/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.timeseries.filter;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import cern.jet.random.engine.MersenneTwister;
import cern.jet.random.engine.MersenneTwister64;
import cern.jet.random.engine.RandomEngine;
import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
/**
*
*/
public class MedianAbsoluteDeviationDoubleTimeSeriesFilterTest {
private static final RandomEngine RANDOM = new MersenneTwister64(MersenneTwister.DEFAULT_SEED);
private static final double LIMIT = 5;
private static final double DATA1 = 29;
private static final double DATA2 = 16;
private static final TimeSeriesFilter FILTER = new MedianAbsoluteDeviationDoubleTimeSeriesFilter(LIMIT);
private static final int N = 500;
private static final LocalDate[] DATES = new LocalDate[N];
private static final double[] DATA = new double[N];
private static final LocalDateDoubleTimeSeries TS;
private static final double EPS = 1e-15;
private static final LocalDateDoubleTimeSeries EMPTY_SERIES = ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES;
static {
for (int i = 0; i < N; i++) {
DATES[i] = LocalDate.ofEpochDay(i);
DATA[i] = RANDOM.nextDouble();
}
DATA[0] = DATA1;
DATA[1] = DATA2;
TS = ImmutableLocalDateDoubleTimeSeries.of(DATES, DATA);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNull() {
FILTER.evaluate((LocalDateDoubleTimeSeries) null);
}
@Test
public void testEmptyTS() {
final FilteredTimeSeries filtered = FILTER.evaluate(EMPTY_SERIES);
assertEquals(filtered.getFilteredTS(), EMPTY_SERIES);
assertEquals(filtered.getRejectedTS(), EMPTY_SERIES);
}
@Test
public void testMasked() {
final LocalDateDoubleTimeSeries subSeries = TS.subSeries(DATES[0], DATES[11]);
final FilteredTimeSeries result = FILTER.evaluate(ImmutableLocalDateDoubleTimeSeries.of(subSeries));
assertTimeSeries(result, 9);
}
@Test
public void test() {
assertTimeSeries(FILTER.evaluate(TS), 498);
}
private void assertTimeSeries(final FilteredTimeSeries result, final int size) {
assertEquals(result.getFilteredTS().size(), size);
final LocalDateDoubleTimeSeries rejected = result.getRejectedTS();
assertEquals(rejected.getTimeAtIndex(0), LocalDate.ofEpochDay(0));
assertEquals(rejected.getValueAtIndex(0), DATA1, EPS);
assertEquals(rejected.getTimeAtIndex(1), LocalDate.ofEpochDay(1));
assertEquals(rejected.getValueAtIndex(1), DATA2, EPS);
}
}