/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.covariance;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import org.testng.annotations.Test;
import com.opengamma.analytics.financial.timeseries.returns.SimpleNetRelativeTimeSeriesReturnCalculator;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.CalculationMode;
/**
*
*/
public class HistoricalVolatilityHighLowCalculatorTest extends HistoricalVolatilityCalculatorTestCase {
private static final HistoricalVolatilityCalculator CALCULATOR = new HistoricalVolatilityHighLowCalculator(RELATIVE_RETURN_CALCULATOR);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCalculator1() {
new HistoricalVolatilityHighLowCalculator(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCalculator2() {
new HistoricalVolatilityHighLowCalculator(null, CalculationMode.LENIENT);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCalculator3() {
new HistoricalVolatilityHighLowCalculator(null, CalculationMode.LENIENT, 0);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testHighTS() {
CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {HIGH_TS});
}
@Test
public void test() {
assertEquals(CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {HIGH_TS, LOW_TS}), 0.0126, EPS);
}
@Override
protected HistoricalVolatilityCalculator getCalculator() {
return CALCULATOR;
}
@Test
public void testObject() {
HistoricalVolatilityCalculator other = new HistoricalVolatilityHighLowCalculator(RELATIVE_RETURN_CALCULATOR);
assertEquals(CALCULATOR, other);
assertEquals(CALCULATOR.hashCode(), other.hashCode());
other = new HistoricalVolatilityHighLowCalculator(RELATIVE_RETURN_CALCULATOR, CalculationMode.STRICT);
assertEquals(CALCULATOR, other);
assertEquals(CALCULATOR.hashCode(), other.hashCode());
other = new HistoricalVolatilityHighLowCalculator(RELATIVE_RETURN_CALCULATOR, CalculationMode.STRICT, 0.0);
assertEquals(CALCULATOR, other);
assertEquals(CALCULATOR.hashCode(), other.hashCode());
other = new HistoricalVolatilityHighLowCalculator(new SimpleNetRelativeTimeSeriesReturnCalculator(CalculationMode.LENIENT), CalculationMode.STRICT, 0.0);
assertFalse(CALCULATOR.equals(other));
other = new HistoricalVolatilityHighLowCalculator(RELATIVE_RETURN_CALCULATOR, CalculationMode.LENIENT, 0.0);
assertFalse(CALCULATOR.equals(other));
other = new HistoricalVolatilityHighLowCalculator(RELATIVE_RETURN_CALCULATOR, CalculationMode.STRICT, 0.001);
assertFalse(CALCULATOR.equals(other));
}
}