@Test
public void testReturnsWithZeroesInSeries() {
final int n = 20;
final LocalDate[] times = new LocalDate[n];
final double[] data = new double[n];
final double[] returns = new double[n - 3];
double random;
for (int i = 0; i < n - 2; i++) {
times[i] = LocalDate.ofEpochDay(i);
random = RANDOM.nextDouble();
data[i] = random;
if (i > 0) {
returns[i - 1] = Math.log(random / data[i - 1]);
}
}
times[n - 2] = LocalDate.ofEpochDay(n - 2);
data[n - 2] = 0;
times[n - 1] = LocalDate.ofEpochDay(n - 1);
data[n - 1] = RANDOM.nextDouble();
final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
final LocalDateDoubleTimeSeries returnTS =
ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n - 2), returns);
final TimeSeriesReturnCalculator strict =
new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.STRICT);
final LocalDateDoubleTimeSeries[] tsArray = new LocalDateDoubleTimeSeries[] {priceTS};
try {
strict.evaluate(tsArray);
Assert.fail();
} catch (final TimeSeriesException e) {
// Expected
}
final TimeSeriesReturnCalculator lenient =
new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.LENIENT);
assertTrue(lenient.evaluate(tsArray).equals(returnTS));
}
@SuppressWarnings("unchecked")
@Test
public void testReturnsWithZeroesInSeries() {
final int n = 20;
final long[] times = new long[n];
final double[] data = new double[n];
final double[] returns = new double[n - 3];
double random;
for (int i = 0; i < n - 2; i++) {
times[i] = i;
random = RANDOM.nextDouble();
data[i] = random;
if (i > 0) {
returns[i - 1] = Math.log(random / data[i - 1]);
}
}
times[n - 2] = n - 2;
data[n - 2] = 0;
times[n - 1] = n - 1;
data[n - 1] = RANDOM.nextDouble();
final DoubleTimeSeries<Long> priceTS = new FastArrayLongDoubleTimeSeries(ENCODING, times, data);
final DoubleTimeSeries<Long> returnTS =
new FastArrayLongDoubleTimeSeries(ENCODING, Arrays.copyOfRange(times, 1, n - 2), returns);
final TimeSeriesReturnCalculator strict =
new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.STRICT);
final DoubleTimeSeries<Long>[] tsArray = new DoubleTimeSeries[] {priceTS};
try {
strict.evaluate(tsArray);
Assert.fail();
} catch (final TimeSeriesException e) {
// Expected
}
final TimeSeriesReturnCalculator lenient =
new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.LENIENT);
assertTrue(lenient.evaluate(tsArray).equals(returnTS));
}
