/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.interestrate;
import com.opengamma.analytics.financial.model.interestrate.definition.G2ppPiecewiseConstantParameters;
/**
* Data used for the G2++ model tests.
*/
public class TestsDataSetG2pp {
private static final double[] MEAN_REVERSION = new double[] {0.01, 0.30};
private static final double[][] VOLATILITY_1 = new double[][] { {0.01, 0.011, 0.012, 0.013, 0.014}, {0.01, 0.009, 0.008, 0.007, 0.006}};
private static final double[][] VOLATILITY_2 = new double[][] { {0.015, 0.013, 0.012, 0.010, 0.009}, {0.012, 0.009, 0.008, 0.007, 0.006}};
private static final double[][] VOLATILITY_3 = new double[][] { {0.010, 0.011, 0.010, 0.010, 0.009}, {0.008, 0.009, 0.008, 0.007, 0.006}};
private static final double[][] VOLATILITY_CST = new double[][] { {0.01}, {0.005}};
private static final double[] VOLATILITY_TIME = new double[] {0.5, 1.0, 2.0, 5.0};
private static final double CORRELATION = -0.50;
private static final G2ppPiecewiseConstantParameters MODEL_PARAMETERS_1 = new G2ppPiecewiseConstantParameters(MEAN_REVERSION, VOLATILITY_1, VOLATILITY_TIME, CORRELATION);
private static final G2ppPiecewiseConstantParameters MODEL_PARAMETERS_2 = new G2ppPiecewiseConstantParameters(MEAN_REVERSION, VOLATILITY_2, VOLATILITY_TIME, CORRELATION);
private static final G2ppPiecewiseConstantParameters MODEL_PARAMETERS_3 = new G2ppPiecewiseConstantParameters(MEAN_REVERSION, VOLATILITY_3, VOLATILITY_TIME, CORRELATION);
private static final G2ppPiecewiseConstantParameters MODEL_PARAMETERS_CST = new G2ppPiecewiseConstantParameters(MEAN_REVERSION, VOLATILITY_CST, new double[0], CORRELATION);
/**
* Create a set of G2++ parameters for testing.
* @return The parameters.
*/
public static G2ppPiecewiseConstantParameters createG2ppParameters1() {
return MODEL_PARAMETERS_1;
}
/**
* Create a set of G2++ parameters for testing.
* @return The parameters.
*/
public static G2ppPiecewiseConstantParameters createG2ppParameters2() {
return MODEL_PARAMETERS_2;
}
/**
* Create a set of G2++ parameters for testing.
* @return The parameters.
*/
public static G2ppPiecewiseConstantParameters createG2ppParameters3() {
return MODEL_PARAMETERS_3;
}
/**
* Create a set of time-constant G2++ parameters for testing.
* @return The parameters.
*/
public static G2ppPiecewiseConstantParameters createG2ppCstParameters() {
return MODEL_PARAMETERS_CST;
}
}