/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.model.interestrate; import static org.testng.AssertJUnit.assertEquals; import org.testng.annotations.Test; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve; import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve; import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorDataBundle; import com.opengamma.analytics.financial.model.volatility.curve.VolatilityCurve; import com.opengamma.analytics.math.curve.ConstantDoublesCurve; import com.opengamma.util.test.TestGroup; import com.opengamma.util.time.DateUtils; /** * Test. */ @Test(groups = TestGroup.UNIT) public class HullWhiteOneFactorInterestRateModelTest { private static final double YEARS = 11.3; private static final double T = 1.23; private static final ZonedDateTime TODAY = DateUtils.getUTCDate(2010, 8, 1); private static final ZonedDateTime START = DateUtils.getDateOffsetWithYearFraction(TODAY, T); private static final ZonedDateTime MATURITY = DateUtils.getDateOffsetWithYearFraction(START, YEARS); private static final double RATE = 0.056; private static final double VOL = 0.01; private static final double SPEED = 0.13; private static final YieldAndDiscountCurve R = YieldCurve.from(ConstantDoublesCurve.from(RATE)); private static final VolatilityCurve SIGMA = new VolatilityCurve(ConstantDoublesCurve.from(VOL)); private static final HullWhiteOneFactorInterestRateModel MODEL = new HullWhiteOneFactorInterestRateModel(); private static final double EPS = 1e-8; @Test(expectedExceptions = IllegalArgumentException.class) public void testNullTime() { MODEL.getDiscountBondFunction(null, MATURITY); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullMaturity() { MODEL.getDiscountBondFunction(START, null); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullData() { MODEL.getDiscountBondFunction(START, MATURITY).evaluate((HullWhiteOneFactorDataBundle) null); } @Test public void test() { HullWhiteOneFactorDataBundle data = new HullWhiteOneFactorDataBundle(R, SIGMA, TODAY, SPEED); assertEquals(MODEL.getDiscountBondFunction(START, START).evaluate(data), 1, EPS); data = new HullWhiteOneFactorDataBundle(R, new VolatilityCurve(ConstantDoublesCurve.from(0)), TODAY, SPEED); assertEquals(Math.log(MODEL.getDiscountBondFunction(START, MATURITY).evaluate(data)), -RATE * YEARS, EPS); data = new HullWhiteOneFactorDataBundle(R, SIGMA, TODAY, 200); assertEquals(Math.log(MODEL.getDiscountBondFunction(START, MATURITY).evaluate(data)), -RATE * YEARS, EPS); } }