Package com.opengamma.timeseries.date.localdate

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

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      data[i] = random;
      if (i > 0) {
        returns[i - 1] = Math.log(random / data[i - 1]);
      }
    }
    final LocalDateDoubleTimeSeries dividendTS = ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] {LocalDate.ofEpochDay(300)}, new double[] {3});
    final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
    final LocalDateDoubleTimeSeries returnTS = ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n), returns);
    assertTrue(CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {priceTS, dividendTS}).equals(returnTS));
  }
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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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    CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[0]);
  }

  @Test(expectedExceptions = TimeSeriesException.class)
  public void testWithShortTS() {
    final LocalDateDoubleTimeSeries ts = ImmutableLocalDateDoubleTimeSeries.of(LocalDate.of(2012, 6, 30), 4);
    CALCULATOR.evaluate(ts);
  }
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      data[i] = random;
      if (i > 0) {
        returns[i - 1] = random / data[i - 1] - 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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    }
    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 SimpleNetTimeSeriesReturnCalculator(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] = random / data[i - 1] - 1;
      }
    }
    final LocalDateDoubleTimeSeries dividendTS = ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] {LocalDate.ofEpochDay(300) }, new double[] {3});
    final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
    final LocalDateDoubleTimeSeries returnTS = ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n), returns);
    assertTrue(CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {priceTS, dividendTS}).equals(returnTS));
  }
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        } else {
          returns[i - 1] = random / data[i - 1] - 1;
        }
      }
    }
    final LocalDateDoubleTimeSeries dividendTS = ImmutableLocalDateDoubleTimeSeries.of(dividendTimes, dividendData);
    final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
    final LocalDateDoubleTimeSeries returnTS = ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n), returns);
    assertTrue(CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {priceTS, dividendTS}).equals(returnTS));
  }
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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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      data[i] = random;
      if (i > 0) {
        returns[i - 1] = 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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    }
    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 SimpleGrossTimeSeriesReturnCalculator(CalculationMode.STRICT);
    final LocalDateDoubleTimeSeries[] tsArray = new LocalDateDoubleTimeSeries[] {priceTS};
    try {
      strict.evaluate(tsArray);
      Assert.fail();
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