private DoubleArray sensitivityDeposit( InterpolatedNodalCurve curve, double termDepositYearFraction, int index, double fixedRate) { int nNode = curve.getParameterCount(); double[] sensi = new double[nNode]; sensi[index] = curve.getXValues().get(index) * (1d + fixedRate * termDepositYearFraction) / termDepositYearFraction; return DoubleArray.ofUnsafe(sensi); }
public void test_parameter_count() { assertEquals(INSTANCE.getParameterCount(), CURVE_NOFIX.getParameterCount()); }
public void test_withMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); InterpolatedNodalCurve test = base.withMetadata(METADATA_ENTRIES); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA_ENTRIES); assertThat(test.getXValues()).isEqualTo(XVALUES); assertThat(test.getYValues()).isEqualTo(YVALUES); }
public void test_withValues() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); InterpolatedNodalCurve test = base.withYValues(YVALUES_BUMPED); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA); assertThat(test.getXValues()).isEqualTo(XVALUES); assertThat(test.getYValues()).isEqualTo(YVALUES_BUMPED); }
public void test_withValuesXy() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); InterpolatedNodalCurve test = base.withValues(XVALUES2, YVALUES_BUMPED); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA); assertThat(test.getXValues()).isEqualTo(XVALUES2); assertThat(test.getYValues()).isEqualTo(YVALUES_BUMPED); }
public void test_withNode_inMiddle_withMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR); LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y); InterpolatedNodalCurve test = base.withNode(2.5d, 4d, item); List<ParameterMetadata> list = new ArrayList<>(METADATA_ENTRIES.getParameterMetadata().get()); list.add(2, item); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE + 1); assertThat(test.getMetadata()).isEqualTo(METADATA_ENTRIES.withParameterMetadata(list)); assertThat(test.getXValues()).isEqualTo(DoubleArray.of(1d, 2d, 2.5d, 3d)); assertThat(test.getYValues()).isEqualTo(DoubleArray.of(5d, 7d, 4d, 8d)); }
public void test_withNode_replace_withMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR); LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y); InterpolatedNodalCurve test = base.withNode(2d, 4d, item); List<ParameterMetadata> list = new ArrayList<>(METADATA_ENTRIES.getParameterMetadata().get()); list.set(1, item); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getMetadata()).isEqualTo(METADATA.withParameterMetadata(list)); assertThat(test.getXValues()).isEqualTo(DoubleArray.of(1d, 2d, 3d)); assertThat(test.getYValues()).isEqualTo(DoubleArray.of(5d, 4d, 8d)); }
public void test_withNode_atEnd_withoutMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA, XVALUES, YVALUES, INTERPOLATOR); LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y); InterpolatedNodalCurve test = base.withNode(0.5d, 4d, item); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE + 1); assertThat(test.getMetadata()).isEqualTo(METADATA); assertThat(test.getXValues()).isEqualTo(DoubleArray.of(0.5d, 1d, 2d, 3d)); assertThat(test.getYValues()).isEqualTo(DoubleArray.of(4d, 5d, 7d, 8d)); }
public void test_withNode_atStart_withMetadata() { InterpolatedNodalCurve base = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR); LabelDateParameterMetadata item = LabelDateParameterMetadata.of(date(2015, 6, 30), TNR_1Y); InterpolatedNodalCurve test = base.withNode(0.5d, 4d, item); List<ParameterMetadata> list = new ArrayList<>(); list.add(item); list.addAll(ParameterMetadata.listOfEmpty(SIZE)); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE + 1); assertThat(test.getMetadata()).isEqualTo(METADATA_ENTRIES.withParameterMetadata(list)); assertThat(test.getXValues()).isEqualTo(DoubleArray.of(0.5d, 1d, 2d, 3d)); assertThat(test.getYValues()).isEqualTo(DoubleArray.of(4d, 5d, 7d, 8d)); }
public void test_withPerturbation() { CombinedCurve computed = COMBINED_CURVE.withPerturbation((i, v, m) -> 2d * v * i); CombinedCurve expected = CombinedCurve.of( BASE_CURVE.withPerturbation((i, v, m) -> 2d * v * i), SPREAD_CURVE.withPerturbation((i, v, m) -> 2d * v * (i + BASE_CURVE.getParameterCount()))); assertEquals(computed, expected); }
public void test_of_noCurveMetadata() { InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_NOPARAM, XVALUES, YVALUES, INTERPOLATOR); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getParameter(0)).isEqualTo(YVALUES.get(0)); assertThat(test.getParameter(1)).isEqualTo(YVALUES.get(1)); assertThat(test.getParameterMetadata(0)).isEqualTo(SimpleCurveParameterMetadata.of(ValueType.YEAR_FRACTION, XVALUES.get(0))); assertThat(test.getParameterMetadata(1)).isEqualTo(SimpleCurveParameterMetadata.of(ValueType.YEAR_FRACTION, XVALUES.get(1))); }
public void test_withParameter() { CombinedCurve computed1 = COMBINED_CURVE.withParameter(1, 12.5); CombinedCurve expected1 = CombinedCurve.of(BASE_CURVE.withParameter(1, 12.5), SPREAD_CURVE); assertEquals(computed1, expected1); CombinedCurve computed2 = COMBINED_CURVE.withParameter(5, 7.5); CombinedCurve expected2 = CombinedCurve.of( BASE_CURVE, SPREAD_CURVE.withParameter(5 - BASE_CURVE.getParameterCount(), 7.5)); assertEquals(computed2, expected2); }
public void test_of() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE); assertEquals(test.getCurrency(), GBP); assertEquals(test.getValuationDate(), DATE_VAL); assertEquals(test.getCurve(), CURVE); assertEquals(test.getParameterCount(), CURVE.getParameterCount()); assertEquals(test.getParameter(0), CURVE.getParameter(0)); assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getCurve(), CURVE.withParameter(0, 1d)); assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getCurve(), CURVE.withPerturbation((i, v, m) -> v + 1d)); assertEquals(test.findData(CURVE.getName()), Optional.of(CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); }
public void test_of() { ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE); assertEquals(test.getCurrency(), GBP); assertEquals(test.getValuationDate(), DATE_VAL); assertEquals(test.getCurve(), CURVE); assertEquals(test.getParameterCount(), CURVE.getParameterCount()); assertEquals(test.getParameter(0), CURVE.getParameter(0)); assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getCurve(), CURVE.withParameter(0, 1d)); assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getCurve(), CURVE.withPerturbation((i, v, m) -> v + 1d)); assertEquals(test.findData(CURVE.getName()), Optional.of(CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); }
public void test_of() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); assertEquals(test.getCurrency(), GBP); assertEquals(test.getValuationDate(), DATE_VAL); assertEquals(test.getCurve(), CURVE); assertEquals(test.getParameterCount(), CURVE.getParameterCount()); assertEquals(test.getParameter(0), CURVE.getParameter(0)); assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getCurve(), CURVE.withParameter(0, 1d)); assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getCurve(), CURVE.withPerturbation((i, v, m) -> v + 1d)); assertEquals(test.findData(CURVE.getName()), Optional.of(CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); }
public void test_of_CurveMetadata() { InterpolatedNodalCurve test = InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES, INTERPOLATOR); assertThat(test.getName()).isEqualTo(CURVE_NAME); assertThat(test.getParameterCount()).isEqualTo(SIZE); assertThat(test.getParameter(0)).isEqualTo(YVALUES.get(0)); assertThat(test.getParameter(1)).isEqualTo(YVALUES.get(1)); assertThat(test.getParameterMetadata(0)).isSameAs(METADATA_ENTRIES.getParameterMetadata().get().get(0)); assertThat(test.getParameterMetadata(1)).isSameAs(METADATA_ENTRIES.getParameterMetadata().get().get(1)); assertThat(test.withParameter(0, 2d)).isEqualTo( InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES.with(0, 2d), INTERPOLATOR)); assertThat(test.withPerturbation((i, v, m) -> v - 2d)).isEqualTo( InterpolatedNodalCurve.of(METADATA_ENTRIES, XVALUES, YVALUES_BUMPED, INTERPOLATOR)); assertThat(test.getExtrapolatorLeft().getName()).isEqualTo(FLAT_EXTRAPOLATOR.getName()); assertThat(test.getInterpolator().getName()).isEqualTo(INTERPOLATOR.getName()); assertThat(test.getExtrapolatorRight().getName()).isEqualTo(FLAT_EXTRAPOLATOR.getName()); assertThat(test.getMetadata()).isEqualTo(METADATA_ENTRIES); assertThat(test.getXValues()).isEqualTo(XVALUES); assertThat(test.getYValues()).isEqualTo(YVALUES); }
private double sumSingle(InterpolatedNodalCurve interpolatedNodalCurve) { double result = 0.0; int nbNodePoints = interpolatedNodalCurve.getParameterCount(); for (int i = 0; i < nbNodePoints; i++) { result += interpolatedNodalCurve.getXValues().get(i) * interpolatedNodalCurve.getYValues().get(i); } return result; }
public void test_of_noSeasonality() { SimplePriceIndexValues test = SimplePriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS); assertEquals(test.getIndex(), US_CPI_U); assertEquals(test.getValuationDate(), VAL_DATE); assertEquals(test.getCurve(), CURVE_NOFIX); assertEquals(test.getParameterCount(), CURVE_NOFIX.getParameterCount()); assertEquals(test.getParameter(0), CURVE_NOFIX.getParameter(0)); assertEquals(test.getParameterMetadata(0), CURVE_NOFIX.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getCurve(), CURVE_NOFIX.withParameter(0, 1d)); assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getCurve(), CURVE_NOFIX.withPerturbation((i, v, m) -> v + 1d)); assertEquals(test.findData(CURVE_NOFIX.getName()), Optional.of(CURVE_NOFIX)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); // check PriceIndexValues PriceIndexValues test2 = PriceIndexValues.of(US_CPI_U, VAL_DATE, CURVE_NOFIX, USCPI_TS); assertEquals(test, test2); }
public void test_of_withoutFixings() { SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE); assertEquals(test.getIndex(), GBP_LIBOR_3M); assertEquals(test.getValuationDate(), DATE_VAL); assertEquals(test.getFixings(), SERIES_EMPTY); assertEquals(test.getCurve(), CURVE); assertEquals(test.getParameterCount(), CURVE.getParameterCount()); assertEquals(test.getParameter(0), CURVE.getParameter(0)); assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getCurve(), CURVE.withParameter(0, 1d)); assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getCurve(), CURVE.withPerturbation((i, v, m) -> v + 1d)); assertEquals(test.findData(CURVE.getName()), Optional.of(CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); // check IborIndexRates IborIndexRates test2 = IborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE); assertEquals(test, test2); }
private CurrencyParameterSensitivities sensiModFn(ImmutableRatesProvider provider) { CurrencyParameterSensitivities sensi = CurrencyParameterSensitivities.empty(); // Index ImmutableMap<Index, Curve> mapIndex = provider.getIndexCurves(); for (Entry<Index, Curve> entry : mapIndex.entrySet()) { if (entry.getKey() instanceof IborIndex) { InterpolatedNodalCurve curveInt = checkInterpolated(entry.getValue()); double sumSqrt = sumMod(provider); sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(curveInt.getName(), USD, DoubleArray.of(curveInt.getParameterCount(), i -> 2d * sumSqrt * curveInt.getXValues().get(i)))); } } return sensi; }