yValue(x); } assertEquals(valueComputed, valueExpected, TOLERANCE_VALUE, "test " + i); } }
public void test_value_pts_sensitivity() { for (int i = 0; i < TEST_MONTHS.length; i++) { PointSensitivityBuilder ptsComputed = INSTANCE.valuePointSensitivity(TEST_OBS[i]); YearMonth fixingMonth = TEST_OBS[i].getFixingMonth(); PointSensitivityBuilder ptsExpected; if (USCPI_TS.containsDate(fixingMonth.atEndOfMonth())) { ptsExpected = PointSensitivityBuilder.none(); } else { ptsExpected = InflationRateSensitivity.of(TEST_OBS[i], 1d); } assertTrue(ptsComputed.build().equalWithTolerance(ptsExpected.build(), TOLERANCE_VALUE), "test " + i); } }
public void test_value_futfixing() { for (int i = 0; i < TEST_MONTHS.length; i++) { double valueComputed = INSTANCE_WITH_FUTFIXING.value(TEST_OBS[i]); YearMonth fixingMonth = TEST_OBS[i].getFixingMonth(); double valueExpected; if (fixingMonth.isBefore(YearMonth.from(VAL_DATE_2)) && USCPI_TS.containsDate(fixingMonth.atEndOfMonth())) { valueExpected = USCPI_TS.get(fixingMonth.atEndOfMonth()).getAsDouble(); } else { double x = YearMonth.from(VAL_DATE_2).until(fixingMonth, MONTHS); valueExpected = CURVE_INFL2.yValue(x); } assertEquals(valueComputed, valueExpected, TOLERANCE_VALUE, "test " + i); } }
public void test_value_pts_sensitivity_futfixing() { for (int i = 0; i < TEST_MONTHS.length; i++) { PointSensitivityBuilder ptsComputed = INSTANCE_WITH_FUTFIXING.valuePointSensitivity(TEST_OBS[i]); YearMonth fixingMonth = TEST_OBS[i].getFixingMonth(); PointSensitivityBuilder ptsExpected; if (fixingMonth.isBefore(YearMonth.from(VAL_DATE_2)) && USCPI_TS.containsDate(fixingMonth.atEndOfMonth())) { ptsExpected = PointSensitivityBuilder.none(); } else { ptsExpected = InflationRateSensitivity.of(TEST_OBS[i], 1d); } assertTrue(ptsComputed.build().equalWithTolerance(ptsExpected.build(), TOLERANCE_VALUE), "test " + i); } }
public void test_value_parameter_sensitivity() { for (int i = 0; i < TEST_MONTHS.length; i++) { YearMonth fixingMonth = TEST_OBS[i].getFixingMonth(); if (!USCPI_TS.containsDate(fixingMonth.atEndOfMonth())) { InflationRateSensitivity ptsExpected = (InflationRateSensitivity) InflationRateSensitivity.of(TEST_OBS[i], 1d); CurrencyParameterSensitivities psComputed = INSTANCE.parameterSensitivity(ptsExpected); double x = YearMonth.from(VAL_DATE).until(fixingMonth, MONTHS); UnitParameterSensitivities sens1 = UnitParameterSensitivities.of(CURVE_INFL.yValueParameterSensitivity(x)); CurrencyParameterSensitivities psExpected = sens1.multipliedBy(ptsExpected.getCurrency(), ptsExpected.getSensitivity()); assertTrue(psComputed.equalWithTolerance(psExpected, TOLERANCE_DELTA), "test " + i); } } }
child.put(ExplainKey.INDEX_VALUE, rate); if (fixingDate.isBefore(getValuationDate()) || (fixingDate.equals(getValuationDate()) && getFixings().containsDate(fixingDate))) { child.put(ExplainKey.FROM_FIXING_SERIES, true);
public void test_value_parameter_sensitivity_futfixing() { for (int i = 0; i < TEST_MONTHS.length; i++) { YearMonth fixingMonth = TEST_OBS[i].getFixingMonth(); if (!fixingMonth.isBefore(YearMonth.from(VAL_DATE_2)) && !USCPI_TS.containsDate(fixingMonth.atEndOfMonth())) { InflationRateSensitivity ptsExpected = (InflationRateSensitivity) InflationRateSensitivity.of(TEST_OBS[i], 1d); CurrencyParameterSensitivities psComputed = INSTANCE_WITH_FUTFIXING.parameterSensitivity(ptsExpected); double x = YearMonth.from(VAL_DATE_2).until(fixingMonth, MONTHS); UnitParameterSensitivities sens1 = UnitParameterSensitivities.of(CURVE_INFL2.yValueParameterSensitivity(x)); CurrencyParameterSensitivities psExpected = sens1.multipliedBy(ptsExpected.getCurrency(), ptsExpected.getSensitivity()); assertTrue(psComputed.equalWithTolerance(psExpected, TOLERANCE_DELTA), "test " + i); } } }