public void testWithFlagsSemantics() {
final AdvancedCache<MagicKey, String> cache1 = advancedCache(0, cacheName);
final AdvancedCache<MagicKey, String> cache2 = advancedCache(1, cacheName);
assertNotSame("CacheStores", getCacheStore(cache1), getCacheStore(cache2));
assertLoadsAndReset(cache1, 0, cache2, 0);
final AdvancedCache<MagicKey, String> cache1LocalOnly = cache1.withFlags(CACHE_MODE_LOCAL);
MagicKey localKey = new MagicKey("local", cache1);
cache1LocalOnly.put(localKey, "value1");
assertLoadsAndReset(cache1, 1, cache2, 0);
cache2.withFlags(CACHE_MODE_LOCAL).put(localKey, "value2");
assertLoadsAndReset(cache1, 0, cache2, 1);
assertCacheValue(cache1, localKey, "value1");
assertLoadsAndReset(cache1, 0, cache2, 0);
assertCacheValue(cache2, localKey, "value2");
assertLoadsAndReset(cache1, 0, cache2, 0);
MagicKey nonLocalKey = new MagicKey("nonLocal", cache2);
cache1.put(nonLocalKey, "value");
// Write skew check needs the previous version on the originator AND on the primary owner
int cache1Loads = isTxCache() ? 1 : 0;
assertLoadsAndReset(cache1, cache1Loads, cache2, 1);
assertCacheValue(cache2, nonLocalKey, "value");
assertLoadsAndReset(cache1, 0, cache2, 0);
final AdvancedCache<MagicKey, String> cache1SkipRemoteAndStores =
cache1LocalOnly.withFlags(SKIP_CACHE_LOAD);
MagicKey localKey2 = new MagicKey("local2", cache1);
cache1SkipRemoteAndStores.put(localKey2, "value");
assertLoadsAndReset(cache1, 0, cache2, 0);
assertCacheValue(cache1, localKey2, "value");
// localKey2 isn't in memory, looks into store
assertCacheValue(cache2, localKey2, null);
assertLoadsAndReset(cache1, 0, cache2, 1);
assertCacheValue(cache2, localKey2, null);
assertLoadsAndReset(cache1, 0, cache2, 1);
assertCacheValue(cache2.withFlags(SKIP_CACHE_LOAD), localKey2, null);
assertLoadsAndReset(cache1, 0, cache2, 0);
// Options on cache1SkipRemoteAndStores did NOT affect this cache
MagicKey localKey3 = new MagicKey("local3", cache1);
assertCacheValue(cache1LocalOnly, localKey3, null);
assertLoadsAndReset(cache1, 1, cache2, 0);
}
public void testCompileFunction() {
final InMemoryFunctionRepository functions = new InMemoryFunctionRepository();
final MockFunction alwaysValid = new MockFunction("always valid", null, null);
final MockFunction validUntil = new MockFunction("valid until", null, 30L);
final MockFunction validFrom = new MockFunction("valid from", 30L, null);
final MockFunction validWithin = new MockFunction("valid within", 30L, 30L);
functions.addFunction(alwaysValid);
functions.addFunction(validUntil);
functions.addFunction(validFrom);
functions.addFunction(validWithin);
final CachingFunctionRepositoryCompiler compiler = new CachingFunctionRepositoryCompiler();
final CompiledFunctionService context =
new CompiledFunctionService(functions, compiler, new FunctionCompilationContext());
final Instant timestamp = Instant.now();
// Everything compiled once
final CompiledFunctionRepository compiledFunctionsNow =
context.compileFunctionRepository(timestamp);
assertSame(
alwaysValid,
compiledFunctionsNow.getDefinition(alwaysValid.getUniqueId()).getFunctionDefinition());
assertSame(
validUntil,
compiledFunctionsNow.getDefinition(validUntil.getUniqueId()).getFunctionDefinition());
assertSame(
validFrom,
compiledFunctionsNow.getDefinition(validFrom.getUniqueId()).getFunctionDefinition());
assertSame(
validWithin,
compiledFunctionsNow.getDefinition(validWithin.getUniqueId()).getFunctionDefinition());
assertEquals(1, alwaysValid._compileCount.get());
assertEquals(1, validUntil._compileCount.get());
assertEquals(1, validFrom._compileCount.get());
assertEquals(1, validWithin._compileCount.get());
// All previously compiled ones still valid, so should use the "previous" cache
final CompiledFunctionRepository compiledFunctionsAheadWithin =
context.compileFunctionRepository(timestamp.plusMillis(29L));
assertSame(compiledFunctionsNow, compiledFunctionsAheadWithin);
assertEquals(1, alwaysValid._compileCount.get());
assertEquals(1, validUntil._compileCount.get());
assertEquals(1, validFrom._compileCount.get());
assertEquals(1, validWithin._compileCount.get());
// All previously compiled ones still valid, so should use the "previous" cache
final CompiledFunctionRepository compiledFunctionsAheadLimit =
context.compileFunctionRepository(timestamp.plusMillis(30L));
assertSame(compiledFunctionsNow, compiledFunctionsAheadLimit);
assertEquals(1, alwaysValid._compileCount.get());
assertEquals(1, validUntil._compileCount.get());
assertEquals(1, validFrom._compileCount.get());
assertEquals(1, validWithin._compileCount.get());
// Some functions to be recompiled, others from the "previous" cache
final CompiledFunctionRepository compiledFunctionsAheadBeyond =
context.compileFunctionRepository(timestamp.plusMillis(31L));
assertNotSame(compiledFunctionsNow, compiledFunctionsAheadBeyond);
assertSame(
compiledFunctionsNow.getDefinition(alwaysValid.getUniqueId()),
compiledFunctionsAheadBeyond.getDefinition(alwaysValid.getUniqueId()));
assertNotSame(
compiledFunctionsNow.getDefinition(validUntil.getUniqueId()),
compiledFunctionsAheadBeyond.getDefinition(validUntil.getUniqueId()));
assertSame(
compiledFunctionsNow.getDefinition(validFrom.getUniqueId()),
compiledFunctionsAheadBeyond.getDefinition(validFrom.getUniqueId()));
assertNotSame(
compiledFunctionsNow.getDefinition(validWithin.getUniqueId()),
compiledFunctionsAheadBeyond.getDefinition(validWithin.getUniqueId()));
assertEquals(1, alwaysValid._compileCount.get());
assertEquals(2, validUntil._compileCount.get());
assertEquals(1, validFrom._compileCount.get());
assertEquals(2, validWithin._compileCount.get());
// All previously compiled functions, so should use the "ahead" cache
final CompiledFunctionRepository compiledFunctionsBeforeWithin =
context.compileFunctionRepository(timestamp.minusMillis(30L));
assertSame(compiledFunctionsNow, compiledFunctionsBeforeWithin);
assertEquals(1, alwaysValid._compileCount.get());
assertEquals(2, validUntil._compileCount.get());
assertEquals(1, validFrom._compileCount.get());
assertEquals(2, validWithin._compileCount.get());
// Some functions to be recompiled, others from the "ahead" cache
final CompiledFunctionRepository compiledFunctionsBeforeBeyond =
context.compileFunctionRepository(timestamp.minusMillis(31L));
assertNotSame(compiledFunctionsNow, compiledFunctionsBeforeBeyond);
assertSame(
compiledFunctionsNow.getDefinition(alwaysValid.getUniqueId()),
compiledFunctionsBeforeBeyond.getDefinition(alwaysValid.getUniqueId()));
assertSame(
compiledFunctionsNow.getDefinition(validUntil.getUniqueId()),
compiledFunctionsBeforeBeyond.getDefinition(validUntil.getUniqueId()));
assertNotSame(
compiledFunctionsNow.getDefinition(validFrom.getUniqueId()),
compiledFunctionsBeforeBeyond.getDefinition(validFrom.getUniqueId()));
assertNotSame(
compiledFunctionsNow.getDefinition(validWithin.getUniqueId()),
compiledFunctionsBeforeBeyond.getDefinition(validWithin.getUniqueId()));
assertEquals(1, alwaysValid._compileCount.get());
assertEquals(2, validUntil._compileCount.get());
assertEquals(2, validFrom._compileCount.get());
assertEquals(3, validWithin._compileCount.get());
}
@Test
public void buildCreditCurveTest() {
final double[] time = new double[] {0.1, 0.3, 0.5, 1., 3.};
final double[] forward = new double[] {0.06, 0.1, 0.05, 0.08, 0.11};
final ISDACompliantCreditCurve cv1 =
ISDACompliantCreditCurve.makeFromForwardRates(time, forward);
final int num = time.length;
final double[] rt = new double[num];
final double[] r = new double[num];
rt[0] = forward[0] * time[0];
r[0] = forward[0];
for (int i = 1; i < num; ++i) {
rt[i] = rt[i - 1] + forward[i] * (time[i] - time[i - 1]);
r[i] = rt[i] / time[i];
assertEquals(r[i], cv1.getHazardRate(time[i]), EPS);
assertEquals(Math.exp(-rt[i]), cv1.getSurvivalProbability(time[i]), EPS);
}
final ISDACompliantCreditCurve cv2 = ISDACompliantCreditCurve.makeFromRT(time, rt);
final ISDACompliantCreditCurve cv3 = new ISDACompliantCreditCurve(time, r);
final double base = 0.05;
final double[] timeMod = new double[num];
final double[] rMod = new double[num];
for (int i = 0; i < num; ++i) {
timeMod[i] = time[i] + base;
rMod[i] = (rt[i] + r[0] * base) / timeMod[i];
}
final ISDACompliantCreditCurve cv4 = (new ISDACompliantCreditCurve(time, rMod)).withRates(r);
final ISDACompliantCreditCurve cv1Clone = cv1.clone();
assertNotSame(cv1, cv1Clone);
assertEquals(cv1, cv1Clone);
assertEquals(cv1.toString(), cv1Clone.toString());
for (int i = 0; i < num; ++i) {
assertEquals(cv1.getKnotTimes()[i], cv2.getKnotTimes()[i], EPS);
assertEquals(cv1.getKnotTimes()[i], cv3.getKnotTimes()[i], EPS);
assertEquals(cv1.getKnotTimes()[i], cv4.getKnotTimes()[i], EPS);
assertEquals(cv1.getRt()[i], cv2.getRt()[i], EPS);
assertEquals(cv1.getRt()[i], cv3.getRt()[i], EPS);
assertEquals(cv1.getRt()[i], cv4.getRt()[i], EPS);
}
final ISDACompliantCreditCurve cvOnePoint = new ISDACompliantCreditCurve(time[2], r[2]);
assertEquals(r[2], cvOnePoint.getForwardRate(time[0]));
assertEquals(r[2], cvOnePoint.getForwardRate(time[4]));
/*
* Meta
*/
final ISDACompliantCreditCurve.Meta meta = cv1.metaBean();
final BeanBuilder<?> builder = meta.builder();
builder.set(meta.metaPropertyGet("name"), "");
builder.set(meta.metaPropertyGet("t"), time);
builder.set(meta.metaPropertyGet("rt"), rt);
ISDACompliantCreditCurve builtCurve = (ISDACompliantCreditCurve) builder.build();
assertEquals(cv1, builtCurve);
final ISDACompliantCreditCurve.Meta meta1 = ISDACompliantCreditCurve.meta();
assertEquals(meta, meta1);
/*
* Error expected
*/
try {
final double[] rtshort = Arrays.copyOf(rt, num - 2);
ISDACompliantCreditCurve.makeFromRT(time, rtshort);
} catch (final Exception e) {
assertTrue(e instanceof IllegalArgumentException);
}
/*
* hashCode and equals
*/
assertTrue(cv1.equals(cv1));
assertTrue(!(cv1.equals(null)));
final ISDACompliantCurve superCv1 = ISDACompliantCurve.makeFromForwardRates(time, forward);
assertTrue(cv1.hashCode() != superCv1.hashCode());
assertTrue(!(cv1.equals(superCv1)));
}
@Test
public void buildDateCurveTest() {
final LocalDate baseDate = LocalDate.of(2012, 8, 8);
final LocalDate[] dates =
new LocalDate[] {
LocalDate.of(2012, 12, 3),
LocalDate.of(2013, 4, 29),
LocalDate.of(2013, 11, 12),
LocalDate.of(2014, 5, 18)
};
final double[] rates = new double[] {0.11, 0.22, 0.15, 0.09};
final DayCount dcc = DayCounts.ACT_365F;
final int num = dates.length;
final ISDACompliantDateCreditCurve baseCurve =
new ISDACompliantDateCreditCurve(baseDate, dates, rates);
final LocalDate[] clonedDates = baseCurve.getCurveDates();
assertNotSame(dates, clonedDates);
final int modPosition = 2;
final ISDACompliantDateCreditCurve curveWithRate =
baseCurve.withRate(rates[modPosition] * 1.5, modPosition);
final ISDACompliantDateCreditCurve clonedCurve = baseCurve.clone();
assertNotSame(baseCurve, clonedCurve);
final double[] t = new double[num];
final double[] rt = new double[num];
for (int i = 0; i < num; ++i) {
assertEquals(dates[i], baseCurve.getCurveDate(i));
assertEquals(dates[i], curveWithRate.getCurveDate(i));
assertEquals(dates[i], clonedDates[i]);
assertEquals(clonedCurve.getCurveDate(i), baseCurve.getCurveDate(i));
if (i == modPosition) {
assertEquals(rates[i] * 1.5, curveWithRate.getZeroRateAtIndex(i));
}
t[i] = dcc.yearFraction(baseDate, dates[i]);
rt[i] = t[i] * rates[i];
}
final LocalDate[] sampleDates =
new LocalDate[] {baseDate.plusDays(2), LocalDate.of(2013, 7, 5), dates[2]};
final int nSampleDates = sampleDates.length;
final double[] sampleRates = new double[nSampleDates];
final double[] fracs = new double[nSampleDates];
for (int i = 0; i < nSampleDates; ++i) {
fracs[i] = dcc.yearFraction(baseDate, sampleDates[i]);
sampleRates[i] = baseCurve.getZeroRate(sampleDates[i]);
}
assertEquals(rates[0], sampleRates[0]);
assertEquals(
(rt[2] * (fracs[1] - t[1]) + rt[1] * (t[2] - fracs[1])) / (t[2] - t[1]) / fracs[1],
sampleRates[1]);
assertEquals(rates[2], sampleRates[2]);
assertEquals(baseDate, baseCurve.getBaseDate());
/*
* Test meta
*/
final Property<LocalDate> propBaseDate = baseCurve.baseDate();
final Property<LocalDate[]> propDates = baseCurve.dates();
final Property<DayCount> propDcc = baseCurve.dayCount();
final Meta meta = baseCurve.metaBean();
final BeanBuilder<?> builder = meta.builder();
builder.set(propBaseDate.name(), baseDate);
builder.set(propDates.name(), dates);
builder.set(propDcc.name(), dcc);
builder.set(meta.metaPropertyGet("name"), "");
builder.set(meta.metaPropertyGet("t"), t);
builder.set(meta.metaPropertyGet("rt"), rt);
ISDACompliantDateCreditCurve builtCurve = (ISDACompliantDateCreditCurve) builder.build();
assertEquals(baseCurve, builtCurve);
final Meta meta1 = ISDACompliantDateCreditCurve.meta();
assertEquals(meta1, meta);
/*
* hash and equals
*/
assertTrue(!(baseCurve.equals(null)));
assertTrue(!(baseCurve.equals(new ISDACompliantDateCurve(baseDate, dates, rates))));
assertTrue(
!(baseCurve.equals(new ISDACompliantDateCreditCurve(baseDate.minusDays(1), dates, rates))));
assertTrue(
!(baseCurve.equals(
new ISDACompliantDateCreditCurve(
baseDate,
new LocalDate[] {
LocalDate.of(2012, 12, 3),
LocalDate.of(2013, 4, 29),
LocalDate.of(2013, 11, 12),
LocalDate.of(2014, 5, 19)
},
rates))));
assertTrue(
!(baseCurve.equals(
new ISDACompliantDateCreditCurve(baseDate, dates, rates, DayCounts.ACT_365_25))));
assertTrue(baseCurve.equals(baseCurve));
assertTrue(baseCurve.hashCode() != curveWithRate.hashCode());
assertTrue(!(baseCurve.equals(curveWithRate)));
/*
* String
*/
assertEquals(baseCurve.toString(), clonedCurve.toString());
}
