@Test
public void testReturnsWithDividendsAtDifferentTimes() {
final int n = 20;
final LocalDate[] times = new LocalDate[n];
final double[] data = new double[n];
final double[] returns = new double[n - 1];
double random;
for (int i = 0; i < n; i++) {
times[i] = LocalDate.ofEpochDay(i);
random = RANDOM.nextDouble();
data[i] = random;
if (i > 0) {
returns[i - 1] = Math.log(random / data[i - 1]);
}
}
final LocalDateDoubleTimeSeries dividendTS =
ImmutableLocalDateDoubleTimeSeries.of(
new LocalDate[] {LocalDate.ofEpochDay(300)}, new double[] {3});
final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
final LocalDateDoubleTimeSeries returnTS =
ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n), returns);
assertTrue(
CALCULATOR
.evaluate(new LocalDateDoubleTimeSeries[] {priceTS, dividendTS})
.equals(returnTS));
}
@Test
public void testReturnsWithZeroesInSeries() {
final int n = 20;
final LocalDate[] times = new LocalDate[n];
final double[] data = new double[n];
final double[] returns = new double[n - 3];
double random;
for (int i = 0; i < n - 2; i++) {
times[i] = LocalDate.ofEpochDay(i);
random = RANDOM.nextDouble();
data[i] = random;
if (i > 0) {
returns[i - 1] = Math.log(random / data[i - 1]);
}
}
times[n - 2] = LocalDate.ofEpochDay(n - 2);
data[n - 2] = 0;
times[n - 1] = LocalDate.ofEpochDay(n - 1);
data[n - 1] = RANDOM.nextDouble();
final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
final LocalDateDoubleTimeSeries returnTS =
ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n - 2), returns);
final TimeSeriesReturnCalculator strict =
new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.STRICT);
final LocalDateDoubleTimeSeries[] tsArray = new LocalDateDoubleTimeSeries[] {priceTS};
try {
strict.evaluate(tsArray);
Assert.fail();
} catch (final TimeSeriesException e) {
// Expected
}
final TimeSeriesReturnCalculator lenient =
new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.LENIENT);
assertTrue(lenient.evaluate(tsArray).equals(returnTS));
}
@Test(expectedExceptions = TimeSeriesException.class)
public void testWithBadInputs() {
final LocalDateDoubleTimeSeries ts =
ImmutableLocalDateDoubleTimeSeries.of(
new LocalDate[] {LocalDate.ofEpochDay(1)}, new double[] {4});
CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {ts});
}
@BeforeMethod
public void setUp() {
dates = new LocalDate[] {LocalDate.of(2012, 6, 30), LocalDate.of(2012, 7, 1)};
values = new double[] {1.1d, 2.2d};
ts = ImmutableLocalDateDoubleTimeSeries.of(dates, values);
empty = ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES;
}
@Override
protected LocalDateDoubleTimeSeries getReturnSeries(
LocalDateDoubleTimeSeries ts, ValueRequirement desiredValue) {
LocalDateDoubleTimeSeries differenceSeries = super.getReturnSeries(ts, desiredValue);
double lambda =
Double.parseDouble(
desiredValue.getConstraint(
VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
TimeSeriesWeightedVolatilityOperator weightedVol =
new TimeSeriesWeightedVolatilityOperator(lambda);
LocalDateDoubleTimeSeries weightedVolSeries =
(LocalDateDoubleTimeSeries) weightedVol.evaluate(ts);
int n = weightedVolSeries.size();
double endDateWeightedVol = weightedVolSeries.getLatestValueFast();
double[] volWeightedDifferences = new double[n];
for (int i = 0; i < n; i++) {
System.out.println(
differenceSeries.getTimeAtIndex(i)
+ ","
+ differenceSeries.getValueAtIndexFast(i)
+ ","
+ weightedVolSeries.getValueAtIndexFast(i));
volWeightedDifferences[i] =
differenceSeries.getValueAtIndexFast(i)
* endDateWeightedVol
/ weightedVolSeries.getValueAtIndexFast(i);
}
LocalDateDoubleTimeSeries volWeightedDifferenceSeries =
ImmutableLocalDateDoubleTimeSeries.of(
weightedVolSeries.timesArrayFast(), volWeightedDifferences);
return volWeightedDifferenceSeries;
}
private static MarketDataEnvironment createSuppliedData() {
LocalDateDoubleTimeSeries optionPrice =
ImmutableLocalDateDoubleTimeSeries.of(VALUATION_TIME.toLocalDate(), 0.975);
RawId<Double> optionRawId =
RawId.of(ExternalSchemes.syntheticSecurityId("Test future option").toBundle());
MarketDataEnvironmentBuilder builder = new MarketDataEnvironmentBuilder();
builder.add(optionRawId, optionPrice);
builder.add(VolatilitySurfaceId.of("TestExchange"), new VolatilitySurface(TEST_SURFACE));
builder.valuationTime(VALUATION_TIME);
return builder.build();
}
/**
* Adds or updates a time-series in the master. Will not "erase" any existing point, just used to
* add a new point.
*
* @param description a description of the time-series for display purposes, not null
* @param dataSource the data source, not null
* @param dataProvider the data provider, not null
* @param dataField the data field, not null
* @param observationTime the descriptive observation time key, e.g. LONDON_CLOSE, not null
* @param externalIdBundle the external identifiers with which the time-series is associated, not
* null
* @param date the date, not null
* @param value the value, not null
* @return the unique identifier of the time-series
*/
public UniqueId writeTimeSeriesPoint(
String description,
String dataSource,
String dataProvider,
String dataField,
String observationTime,
ExternalIdBundle externalIdBundle,
LocalDate date,
double value) {
LocalDateDoubleTimeSeries ts = ImmutableLocalDateDoubleTimeSeries.of(date, value);
return writeTimeSeries(
description, dataSource, dataProvider, dataField, observationTime, externalIdBundle, ts);
}