public void test_builder3() { DefaultCurveMetadata test = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .parameterMetadata(ImmutableList.of(ParameterMetadata.empty())) .clearParameterMetadata() .build(); assertThat(test.getCurveName()).isEqualTo(CURVE_NAME); assertThat(test.getXValueType()).isEqualTo(ValueType.UNKNOWN); assertThat(test.getYValueType()).isEqualTo(ValueType.UNKNOWN); assertThat(test.getParameterMetadata().isPresent()).isFalse(); }
@Override public CurveMetadata metadata(LocalDate valuationDate, ReferenceData refData) { return DefaultCurveMetadata.builder() .curveName(name) .xValueType(xValueType) .yValueType(yValueType) .dayCount(dayCount) .parameterMetadata(parameterMetadata) .build(); }
public void prices_curveName() { CurveMetadata test = Curves.prices(CURVE_NAME); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.MONTHS) .yValueType(ValueType.PRICE_INDEX) .build(); assertEquals(test, expected); }
public void zeroRates_curveName() { CurveMetadata test = Curves.zeroRates(CURVE_NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.ZERO_RATE) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void forwardRates_string() { CurveMetadata test = Curves.forwardRates(NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.FORWARD_RATE) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void forwardRates_curveName() { CurveMetadata test = Curves.forwardRates(CURVE_NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.FORWARD_RATE) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void sabrParameterByExpiry_curveName() { CurveMetadata test = Curves.sabrParameterByExpiry(CURVE_NAME, ACT_365F, ValueType.SABR_BETA); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.SABR_BETA) .dayCount(ACT_365F) .build(); assertEquals(test, expected); }
public void discountFactors_string() { CurveMetadata test = Curves.discountFactors(NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.DISCOUNT_FACTOR) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void blackVolatilityByExpiry_string() { CurveMetadata test = Curves.blackVolatilityByExpiry(NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.BLACK_VOLATILITY) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void prices_curveNameParams() { CurveMetadata test = Curves.prices(CURVE_NAME, PARAMS); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.MONTHS) .yValueType(ValueType.PRICE_INDEX) .parameterMetadata(PARAMS) .build(); assertEquals(test, expected); }
public void blackVolatilityByExpiry_curveName() { CurveMetadata test = Curves.blackVolatilityByExpiry(CURVE_NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.BLACK_VOLATILITY) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void recoveryRates_string() { CurveMetadata test = Curves.recoveryRates(NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.RECOVERY_RATE) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void test_metadata() { InflationNodalCurveDefinition test = new InflationNodalCurveDefinition( UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF); DefaultCurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.PRICE_INDEX) .dayCount(ACT_365F) .parameterMetadata(NODES.get(0).metadata(VAL_DATE, REF_DATA), NODES.get(1).metadata(VAL_DATE, REF_DATA)) .build(); assertEquals(test.metadata(VAL_DATE, REF_DATA), expected); }
public void sabrParameterByExpiry_curveNameParams() { CurveMetadata test = Curves.sabrParameterByExpiry(CURVE_NAME, ACT_365F, ValueType.SABR_NU, PARAMS); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.SABR_NU) .dayCount(ACT_365F) .parameterMetadata(PARAMS) .build(); assertEquals(test, expected); }
public void blackVolatilityByExpiry_curveNameParams() { CurveMetadata test = Curves.blackVolatilityByExpiry(CURVE_NAME, ACT_360, PARAMS); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.BLACK_VOLATILITY) .dayCount(ACT_360) .parameterMetadata(PARAMS) .build(); assertEquals(test, expected); }
public void zeroRates_curveNameParams() { CurveMetadata test = Curves.zeroRates(CURVE_NAME, ACT_360, PARAMS); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.ZERO_RATE) .dayCount(ACT_360) .parameterMetadata(PARAMS) .build(); assertEquals(test, expected); }
public void discountFactors_curveNameParams() { CurveMetadata test = Curves.discountFactors(CURVE_NAME, ACT_360, PARAMS); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.DISCOUNT_FACTOR) .dayCount(ACT_360) .parameterMetadata(PARAMS) .build(); assertEquals(test, expected); }
public void recoveryRates_curveNameParams() { CurveMetadata test = Curves.recoveryRates(CURVE_NAME, ACT_360, PARAMS); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.RECOVERY_RATE) .dayCount(ACT_360) .parameterMetadata(PARAMS) .build(); assertEquals(test, expected); }
public void test_of_badCurve() { CurveMetadata noDayCountMetadata = DefaultCurveMetadata.builder() .curveName(NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.FORWARD_RATE) .build(); InterpolatedNodalCurve notDayCount = InterpolatedNodalCurve.of( noDayCountMetadata, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR); assertThrowsIllegalArg(() -> SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, notDayCount)); }
public void coverage() { DefaultCurveMetadata test = DefaultCurveMetadata.of(CURVE_NAME); coverImmutableBean(test); DefaultCurveMetadata test2 = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.DISCOUNT_FACTOR) .dayCount(ACT_360) .jacobian(JACOBIAN_DATA) .parameterMetadata(ParameterMetadata.empty()) .build(); coverBeanEquals(test, test2); }