ParallelShiftedCurveTest.java

/**
 * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.market.curve;

import static com.opengamma.strata.collect.TestHelper.assertSerialization;
import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
import static org.assertj.core.api.Assertions.assertThat;
import static org.assertj.core.api.Assertions.offset;

import org.testng.annotations.Test;

import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.market.ShiftType;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolators;
import com.opengamma.strata.market.param.LabelParameterMetadata;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.UnitParameterSensitivity;

@Test
public class ParallelShiftedCurveTest {

  private static final CurveMetadata METADATA = DefaultCurveMetadata.of("Test");
  private static final Curve CONSTANT_CURVE = ConstantCurve.of(METADATA, 3d);
  private static final Curve CONSTANT_CURVE2 = ConstantCurve.of(METADATA, 5d);

  //-------------------------------------------------------------------------
  public void absolute() {
    ParallelShiftedCurve test = ParallelShiftedCurve.absolute(CONSTANT_CURVE, 1d);
    assertThat(test.getUnderlyingCurve()).isEqualTo(CONSTANT_CURVE);
    assertThat(test.getShiftType()).isEqualTo(ShiftType.ABSOLUTE);
    assertThat(test.getShiftAmount()).isEqualTo(1d);
    assertThat(test.getMetadata()).isEqualTo(METADATA);
    assertThat(test.getName()).isEqualTo(METADATA.getCurveName());
    assertThat(test.getParameterCount()).isEqualTo(2);
    assertThat(test.getParameter(0)).isEqualTo(3d);
    assertThat(test.getParameter(1)).isEqualTo(1d);
    assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
    assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("AbsoluteShift"));
    assertThat(test.withParameter(0, 5d)).isEqualTo(ParallelShiftedCurve.absolute(CONSTANT_CURVE2, 1d));
    assertThat(test.withParameter(1, 0.5d)).isEqualTo(ParallelShiftedCurve.absolute(CONSTANT_CURVE, 0.5d));
    assertThat(test.withPerturbation((i, v, m) -> v + 2d)).isEqualTo(ParallelShiftedCurve.absolute(CONSTANT_CURVE2, 3d));
    assertThat(test.yValue(0)).isEqualTo(4d);
    assertThat(test.yValue(1)).isEqualTo(4d);
  }

  public void relative() {
    ParallelShiftedCurve test = ParallelShiftedCurve.relative(CONSTANT_CURVE, 0.1d);
    assertThat(test.getUnderlyingCurve()).isEqualTo(CONSTANT_CURVE);
    assertThat(test.getShiftType()).isEqualTo(ShiftType.RELATIVE);
    assertThat(test.getShiftAmount()).isEqualTo(0.1d);
    assertThat(test.getMetadata()).isEqualTo(METADATA);
    assertThat(test.getName()).isEqualTo(METADATA.getCurveName());
    assertThat(test.getParameterCount()).isEqualTo(2);
    assertThat(test.getParameter(0)).isEqualTo(3d);
    assertThat(test.getParameter(1)).isEqualTo(0.1d);
    assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
    assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("RelativeShift"));
    assertThat(test.withParameter(0, 5d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE2, 0.1d));
    assertThat(test.withParameter(1, 0.5d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE, 0.5d));
    assertThat(test.withPerturbation((i, v, m) -> v + 2d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE2, 2.1d));
    assertThat(test.yValue(0)).isEqualTo(3.3d, offset(1e-10d));
    assertThat(test.yValue(1)).isEqualTo(3.3d, offset(1e-10d));
  }

  public void test_of() {
    Curve test = ParallelShiftedCurve.of(CONSTANT_CURVE, ShiftType.RELATIVE, 0.1d);
    assertThat(test.yValue(0)).isEqualTo(3.3d, offset(1e-10));
    assertThat(test.yValue(1)).isEqualTo(3.3d, offset(1e-10));
    assertThat(test.getName()).isEqualTo(METADATA.getCurveName());
    assertThat(test.getParameterCount()).isEqualTo(2);
    assertThat(test.getParameter(0)).isEqualTo(3d);
    assertThat(test.getParameter(1)).isEqualTo(0.1d);
    assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
    assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("RelativeShift"));
    assertThat(test.getMetadata()).isEqualTo(METADATA);
  }

  //-------------------------------------------------------------------------
  public void test_yValueParameterSensitivity() {
    InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(
        METADATA,
        DoubleArray.of(0, 1),
        DoubleArray.of(2, 2.5),
        CurveInterpolators.LINEAR);

    Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1);
    Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2);

    UnitParameterSensitivity expected = curve.yValueParameterSensitivity(0.1);
    assertThat(absoluteShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected);
    assertThat(relativeShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected);
  }

  public void test_firstDerivative() {
    InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(
        METADATA,
        DoubleArray.of(0, 1),
        DoubleArray.of(2, 2.5),
        CurveInterpolators.LINEAR);

    Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1);
    Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2);

    assertThat(curve.firstDerivative(0.1)).isEqualTo(0.5);
    assertThat(absoluteShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5);
    assertThat(relativeShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5 * 1.2);
  }

  //-------------------------------------------------------------------------
  public void coverage() {
    ParallelShiftedCurve test = ParallelShiftedCurve.absolute(CONSTANT_CURVE, 1);
    coverImmutableBean(test);
    ParallelShiftedCurve test2 = ParallelShiftedCurve.relative(CONSTANT_CURVE2, 0.2);
    coverBeanEquals(test, test2);
  }

  public void test_serialization() {
    ParallelShiftedCurve test = ParallelShiftedCurve.absolute(CONSTANT_CURVE, 1);
    assertSerialization(test);
  }

}