/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.timeseries.returns;
import static org.testng.Assert.assertTrue;
import java.util.Arrays;
import org.testng.Assert;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import cern.jet.random.engine.MersenneTwister;
import cern.jet.random.engine.MersenneTwister64;
import cern.jet.random.engine.RandomEngine;
import com.opengamma.analytics.math.function.Function;
import com.opengamma.timeseries.TimeSeriesException;
import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.CalculationMode;
/**
*
*/
public class ContinuouslyCompoundedTimeSeriesReturnCalculatorTest {
private static final RandomEngine RANDOM = new MersenneTwister64(MersenneTwister.DEFAULT_SEED);
private static final Function<LocalDateDoubleTimeSeries, LocalDateDoubleTimeSeries> CALCULATOR = new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.LENIENT);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullArray() {
CALCULATOR.evaluate((LocalDateDoubleTimeSeries) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testEmptyArray() {
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});
}
@Test
public void testReturnsWithZeroesInSeries() {
final int n = 20;
final LocalDate[] times = new LocalDate[n];
final double[] data = new double[n];
final double[] returns = new double[n - 3];
double random;
for (int i = 0; i < n - 2; i++) {
times[i] = LocalDate.ofEpochDay(i);
random = RANDOM.nextDouble();
data[i] = random;
if (i > 0) {
returns[i - 1] = Math.log(random / data[i - 1]);
}
}
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();
} catch (final TimeSeriesException e) {
// Expected
}
final TimeSeriesReturnCalculator lenient = new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.LENIENT);
assertTrue(lenient.evaluate(tsArray).equals(returnTS));
}
@Test
public void testReturnsWithoutDividends() {
final int n = 20;
final LocalDate[] times = new LocalDate[n];
final double[] data = new double[n];
final double[] returns = new double[n - 1];
double random;
for (int i = 0; i < n; i++) {
times[i] = LocalDate.ofEpochDay(i);
random = RANDOM.nextDouble();
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));
}
@Test
public void testReturnsWithDividendsAtDifferentTimes() {
final int n = 20;
final LocalDate[] times = new LocalDate[n];
final double[] data = new double[n];
final double[] returns = new double[n - 1];
double random;
for (int i = 0; i < n; i++) {
times[i] = LocalDate.ofEpochDay(i);
random = RANDOM.nextDouble();
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));
}
@Test
public void testReturnsWithDividends() {
final int n = 20;
final LocalDate[] times = new LocalDate[n];
final double[] data = new double[n];
final double[] returns = new double[n - 1];
double random;
for (int i = 0; i < n; i++) {
times[i] = LocalDate.ofEpochDay(i);
random = RANDOM.nextDouble();
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));
}
}