@Override public Double apply(final Double x) { InterpolatedNodalCurve tempCurve = curve.withParameter(curveIndex, x); double sum = 1.0 - cachedValues; // Floating leg at par for (int i = index1; i < index2; i++) { double t = swap.getPaymentTime(i); sum -= paymentAmounts[i] * Math.exp(-tempCurve.yValue(t) * t); } return sum; } };
@Override public Double apply(final Double x) { InterpolatedNodalCurve tempCurve = curve.withParameter(curveIndex, x); double sum = cachedSense; for (int i = index1; i < index2; i++) { double t = swap.getPaymentTime(i); sum += swap.getPaymentAmounts(i, swapRate) * t * Math.exp(-tempCurve.yValue(t) * t) * tempCurve.yValueParameterSensitivity(t).getSensitivity().get(curveIndex); } return sum; }
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_withParameter() { IsdaCreditDiscountFactors test = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE).withParameter(1, 0.55); IsdaCreditDiscountFactors exp = IsdaCreditDiscountFactors.of(USD, VALUATION, CURVE.withParameter(1, 0.55)); assertEquals(test, exp); }
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); }
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 getter() { assertEquals(ADD_FIXED_CURVE.getMetadata(), METADATA_SPREAD); assertEquals(ADD_FIXED_CURVE.getParameterCount(), XVALUES_SPREAD.size()); assertEquals(ADD_FIXED_CURVE.getParameter(0), ADD_FIXED_CURVE.getSpreadCurve().getParameter(0)); assertEquals(ADD_FIXED_CURVE.getParameterMetadata(0), ADD_FIXED_CURVE.getSpreadCurve().getParameterMetadata(0)); assertEquals(ADD_FIXED_CURVE.withParameter(0, 9d), AddFixedCurve.of(FIXED_CURVE, SPREAD_CURVE.withParameter(0, 9d))); assertEquals(ADD_FIXED_CURVE.withPerturbation((i, v, m) -> v + 1d), AddFixedCurve.of(FIXED_CURVE, SPREAD_CURVE.withPerturbation((i, v, m) -> v + 1d))); assertEquals(ADD_FIXED_CURVE.withMetadata(METADATA_FIXED), AddFixedCurve.of(FIXED_CURVE, SPREAD_CURVE.withMetadata(METADATA_FIXED))); }
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); }
BRACKETER.getBracketedPoints(func, 1.25 * guess, 0.8 * guess, Double.NEGATIVE_INFINITY, Double.POSITIVE_INFINITY); double r = rootFinder.getRoot(func, grad, bracket[0], bracket[1]); return curve.withParameter(curveIndex, r);