@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());
}
