/**
* 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 TotalRiskAlphaCalculatorTest {
private static final long[] T = new long[] {1};
private static final double ASSET_STD_DEV = 0.15;
private static final double MARKET_STD_DEV = 0.17;
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 DoubleTimeSeries<?> MARKET_RETURN = ImmutableInstantDoubleTimeSeries.of(T, new double[] {0.11});
private static final DoubleTimeSeriesStatisticsCalculator RETURN = new DoubleTimeSeriesStatisticsCalculator(new Function<double[], Double>() {
@Override
public Double evaluate(final double[]... x) {
return x[0][0];
}
});
private static final DoubleTimeSeriesStatisticsCalculator ASSET_STD = new DoubleTimeSeriesStatisticsCalculator(new Function<double[], Double>() {
@Override
public Double evaluate(final double[]... x) {
return ASSET_STD_DEV;
}
});
private static final DoubleTimeSeriesStatisticsCalculator MARKET_STD = new DoubleTimeSeriesStatisticsCalculator(new Function<double[], Double>() {
@Override
public Double evaluate(final double[]... x) {
return MARKET_STD_DEV;
}
});
private static final TotalRiskAlphaCalculator CALCULATOR = new TotalRiskAlphaCalculator(RETURN, RETURN, RETURN, ASSET_STD, MARKET_STD);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCalculator1() {
new TotalRiskAlphaCalculator(null, RETURN, RETURN, ASSET_STD, ASSET_STD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCalculator2() {
new TotalRiskAlphaCalculator(RETURN, null, RETURN, ASSET_STD, ASSET_STD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCalculator3() {
new TotalRiskAlphaCalculator(RETURN, RETURN, null, ASSET_STD, ASSET_STD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCalculator4() {
new TotalRiskAlphaCalculator(RETURN, RETURN, RETURN, null, ASSET_STD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCalculator5() {
new TotalRiskAlphaCalculator(RETURN, RETURN, RETURN, ASSET_STD, null);
}
@Test
public void test() {
assertEquals(CALCULATOR.evaluate(ASSET_RETURN, RISK_FREE, MARKET_RETURN), 0.0194, 1e-4);
}
}