@Test
public void doubleDouble() {
Scenario scenario = new Scenario("Java API test");
scenario
.surface()
.apply()
.shifts(ScenarioShiftType.RELATIVE, volShift(1.5, 6.0, 0.1), volShift(2.5, 1.0, 0.2));
ScenarioDefinition definition = scenario.createDefinition();
assertEquals("Java API 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(1.5, 6.0, 0.1), new VolatilitySurfaceShift(2.5, 1.0, 0.2));
VolatilitySurfaceShiftManipulator expected =
VolatilitySurfaceShiftManipulator.create(ScenarioShiftType.RELATIVE, shifts);
assertEquals(expected, manipulators.get(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));
}
@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));
}