Package com.opengamma.timeseries.date.localdate

Examples of com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries

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  @Test
  public void testInitialSpike() {
    final double[] data = Arrays.copyOf(DATA, N);
    data[0] = 100.;
    final LocalDateDoubleTimeSeries ts = ImmutableLocalDateDoubleTimeSeries.of(DATES, data);
    final LocalDateDoubleTimeSeries rejected = FILTER.evaluate(ts).getRejectedTS();
    assertEquals(rejected.size(), 1);
    assertEquals(rejected.getTimeAtIndex(0), ts.getTimeAtIndex(0));
    assertEquals(rejected.getValueAtIndex(0), ts.getValueAtIndex(0));
  }
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  @Test
  public void testSpike() {
    final double[] data = Arrays.copyOf(DATA, N);
    data[10] = 100.;
    LocalDateDoubleTimeSeries ts = ImmutableLocalDateDoubleTimeSeries.of(DATES, data);
    FilteredTimeSeries filtered = FILTER.evaluate(ts);
    assertSeries(ts, filtered, 10);
    data[10] = -100.;
    ts = ImmutableLocalDateDoubleTimeSeries.of(DATES, data);
    filtered = FILTER.evaluate(ts);
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    filtered = FILTER.evaluate(ts);
    assertSeries(ts, filtered, 10);
  }

  private void assertSeries(final LocalDateDoubleTimeSeries ts, final FilteredTimeSeries filtered, final int index) {
    final LocalDateDoubleTimeSeries rejected = filtered.getRejectedTS();
    assertEquals(rejected.size(), 1);
    assertEquals(rejected.getTimeAtIndex(0), ts.getTimeAtIndex(index));
    assertEquals(rejected.getValueAtIndex(0), ts.getValueAtIndex(index));
    assertEquals(filtered.getFilteredTS().size(), 99);
  }
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    }
    final List<LocalDate> returnFilteredDates = new ArrayList<>();
    final List<Double> returnFilteredData = new ArrayList<>();
    final List<LocalDate> returnRejectedDates = new ArrayList<>();
    final List<Double> returnRejectedData = new ArrayList<>();
    final LocalDateDoubleTimeSeries ts = ImmutableLocalDateDoubleTimeSeries.of(dates, data);
    final LocalDateDoubleTimeSeries returnTS = RETURN_CALCULATOR.evaluate(ts);
    LocalDate date;
    for (int i = 0; i < 99; i++) {
      date = returnTS.getTimeAtIndex(i);
      d = returnTS.getValueAtIndex(i);
      if (d > MAX || d < MIN) {
        returnRejectedDates.add(date);
        returnRejectedData.add(d);
      } else {
        returnFilteredDates.add(date);
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    smallZeroRejectedData = Arrays.trimToCapacity(smallZeroRejectedData, l);
    largeZeroFilteredDates = trimToCapacity(largeZeroFilteredDates, m);
    largeZeroFilteredData = Arrays.trimToCapacity(largeZeroFilteredData, m);
    largeZeroRejectedDates = trimToCapacity(largeZeroRejectedDates, j);
    largeZeroRejectedData = Arrays.trimToCapacity(largeZeroRejectedData, j);
    final LocalDateDoubleTimeSeries ts = ImmutableLocalDateDoubleTimeSeries.of(dates, data);
    FilteredTimeSeries result = SMALL_ZERO_FILTER.evaluate(ts);
    assertEquals(result, new FilteredTimeSeries(ImmutableLocalDateDoubleTimeSeries.of(smallZeroFilteredDates, smallZeroFilteredData),
        ImmutableLocalDateDoubleTimeSeries.of(smallZeroRejectedDates, smallZeroRejectedData)));
    result = LARGE_ZERO_FILTER.evaluate(ts);
    assertEquals(result, new FilteredTimeSeries(ImmutableLocalDateDoubleTimeSeries.of(largeZeroFilteredDates, largeZeroFilteredData),
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    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);
  }
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    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);
  }
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    CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[0]);
  }

  @Test(expectedExceptions = TimeSeriesException.class)
  public void testWithBadInputs() {
    final LocalDateDoubleTimeSeries ts = ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] { LocalDate.ofEpochDay(1) }, new double[] {4});
    CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {ts});
  }
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    }
    times[n - 2] = LocalDate.ofEpochDay(n - 2);
    data[n - 2] = 0;
    times[n - 1] = LocalDate.ofEpochDay(n - 1);
    data[n - 1] = RANDOM.nextDouble();
    final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
    final LocalDateDoubleTimeSeries returnTS = ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n - 2), returns);
    final TimeSeriesReturnCalculator strict = new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.STRICT);
    final LocalDateDoubleTimeSeries[] tsArray = new LocalDateDoubleTimeSeries[] {priceTS};
    try {
      strict.evaluate(tsArray);
      Assert.fail();
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      data[i] = random;
      if (i > 0) {
        returns[i - 1] = Math.log(random / data[i - 1]);
      }
    }
    final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
    final LocalDateDoubleTimeSeries returnTS = ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n), returns);
    assertTrue(CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {priceTS}).equals(returnTS));
  }
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