public class CovarianceMatrixCalculatorTest {
private static final DoubleTimeSeries<?> TS1 =
new FastArrayIntDoubleTimeSeries(
DateTimeNumericEncoding.DATE_EPOCH_DAYS,
new int[] {1, 2, 3, 4},
new double[] {-1, 1, -1, 1});
private static final DoubleTimeSeries<?> TS2 = TS1.multiply(-1);
private static final CovarianceCalculator COVARIANCE = new HistoricalCovarianceCalculator();
private static final Function<DoubleTimeSeries<?>, DoubleMatrix2D> CALCULATOR =
new CovarianceMatrixCalculator(COVARIANCE);
private static final double EPS = 1e-9;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNull() {
new CovarianceMatrixCalculator(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTSArray() {
CALCULATOR.evaluate((DoubleTimeSeries<?>[]) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testEmptyTSArray() {
CALCULATOR.evaluate(new DoubleTimeSeries<?>[0]);
}
@Test
public void test() {
final DoubleMatrix2D matrix = CALCULATOR.evaluate(TS1, TS2);
assertEquals(matrix.getNumberOfRows(), 2);
assertEquals(matrix.getNumberOfColumns(), 2);
assertEquals(matrix.getEntry(0, 0), 4. / 3, EPS);
assertEquals(matrix.getEntry(1, 0), -4. / 3, EPS);
assertEquals(matrix.getEntry(0, 1), -4. / 3, EPS);
assertEquals(matrix.getEntry(1, 1), 4. / 3, EPS);
}
}
