コード例 #1
0
 /** Tests creating index shifts from a Groovy script. */
 @Test
 public void index() {
   Scenario scenario =
       SimulationUtils.createScenarioFromDsl("src/test/groovy/SurfaceTest3.groovy", null);
   ScenarioDefinition definition = scenario.createDefinition();
   assertEquals("surface index shifts", definition.getName());
   Map<DistinctMarketDataSelector, FunctionParameters> map = definition.getDefinitionMap();
   FunctionParameters params =
       map.get(new VolatilitySurfaceSelector(null, null, null, null, null, null, null));
   assertNotNull(params);
   Object value =
       ((SimpleFunctionParameters) params)
           .getValue(StructureManipulationFunction.EXPECTED_PARAMETER_NAME);
   CompositeStructureManipulator manipulator = (CompositeStructureManipulator) value;
   List manipulators = manipulator.getManipulators();
   assertEquals(1, manipulators.size());
   List<Double> shifts = Lists.newArrayList(0d, 1e-4, 2e-4);
   VolatilitySurfaceIndexShifts expected =
       new VolatilitySurfaceIndexShifts(ScenarioShiftType.ABSOLUTE, shifts);
   assertEquals(expected, manipulators.get(0));
 }
コード例 #2
0
 @Test
 public void absolute() {
   Scenario scenario =
       SimulationUtils.createScenarioFromDsl("src/test/groovy/SurfaceTest2.groovy", null);
   ScenarioDefinition definition = scenario.createDefinition();
   assertEquals("absolute surface test", definition.getName());
   Map<DistinctMarketDataSelector, FunctionParameters> map = definition.getDefinitionMap();
   FunctionParameters params =
       map.get(new VolatilitySurfaceSelector(null, null, null, null, null, null, null));
   assertNotNull(params);
   Object value =
       ((SimpleFunctionParameters) params)
           .getValue(StructureManipulationFunction.EXPECTED_PARAMETER_NAME);
   CompositeStructureManipulator manipulator = (CompositeStructureManipulator) value;
   List manipulators = manipulator.getManipulators();
   assertEquals(1, manipulators.size());
   List<VolatilitySurfaceShift> shifts =
       ImmutableList.of(
           new VolatilitySurfaceShift(0.5, 0.6, 0.1), new VolatilitySurfaceShift(1.5, 0.7, 0.2));
   VolatilitySurfaceShiftManipulator expected =
       VolatilitySurfaceShiftManipulator.create(ScenarioShiftType.ABSOLUTE, shifts);
   assertEquals(expected, manipulators.get(0));
 }