/**
* 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.time.DateUtils;
/**
*
*/
public class HullWhiteOneFactorDataBundleTest {
private static final double R = 0.04;
private static final double SIGMA = 0.2;
private static final double SPEED = 0.1;
private static final YieldAndDiscountCurve R_CURVE = YieldCurve.from(ConstantDoublesCurve.from(R));
private static final VolatilityCurve SIGMA_CURVE = new VolatilityCurve(ConstantDoublesCurve.from(SIGMA));
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
private static final HullWhiteOneFactorDataBundle DATA = new HullWhiteOneFactorDataBundle(R_CURVE, SIGMA_CURVE, DATE, SPEED);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullYieldCurve() {
new HullWhiteOneFactorDataBundle(null, SIGMA_CURVE, DATE, SPEED);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullVolatilityCurve() {
new HullWhiteOneFactorDataBundle(R_CURVE, null, DATE, SPEED);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDate() {
new HullWhiteOneFactorDataBundle(R_CURVE, SIGMA_CURVE, null, SPEED);
}
@Test
public void testGetters() {
assertEquals(DATA.getShortRateCurve(), R_CURVE);
assertEquals(DATA.getShortRateVolatilityCurve(), SIGMA_CURVE);
assertEquals(DATA.getDate(), DATE);
assertEquals(DATA.getReversionSpeed(), SPEED, 0);
final double t = 0.2;
assertEquals(DATA.getShortRate(t), R_CURVE.getInterestRate(t), 1e-15);
assertEquals(DATA.getShortRateVolatility(t), SIGMA_CURVE.getVolatility(t), 1e-15);
}
@Test
public void testHashCodeAndEquals() {
HullWhiteOneFactorDataBundle other = new HullWhiteOneFactorDataBundle(R_CURVE, SIGMA_CURVE, DATE, SPEED);
assertEquals(other, DATA);
assertEquals(other.hashCode(), DATA.hashCode());
other = new HullWhiteOneFactorDataBundle(YieldCurve.from(ConstantDoublesCurve.from(R + 0.01)), SIGMA_CURVE, DATE, SPEED);
assertFalse(other.equals(DATA));
other = new HullWhiteOneFactorDataBundle(R_CURVE, new VolatilityCurve(ConstantDoublesCurve.from(SIGMA + 0.1)), DATE, SPEED);
assertFalse(other.equals(DATA));
other = new HullWhiteOneFactorDataBundle(R_CURVE, SIGMA_CURVE, DATE.minusDays(2), SPEED);
assertFalse(other.equals(DATA));
other = new HullWhiteOneFactorDataBundle(R_CURVE, SIGMA_CURVE, DATE, SPEED + 0.5);
assertFalse(other.equals(DATA));
}
}