/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.covariance;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.precise.instant.ImmutableInstantDoubleTimeSeries;
import com.opengamma.util.test.TestGroup;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
public class HistoricalCovarianceCalculatorTest {
private static final DoubleTimeSeries<?> TS1 = ImmutableInstantDoubleTimeSeries.of(new long[] {1, 2, 3, 4, 5}, new double[] {1, 1, 1, 1, 1});
private static final CovarianceCalculator CALCULATOR = new HistoricalCovarianceCalculator();
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullArray() {
CALCULATOR.evaluate((DoubleTimeSeries<?>[]) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testWrongSizeArray() {
CALCULATOR.evaluate(TS1);
}
@Test
public void test() {
final double n = TS1.size();
final double covariance = CALCULATOR.evaluate(TS1, TS1);
assertEquals(covariance, n / (n - 1) - 1, 1e-9);
}
}