HullWhiteTwoFactorDataBundleTest.java example

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/**
 * 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.definition;

import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;

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.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 HullWhiteTwoFactorDataBundleTest {
  private static final double R = 0.04;
  private static final double SIGMA = 0.2;
  private static final double SPEED_1 = 0.1;
  private static final double SPEED_2 = 0.15;
  private static final double U = 0.1;
  private static final YieldCurve F = YieldCurve.from(ConstantDoublesCurve.from(0.05));
  private static final double RHO = 0.2;
  private static final YieldAndDiscountCurve R_CURVE = YieldCurve.from(ConstantDoublesCurve.from(R));
  private static final VolatilityCurve SIGMA_CURVE_1 = new VolatilityCurve(ConstantDoublesCurve.from(SIGMA));
  private static final VolatilityCurve SIGMA_CURVE_2 = new VolatilityCurve(ConstantDoublesCurve.from(2 * SIGMA));
  private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
  private static final HullWhiteTwoFactorDataBundle DATA = new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, F, RHO);

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullYieldCurve() {
    new HullWhiteTwoFactorDataBundle(null, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, F, RHO);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullVolatilityCurve1() {
    new HullWhiteTwoFactorDataBundle(R_CURVE, null, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, F, RHO);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullVolatilityCurve2() {
    new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, null, DATE, SPEED_1, SPEED_2, U, F, RHO);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullDate() {
    new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, null, SPEED_1, SPEED_2, U, F, RHO);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullForwardCurve() {
    new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, null, RHO);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testLowRho() {
    new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, F, -2);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testHighRho() {
    new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, F, 2);
  }

  @Test
  public void testGetters() {
    assertEquals(DATA.getShortRateCurve(), R_CURVE);
    assertEquals(DATA.getShortRateVolatilityCurve(), SIGMA_CURVE_1);
    assertEquals(DATA.getSecondVolatilityCurve(), SIGMA_CURVE_2);
    assertEquals(DATA.getDate(), DATE);
    assertEquals(DATA.getFirstSpeed(), SPEED_1, 0);
    assertEquals(DATA.getSecondSpeed(), SPEED_2, 0);
    assertEquals(DATA.getMeanReversionLevel(), U, 0);
    assertEquals(DATA.getForwardRateCurve(), F);
    assertEquals(DATA.getCorrelation(), RHO, 0);
    final double t = 0.2;
    assertEquals(DATA.getShortRate(t), R_CURVE.getInterestRate(t), 0);
    assertEquals(DATA.getShortRateVolatility(t), SIGMA_CURVE_1.getVolatility(t), 0);
    assertEquals(DATA.getSecondVolatility(t), SIGMA_CURVE_2.getVolatility(t), 0);
    assertEquals(DATA.getForwardRate(t), F.getInterestRate(t), 0);
  }

  @Test
  public void testHashCodeAndEquals() {
    HullWhiteTwoFactorDataBundle other = new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, F, RHO);
    assertEquals(other, DATA);
    assertEquals(other.hashCode(), DATA.hashCode());
    other = new HullWhiteTwoFactorDataBundle(YieldCurve.from(ConstantDoublesCurve.from(R - 0.01)), SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, F, RHO);
    assertFalse(other.equals(DATA));
    other = new HullWhiteTwoFactorDataBundle(R_CURVE, new VolatilityCurve(ConstantDoublesCurve.from(SIGMA + 0.3)), SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, F, RHO);
    assertFalse(other.equals(DATA));
    other = new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, new VolatilityCurve(ConstantDoublesCurve.from(SIGMA + 0.1)), DATE, SPEED_1, SPEED_2, U, F, RHO);
    assertFalse(other.equals(DATA));
    other = new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE.minusDays(4), SPEED_1, SPEED_2, U, F, RHO);
    assertFalse(other.equals(DATA));
    other = new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1 + 0.1, SPEED_2, U, F, RHO);
    assertFalse(other.equals(DATA));
    other = new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2 + 0.1, U, F, RHO);
    assertFalse(other.equals(DATA));
    other = new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U + 0.1, F, RHO);
    assertFalse(other.equals(DATA));
    other = new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, YieldCurve.from(ConstantDoublesCurve.from(F.getInterestRate(0.) + 0.1)), RHO);
    assertFalse(other.equals(DATA));
    other = new HullWhiteTwoFactorDataBundle(R_CURVE, SIGMA_CURVE_1, SIGMA_CURVE_2, DATE, SPEED_1, SPEED_2, U, F, RHO + 0.1);
    assertFalse(other.equals(DATA));
  }
}