/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.curve;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.internal.junit.ArrayAsserts.assertArrayEquals;
import org.testng.annotations.Test;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.curve.InterpolatedCurveShiftFunction;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.LinearInterpolator1D;
/**
*
*/
public class VolatilityCurveTest {
private static final InterpolatedDoublesCurve CURVE = InterpolatedDoublesCurve.from(new double[] {1, 2, 3}, new double[] {4, 5, 6}, new LinearInterpolator1D());
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCurve() {
new VolatilityCurve(null);
}
@Test
public void test() {
final VolatilityCurve curve = new VolatilityCurve(CURVE);
assertEquals(curve.getCurve(), CURVE);
assertEquals(curve.getVolatility(1.5), 4.5, 1e-15);
VolatilityCurve other = new VolatilityCurve(CURVE);
assertEquals(other, curve);
assertEquals(other.hashCode(), curve.hashCode());
other = new VolatilityCurve(ConstantDoublesCurve.from(0));
assertFalse(other.equals(curve));
}
@Test
public void testParallel() {
final InterpolatedCurveShiftFunction f = new InterpolatedCurveShiftFunction();
final VolatilityCurve vol = new VolatilityCurve(CURVE);
VolatilityCurve shifted1 = vol.withParallelShift(3);
InterpolatedDoublesCurve shifted2 = f.evaluate(CURVE, 3.);
assertArrayEquals(shifted1.getCurve().getXData(), shifted2.getXData());
assertArrayEquals(shifted1.getCurve().getYData(), shifted2.getYData());
shifted1 = vol.withSingleShift(1, 3);
shifted2 = f.evaluate(CURVE, 1, 3.);
assertArrayEquals(shifted1.getCurve().getXData(), shifted2.getXData());
assertArrayEquals(shifted1.getCurve().getYData(), shifted2.getYData());
shifted1 = vol.withMultipleShifts(new double[] {1, 2}, new double[] {3, 4});
shifted2 = f.evaluate(CURVE, new double[] {1, 2}, new double[] {3, 4});
assertArrayEquals(shifted1.getCurve().getXData(), shifted2.getXData());
assertArrayEquals(shifted1.getCurve().getYData(), shifted2.getYData());
}
}