/**
* 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.colt.Arrays;
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 ZeroValueDoubleTimeSeriesFilterTest {
private static final RandomEngine RANDOM = new MersenneTwister64(MersenneTwister.DEFAULT_SEED);
private static final ZeroValueDoubleTimeSeriesFilter SMALL_ZERO_FILTER = new ZeroValueDoubleTimeSeriesFilter();
private static final ZeroValueDoubleTimeSeriesFilter LARGE_ZERO_FILTER = new ZeroValueDoubleTimeSeriesFilter(1e-3);
private static final LocalDateDoubleTimeSeries EMPTY_SERIES = ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTS() {
SMALL_ZERO_FILTER.evaluate((LocalDateDoubleTimeSeries) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeZero() {
new ZeroValueDoubleTimeSeriesFilter(-1e-12);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testSetNegativeZero() {
SMALL_ZERO_FILTER.setZero(-1e-12);
}
@Test
public void testEmptyTS() {
final FilteredTimeSeries filtered = SMALL_ZERO_FILTER.evaluate(EMPTY_SERIES);
assertEquals(filtered.getFilteredTS(), EMPTY_SERIES);
assertEquals(filtered.getRejectedTS(), EMPTY_SERIES);
}
@Test
public void test() {
final int n = 100;
final LocalDate[] dates = new LocalDate[n];
final double[] data = new double[n];
LocalDate[] smallZeroFilteredDates = new LocalDate[n];
double[] smallZeroFilteredData = new double[n];
LocalDate[] smallZeroRejectedDates = new LocalDate[n];
double[] smallZeroRejectedData = new double[n];
LocalDate[] largeZeroFilteredDates = new LocalDate[n];
double[] largeZeroFilteredData = new double[n];
LocalDate[] largeZeroRejectedDates = new LocalDate[n];
double[] largeZeroRejectedData = new double[n];
double d;
final Double smallValue = 1e-4;
int h, j = 0, k = 0, l = 0, m = 0;
for (int i = 0; i < 100; i++) {
d = RANDOM.nextDouble();
h = i + 1;
dates[i] = LocalDate.ofEpochDay(h);
if (d < 0.3) {
if (d > 0.25) {
data[i] = smallValue;
largeZeroRejectedDates[j] = LocalDate.ofEpochDay(h);
largeZeroRejectedData[j++] = smallValue;
smallZeroFilteredDates[k] = LocalDate.ofEpochDay(h);
smallZeroFilteredData[k++] = smallValue;
} else {
data[i] = 0;
largeZeroRejectedDates[j] = LocalDate.ofEpochDay(h);
largeZeroRejectedData[j++] = 0;
smallZeroRejectedDates[l] = LocalDate.ofEpochDay(h);
smallZeroRejectedData[l++] = 0;
}
} else {
data[i] = d;
smallZeroFilteredDates[k] = LocalDate.ofEpochDay(h);
smallZeroFilteredData[k++] = d;
largeZeroFilteredDates[m] = LocalDate.ofEpochDay(h);
largeZeroFilteredData[m++] = d;
}
}
smallZeroFilteredDates = trimToCapacity(smallZeroFilteredDates, k);
smallZeroFilteredData = Arrays.trimToCapacity(smallZeroFilteredData, k);
smallZeroRejectedDates = trimToCapacity(smallZeroRejectedDates, l);
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),
ImmutableLocalDateDoubleTimeSeries.of(largeZeroRejectedDates, largeZeroRejectedData)));
}
private LocalDate[] trimToCapacity(final LocalDate[] source, final int k) {
final LocalDate[] result = new LocalDate[k];
System.arraycopy(source, 0, result, 0, k);
return result;
}
}