public void test_equals_notEqual() { LocalDateDoubleTimeSeries series1 = LocalDateDoubleTimeSeries.of(DATE_2014_01_01, 1d); LocalDateDoubleTimeSeries series2 = LocalDateDoubleTimeSeries.of(DATE_2013_06_01, 1d); LocalDateDoubleTimeSeries series3 = LocalDateDoubleTimeSeries.of(DATE_2014_01_01, 3d); assertNotEquals(series1, series2); assertNotEquals(series1, series3); }
public void test_equals_notEqual() { LocalDateDoubleTimeSeries series1 = LocalDateDoubleTimeSeries.of(DATE_2014_01_01, 1d); LocalDateDoubleTimeSeries series2 = LocalDateDoubleTimeSeries.of(DATE_2013_06_01, 1d); LocalDateDoubleTimeSeries series3 = LocalDateDoubleTimeSeries.of(DATE_2014_01_01, 3d); assertNotEquals(series1, series2); assertNotEquals(series1, series3); }
@Test(expectedExceptions = IllegalArgumentException.class) public void test_of_singleton_nullDateDisallowed() { LocalDateDoubleTimeSeries.of(null, 1d); }
public void test_equals_bad() { LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.of(DATE_2014_01_01, 1d); assertEquals(test.equals(ANOTHER_TYPE), false); assertEquals(test.equals(null), false); }
public void test_equals_bad() { LocalDateDoubleTimeSeries test = LocalDateDoubleTimeSeries.of(DATE_2014_01_01, 1d); assertEquals(test.equals(ANOTHER_TYPE), false); assertEquals(test.equals(null), false); }
public void test_equals_similarSeriesAreEqual() { LocalDateDoubleTimeSeries series1 = LocalDateDoubleTimeSeries.of(DATE_2014_01_01, 1d); LocalDateDoubleTimeSeries series2 = LocalDateDoubleTimeSeries.builder().putAll(dates(DATE_2014_01_01), values(1d)).build(); assertEquals(series1.size(), 1); assertEquals(series1, series2); assertEquals(series1, series1); assertEquals(series1.hashCode(), series1.hashCode()); }
public void test_equals_similarSeriesAreEqual() { LocalDateDoubleTimeSeries series1 = LocalDateDoubleTimeSeries.of(DATE_2014_01_01, 1d); LocalDateDoubleTimeSeries series2 = LocalDateDoubleTimeSeries.builder().putAll(dates(DATE_2014_01_01), values(1d)).build(); assertEquals(series1.size(), 1); assertEquals(series1, series2); assertEquals(series1, series1); assertEquals(series1.hashCode(), series1.hashCode()); }
public void test_iborIndexRates_inactive() { IborIndex inactiveIndex = IborIndex.of("USD-LIBOR-10M"); LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d); ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE) .timeSeries(inactiveIndex, ts) .build(); assertEquals(test.iborIndexRates(inactiveIndex).getIndex(), inactiveIndex); assertEquals(test.iborIndexRates(inactiveIndex).getFixings(), ts); assertEquals(test.getIborIndices(), ImmutableSet.of()); assertEquals(test.getTimeSeriesIndices(), ImmutableSet.of(inactiveIndex)); assertEquals(test.iborIndexRates(inactiveIndex).getClass(), HistoricIborIndexRates.class); }
public void test_overnightIndexRates_inactive() { OvernightIndex inactiveIndex = OvernightIndex.of("CHF-TOIS"); LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d); ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE) .timeSeries(inactiveIndex, ts) .build(); assertEquals(test.overnightIndexRates(inactiveIndex).getIndex(), inactiveIndex); assertEquals(test.overnightIndexRates(inactiveIndex).getFixings(), ts); assertEquals(test.getIborIndices(), ImmutableSet.of()); assertEquals(test.getTimeSeriesIndices(), ImmutableSet.of(inactiveIndex)); assertEquals(test.overnightIndexRates(inactiveIndex).getClass(), HistoricOvernightIndexRates.class); }
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_overnightIndexRates() { LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d); ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE) .overnightIndexCurve(USD_FED_FUND, FED_FUND_CURVE) .timeSeries(USD_FED_FUND, ts) .build(); assertEquals(test.overnightIndexRates(USD_FED_FUND).getIndex(), USD_FED_FUND); assertEquals(test.overnightIndexRates(USD_FED_FUND).getFixings(), ts); assertEquals(test.getOvernightIndices(), ImmutableSet.of(USD_FED_FUND)); assertEquals(test.getTimeSeriesIndices(), ImmutableSet.of(USD_FED_FUND)); }
public void test_priceIndexValues() { LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d); ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE) .priceIndexCurve(GB_RPI, GBPRI_CURVE) .timeSeries(GB_RPI, ts) .build(); assertEquals(test.priceIndexValues(GB_RPI).getIndex(), GB_RPI); assertEquals(test.priceIndexValues(GB_RPI).getFixings(), ts); assertEquals(test.getPriceIndices(), ImmutableSet.of(GB_RPI)); assertEquals(test.getTimeSeriesIndices(), ImmutableSet.of(GB_RPI)); }
public void test_iborIndexRates() { LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d); ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE) .iborIndexCurve(USD_LIBOR_3M, USD_LIBOR_CURVE) .timeSeries(USD_LIBOR_3M, ts) .build(); assertEquals(test.iborIndexRates(USD_LIBOR_3M).getIndex(), USD_LIBOR_3M); assertEquals(test.iborIndexRates(USD_LIBOR_3M).getFixings(), ts); assertEquals(test.getIborIndices(), ImmutableSet.of(USD_LIBOR_3M)); assertEquals(test.getTimeSeriesIndices(), ImmutableSet.of(USD_LIBOR_3M)); }
public void test_builder() { LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(PREV_DATE, 0.62d); ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE) .timeSeries(GBP_USD_WM, ts) .build(); assertEquals(test.getValuationDate(), VAL_DATE); assertEquals(ImmutableRatesProvider.meta().timeSeries().get(test), ImmutableMap.of(GBP_USD_WM, ts)); assertSame(test.toImmutableRatesProvider(), test); }
public void test_fxIndexRates() { LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(VAL_DATE, 0.62d); ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE) .fxRateProvider(FX_MATRIX) .discountCurve(GBP, DISCOUNT_CURVE_GBP) .discountCurve(USD, DISCOUNT_CURVE_USD) .timeSeries(GBP_USD_WM, ts) .build(); assertEquals(test.fxIndexRates(GBP_USD_WM).getIndex(), GBP_USD_WM); assertEquals(test.fxIndexRates(GBP_USD_WM).getFixings(), ts); assertEquals(test.getTimeSeriesIndices(), ImmutableSet.of(GBP_USD_WM)); }
public void coverage() { HistoricPriceIndexValues instance1 = HistoricPriceIndexValues.of(US_CPI_U, VAL_DATE, USCPI_TS); coverImmutableBean(instance1); HistoricPriceIndexValues test2 = HistoricPriceIndexValues.of( GB_HICP, VAL_DATE.plusMonths(1), LocalDateDoubleTimeSeries.of(VAL_MONTH.minusMonths(2).atEndOfMonth(), 100d)); coverBeanEquals(instance1, test2); }
public void coverage() { SimplePriceIndexValues instance1 = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS); coverImmutableBean(instance1); SimplePriceIndexValues test2 = SimplePriceIndexValues.of( GB_HICP, VAL_DATE.plusMonths(1), CURVE_NOFIX, LocalDateDoubleTimeSeries.of(VAL_MONTH.minusMonths(2).atEndOfMonth(), 100d)); coverBeanEquals(instance1, test2); }
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.setIborRates(mockIbor); return prov; }
private ImmutableRatesProvider createProvider( double rateStart, double rateEnd) { LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(VAL_DATE.with(lastDayOfMonth()), 300); InterpolatedNodalCurve curve = InterpolatedNodalCurve.of( Curves.prices("GB-RPIX"), DoubleArray.of(4, 16), DoubleArray.of(rateStart, rateEnd), INTERPOLATOR); return ImmutableRatesProvider.builder(VAL_DATE) .priceIndexCurve(GB_RPIX, curve) .timeSeries(GB_RPIX, timeSeries) .build(); }
private ImmutableRatesProvider createProvider(double rateEnd) { LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(VAL_DATE.with(lastDayOfMonth()), 300); InterpolatedNodalCurve curve = InterpolatedNodalCurve.of( Curves.prices("GB-RPIX"), DoubleArray.of(4, 16), DoubleArray.of(RATE_START, rateEnd), INTERPOLATOR); return ImmutableRatesProvider.builder(VAL_DATE) .priceIndexCurve(GB_RPIX, curve) .timeSeries(GB_RPIX, timeSeries) .build(); }