/**
* 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.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import com.opengamma.timeseries.TimeSeriesException;
import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
/**
*
*/
public class SimpleNetRelativeTimeSeriesReturnCalculatorTest {
private static final TimeSeriesReturnCalculator STRICT_CALCULATOR = TimeSeriesReturnCalculatorFactory
.getReturnCalculator(TimeSeriesReturnCalculatorFactory.SIMPLE_NET_RELATIVE_STRICT);
private static final TimeSeriesReturnCalculator LENIENT_CALCULATOR = TimeSeriesReturnCalculatorFactory
.getReturnCalculator(TimeSeriesReturnCalculatorFactory.SIMPLE_NET_RELATIVE_LENIENT);
private static final LocalDateDoubleTimeSeries TS1 = ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] {LocalDate.ofEpochDay(1), LocalDate.ofEpochDay(2),
LocalDate.ofEpochDay(3), LocalDate.ofEpochDay(4),
LocalDate.ofEpochDay(5) },
new double[] {1, 2, 3, 4, 5});
private static final LocalDateDoubleTimeSeries TS2 = ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] {LocalDate.ofEpochDay(1), LocalDate.ofEpochDay(2),
LocalDate.ofEpochDay(3), LocalDate.ofEpochDay(4),
LocalDate.ofEpochDay(5) },
new double[] {2, 4, 6, 8, 10});
private static final LocalDateDoubleTimeSeries TS3 = ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] {LocalDate.ofEpochDay(1), LocalDate.ofEpochDay(2),
LocalDate.ofEpochDay(3), LocalDate.ofEpochDay(4),
LocalDate.ofEpochDay(6) },
new double[] {2, 4, 6, 8, 10});
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullArray() {
STRICT_CALCULATOR.evaluate((LocalDateDoubleTimeSeries[]) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullFirstElement() {
STRICT_CALCULATOR.evaluate(null, TS2);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullSecondElement() {
STRICT_CALCULATOR.evaluate(TS1, null);
}
@Test(expectedExceptions = TimeSeriesException.class)
public void testDifferentDates() {
STRICT_CALCULATOR.evaluate(TS1, TS3);
}
@Test
public void testStrict() {
final LocalDateDoubleTimeSeries result = STRICT_CALCULATOR.evaluate(TS1, TS2);
assertEquals(result.size(), 5);
assertEquals(result, ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] { LocalDate.ofEpochDay(1), LocalDate.ofEpochDay(2),
LocalDate.ofEpochDay(3), LocalDate.ofEpochDay(4),
LocalDate.ofEpochDay(5) },
new double[] {-0.5, -0.5, -0.5, -0.5, -0.5}));
}
@Test
public void testLenient() {
final LocalDateDoubleTimeSeries result = LENIENT_CALCULATOR.evaluate(TS1, TS3);
assertEquals(result.size(), 4);
assertEquals(result, ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] { LocalDate.ofEpochDay(1), LocalDate.ofEpochDay(2),
LocalDate.ofEpochDay(3), LocalDate.ofEpochDay(4)},
new double[] {-0.5, -0.5, -0.5, -0.5}));
}
}