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_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_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_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)); }
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_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_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_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 test_filtered() { DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(5), GBP_LIBOR_1M, GBP_LIBOR_1M_ID); DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(10), GBP_LIBOR_1M, GBP_LIBOR_1M_ID); DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, GBP_LIBOR_1M_ID, DROP_THIS_2D); ImmutableList<DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3); LocalDate valuationDate = date(2015, 6, 30); InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder() .name(CURVE_NAME1) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.ZERO_RATE) .dayCount(ACT_365F) .nodes(nodes) .interpolator(CurveInterpolators.LINEAR) .extrapolatorLeft(CurveExtrapolators.FLAT) .extrapolatorRight(CurveExtrapolators.FLAT) .build(); RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder() .name(CurveGroupName.of("Test")) .addCurve(curveDefn, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M) .build(); RatesCurveGroupDefinition expected = RatesCurveGroupDefinition.builder() .name(CurveGroupName.of("Test")) .addCurve(curveDefn.filtered(valuationDate, REF_DATA), GBP, GBP_LIBOR_1M, GBP_LIBOR_3M) .build(); assertEquals(test.filtered(valuationDate, REF_DATA), expected); }