// -------------------------------------------------------------------------
public void test_immutableViaBeanBuilder() {
LocalDate[] dates = {DATE_2010_01_01, DATE_2011_01_01, DATE_2012_01_01};
double[] values = {6, 5, 4};
BeanBuilder<? extends LocalDateDoubleTimeSeries> builder =
SparseLocalDateDoubleTimeSeries.meta().builder();
builder.set("dates", dates);
builder.set("values", values);
LocalDateDoubleTimeSeries test = builder.build();
dates[0] = DATE_2012_01_01;
values[0] = -1;
LocalDateDoublePoint[] points = test.stream().toArray(LocalDateDoublePoint[]::new);
assertEquals(points[0], LocalDateDoublePoint.of(DATE_2010_01_01, 6d));
assertEquals(points[1], LocalDateDoublePoint.of(DATE_2011_01_01, 5d));
assertEquals(points[2], LocalDateDoublePoint.of(DATE_2012_01_01, 4d));
}
@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());
}