com.opengamma.strata.market.curve.InterpolatedNodalCurveDefinition$Builder.extrapolatorLeft java code examples

InterpolatedNodalCurveDefinition createCurveDefinition(List<CurveNode> nodes) {
 return InterpolatedNodalCurveDefinition.builder()
   .name(curveName)
   .xValueType(xValueType)
   .yValueType(yValueType)
   .dayCount(dayCount)
   .nodes(nodes)
   .interpolator(interpolator)
   .extrapolatorLeft(extrapolatorLeft)
   .extrapolatorRight(extrapolatorRight)
   .build();
}

public void test_toCurveParameterSize() {
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(NODES)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertEquals(test.toCurveParameterSize(), CurveParameterSize.of(CURVE_NAME, NODES.size()));
}

public void test_serialization() {
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(NODES)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertSerialization(test);
}

public void test_filtered_dropThis_atStart() {
 DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(3), GBP_LIBOR_1M, TICKER, DROP_THIS_2D);
 DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(4), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER);
 ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(nodes)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertEquals(test.filtered(VAL_DATE, REF_DATA).getNodes(), ImmutableList.of(node2, node3));
}

public void test_filtered_exception_atStart() {
 DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(3), GBP_LIBOR_1M, TICKER, EXCEPTION_2D);
 DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(4), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER);
 ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(nodes)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertThrowsIllegalArg(() -> test.filtered(VAL_DATE, REF_DATA), "Curve node dates clash.*");
}

public void coverage() {
 InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(
   UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
 coverImmutableBean(test);
 InterpolatedNodalCurveDefinition underlyingDef2 = InterpolatedNodalCurveDefinition.builder()
   .name(CurveName.of("foo"))
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(NODES)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 SeasonalityDefinition seasonalityDef2 =
   SeasonalityDefinition.of(SEASONALITY_ADDITIVE, ShiftType.SCALED);
 InflationNodalCurveDefinition test2 = new InflationNodalCurveDefinition(
   underlyingDef2, LAST_FIX_MONTH.plus(Period.ofMonths(1)), LAST_FIX_VALUE + 1.0d, seasonalityDef2);
 coverBeanEquals(test, test2);
}

public void test_metadata() {
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(NODES)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 DefaultCurveMetadata expected = DefaultCurveMetadata.builder()
   .curveName(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .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 test_builder() {
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(NODES)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertEquals(test.getName(), CURVE_NAME);
 assertEquals(test.getXValueType(), ValueType.YEAR_FRACTION);
 assertEquals(test.getYValueType(), ValueType.ZERO_RATE);
 assertEquals(test.getDayCount(), Optional.of(ACT_365F));
 assertEquals(test.getNodes(), NODES);
 assertEquals(test.getInterpolator(), CurveInterpolators.LINEAR);
 assertEquals(test.getExtrapolatorLeft(), CurveExtrapolators.FLAT);
 assertEquals(test.getExtrapolatorRight(), CurveExtrapolators.FLAT);
 assertEquals(test.getParameterCount(), 2);
}

public void test_filtered_dropOther_multiple() {
 DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(5), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(10), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node4 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER, DROP_OTHER_2D);
 DummyFraCurveNode node5 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node6 = DummyFraCurveNode.of(Period.ofDays(15), GBP_LIBOR_1M, TICKER);
 ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3, node4, node5, node6);
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(nodes)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertEquals(test.filtered(VAL_DATE, REF_DATA).getNodes(), ImmutableList.of(node1, node4, node6));
}

public void test_filtered_exception_atEnd() {
 DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(5), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(10), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER, EXCEPTION_2D);
 ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(nodes)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertThrowsIllegalArg(() -> test.filtered(VAL_DATE, REF_DATA), "Curve node dates clash.*");
}

public void test_filtered_dropThis_middle() {
 DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(3), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(4), GBP_LIBOR_1M, TICKER, DROP_THIS_2D);
 DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER);
 ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(nodes)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertEquals(test.filtered(VAL_DATE, REF_DATA).getNodes(), ImmutableList.of(node1, node3));
}

public void test_filtered_dropThis_atEnd() {
 DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(5), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(10), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER, DROP_THIS_2D);
 ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(nodes)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertEquals(test.filtered(VAL_DATE, REF_DATA).getNodes(), ImmutableList.of(node1, node2));
}

public void test_filtered_dropOther_atStart() {
 DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(3), GBP_LIBOR_1M, TICKER, DROP_OTHER_2D);
 DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(4), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER);
 ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(nodes)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertEquals(test.filtered(VAL_DATE, REF_DATA).getNodes(), ImmutableList.of(node1, node3));
}

public void test_filtered_dropOther_middle() {
 DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(3), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(4), GBP_LIBOR_1M, TICKER, DROP_OTHER_2D);
 DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER);
 ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(nodes)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertEquals(test.filtered(VAL_DATE, REF_DATA).getNodes(), ImmutableList.of(node2, node3));
}

public void test_filtered_dropOther_atEnd() {
 DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(5), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(10), GBP_LIBOR_1M, TICKER);
 DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, TICKER, DROP_OTHER_2D);
 ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
 InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder()
   .name(CURVE_NAME)
   .xValueType(ValueType.YEAR_FRACTION)
   .yValueType(ValueType.ZERO_RATE)
   .dayCount(ACT_365F)
   .nodes(nodes)
   .interpolator(CurveInterpolators.LINEAR)
   .extrapolatorLeft(CurveExtrapolators.FLAT)
   .extrapolatorRight(CurveExtrapolators.FLAT)
   .build();
 assertEquals(test.filtered(VAL_DATE, REF_DATA).getNodes(), ImmutableList.of(node1, node3));
}

Javadoc

Sets the extrapolator used to find points to the left of the leftmost point on the curve.

Popular methods of InterpolatedNodalCurveDefinition$Builder

nodes
Sets the nodes property in the builder from an array of objects.
build
dayCount
Sets the day count, optional. If the x-value of the curve represents time as a year fraction, the da
extrapolatorRight
Sets the extrapolator used to find points to the right of the rightmost point on the curve.
interpolator
Sets the interpolator used to find points on the curve.
name
Sets the curve name.
xValueType
Sets the x-value type, providing meaning to the x-values of the curve. This type provides meaning to
yValueType
Sets the y-value type, providing meaning to the y-values of the curve. This type provides meaning to
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