public void test_builder() { ImmutableMarketData test = ImmutableMarketData.builder(VAL_DATE.plusDays(1)) .valuationDate(VAL_DATE) .addValue(ID1, "123") .addValueUnsafe(ID2, "124") .addValueMap(ImmutableMap.of(ID3, "201")) .addTimeSeries(ID4, TIME_SERIES) .build(); assertEquals(test.getValuationDate(), VAL_DATE); assertEquals(test.getValues().get(ID1), "123"); assertEquals(test.getValues().get(ID2), "124"); assertEquals(test.getIds(), ImmutableSet.of(ID1, ID2, ID3)); assertEquals(test.getTimeSeries().get(ID4), TIME_SERIES); }
public void test_initialGuess() { FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); double rate = 0.035; double lastPriceIndex = 123.4; LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.builder() .put(LocalDate.of(2024, 10, 31), lastPriceIndex).build(); MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate) .addTimeSeries(IndexQuoteId.of(PriceIndices.EU_EXT_CPI), ts).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate); double priceIndexGuess = lastPriceIndex * Math.pow(1.0d + rate, TENOR_10Y.get(ChronoUnit.YEARS)); assertEquals(node.initialGuess(marketData, ValueType.PRICE_INDEX), priceIndexGuess, TOLERANCE_GUESS); }
.addTimeSeries(TEST_ID1, timeSeries1) .addTimeSeries(TEST_ID2, timeSeries2) .addValue(TEST_ID1, 1.1) .addValue(TEST_ID2, 1.2)