/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.riskreward;

import static org.testng.AssertJUnit.assertEquals;

import org.testng.annotations.Test;

import com.opengamma.analytics.financial.timeseries.analysis.DoubleTimeSeriesStatisticsCalculator;
import com.opengamma.analytics.math.function.Function;
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 TreynorRatioCalculatorTest {
  private static final long[] T = new long[] {1};
  private static final double BETA = 0.7;
  private static final DoubleTimeSeries<?> ASSET_RETURN = ImmutableInstantDoubleTimeSeries.of(T, new double[] {0.12});
  private static final DoubleTimeSeries<?> RISK_FREE = ImmutableInstantDoubleTimeSeries.of(T, new double[] {0.03});
  private static final DoubleTimeSeriesStatisticsCalculator EXPECTED_RETURN = new DoubleTimeSeriesStatisticsCalculator(new Function<double[], Double>() {

    @Override
    public Double evaluate(final double[]... x) {
      return x[0][0];
    }

  });
  private static final TreynorRatioCalculator TREYNOR = new TreynorRatioCalculator(EXPECTED_RETURN, EXPECTED_RETURN);

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullAssetReturnCalculator() {
    new TreynorRatioCalculator(null, EXPECTED_RETURN);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullRiskFreeReturnCalculator() {
    new TreynorRatioCalculator(EXPECTED_RETURN, null);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullTS1() {
    TREYNOR.evaluate(null, RISK_FREE, BETA);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullTS2() {
    TREYNOR.evaluate(ASSET_RETURN, null, BETA);
  }

  @Test
  public void test() {
    assertEquals(TREYNOR.evaluate(ASSET_RETURN, RISK_FREE, BETA), 0.1286, 1e-4);
  }
}