/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.math.curve;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.internal.junit.ArrayAsserts.assertArrayEquals;
import org.apache.commons.lang.ArrayUtils;
import org.testng.annotations.Test;
import com.opengamma.analytics.math.differentiation.ScalarFirstOrderDifferentiator;
import com.opengamma.analytics.math.function.Function1D;
public class DoublesCurveNelsonSiegelTest {
private static final String CURVE_NAME = "NS curve";
private static final double BETA0 = 0.03;
private static final double BETA1 = -0.02;
private static final double BETA2 = 0.06;
private static final double LAMBDA = 2.0;
private static final double[] PARAMETERS = new double[] {BETA0, BETA1, BETA2, LAMBDA };
private static final DoublesCurveNelsonSiegel CURVE_NS = new DoublesCurveNelsonSiegel(CURVE_NAME, BETA0, BETA1, BETA2, LAMBDA);
private static final double TOLERANCE_YIELD = 1.0E-15;
private static final double TOLERANCE_SENSITIVITY = 1.0E-5;
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullParameters() {
new DoublesCurveNelsonSiegel(CURVE_NAME, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullName() {
new DoublesCurveNelsonSiegel(null, BETA0, BETA1, BETA2, LAMBDA);
}
@Test
public void constructors() {
assertEquals("DoublesCurveNelsonSiegel: two constructors", CURVE_NS, new DoublesCurveNelsonSiegel(CURVE_NAME, PARAMETERS));
}
@Test
public void yValue() {
final int nbPoint = 10;
final double timeMax = 9.0;
final double valueComputed0 = CURVE_NS.getYValue(0.0);
final double valueExpected0 = BETA0 + BETA1;
assertEquals("DoublesCurveNelsonSiegel: value", valueExpected0, valueComputed0, TOLERANCE_YIELD);
for (int loopt = 1; loopt <= nbPoint; loopt++) {
// Implementation note: start at 1 to avoid 0 (treated tested separately)
final double t = loopt * timeMax / nbPoint;
final double valueComputed = CURVE_NS.getYValue(t);
final double tl = t / LAMBDA;
final double exptl = Math.exp(-tl);
final double valueExpected = BETA0 + BETA1 * (1 - exptl) / tl + BETA2 * ((1 - exptl) / tl - exptl);
assertEquals("DoublesCurveNelsonSiegel: value", valueExpected, valueComputed, TOLERANCE_YIELD);
}
}
@Test
/**
* Tests the parameters sensitivity with a finite difference comparison.
*/
public void yValueParameterSensitivity() {
final int nbPoint = 10;
final double timeMax = 9.0;
final double bump = 0.00001;
final Double[] sensitivityComputed0 = CURVE_NS.getYValueParameterSensitivity(0.0);
final double[] sensitivityExpected0 = new double[] {1.0, 1.0, 0.0, 0.0 };
assertArrayEquals("DoublesCurveNelsonSiegel: parameter sensitivity", sensitivityExpected0, ArrayUtils.toPrimitive(sensitivityComputed0), TOLERANCE_SENSITIVITY);
final double[][] parametersBumped = new double[4][];
final DoublesCurveNelsonSiegel[] curveBumped = new DoublesCurveNelsonSiegel[4];
for (int loopp = 0; loopp < 4; loopp++) {
parametersBumped[loopp] = PARAMETERS.clone();
parametersBumped[loopp][loopp] += bump;
curveBumped[loopp] = new DoublesCurveNelsonSiegel(CURVE_NAME, parametersBumped[loopp]);
}
for (int loopt = 1; loopt <= nbPoint; loopt++) {
// Implementation note: start at 1 to avoid 0 (treated tested separately)
final double t = loopt * timeMax / nbPoint;
final double valueComputed = CURVE_NS.getYValue(t);
final Double[] sensitivityComputed = CURVE_NS.getYValueParameterSensitivity(t);
final double[] sensitivityExpected = new double[4];
for (int loopp = 0; loopp < 4; loopp++) {
final double valueBumped = curveBumped[loopp].getYValue(t);
sensitivityExpected[loopp] = (valueBumped - valueComputed) / bump;
}
assertArrayEquals("DoublesCurveNelsonSiegel: parameter sensitivity " + loopt, sensitivityExpected, ArrayUtils.toPrimitive(sensitivityComputed), TOLERANCE_SENSITIVITY);
}
}
@Test(enabled = false)
public void analysis() {
final int nbPoint = 50;
final double timeMax = 20.0;
final double[] value = new double[nbPoint + 1];
final double[] t = new double[nbPoint + 1];
for (int loopt = 0; loopt <= nbPoint; loopt++) {
t[loopt] = loopt * timeMax / nbPoint;
value[loopt] = CURVE_NS.getYValue(t[loopt]);
}
}
@Test
public void testDerivative() {
final Function1D<Double, Double> func = CURVE_NS.toFunction1D();
final ScalarFirstOrderDifferentiator diff = new ScalarFirstOrderDifferentiator();
final Function1D<Double, Double> grad = diff.differentiate(func);
for (int i = 0; i < 50; i++) {
final double t = 0 + 10.0 * i / 99.;
final double fd = grad.evaluate(t);
final double anal = CURVE_NS.getDyDx(t);
assertEquals("t=" + t, fd, anal, 1e-12);
}
}
}