/**
* 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);
}
}