/*
Copyright (C) 2007 Richard Gomes
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
<jquant-devel@lists.sourceforge.net>. The license is also available online at
<http://www.jquantlib.org/index.php/LICENSE.TXT>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2006 Joseph Wang
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
package org.jquantlib.testsuite.model.volatility;
import static org.junit.Assert.assertNotNull;
import org.jquantlib.QL;
import org.jquantlib.model.volatility.ConstantEstimator;
import org.jquantlib.model.volatility.SimpleLocalEstimator;
import org.jquantlib.model.volatility.VolatilityCompositor;
import org.jquantlib.time.Date;
import org.jquantlib.time.Month;
import org.jquantlib.time.TimeSeries;
import org.junit.Test;
public class EstimatorsTest {
private final TimeSeries<Double> ts;
public EstimatorsTest() {
QL.info("Testing volatility model construction...");
final Date[] dates = new Date[] {
new Date(25, Month.March, 2005),
new Date(29, Month.March, 2005),
new Date(15, Month.March, 2005),
new Date(21, Month.March, 2005),
new Date(27, Month.March, 2005) };
final double[] values = new double[] { 1.2, 2.3, 0.3, 2.0, 2.5 };
this.ts = new TimeSeries<Double>() { /* anonymous */ };
for (int i=0; i<dates.length; i++) {
ts.put(dates[i], values[i]);
}
}
@Test
public void testSECalculate() {
final SimpleLocalEstimator sle = new SimpleLocalEstimator(1/360.0);
final TimeSeries<Double> locale = sle.calculate(ts);
assertNotNull(locale) ;
}
@Test
public void testCECalculate() {
final SimpleLocalEstimator sle = new SimpleLocalEstimator(1/360.0);
final TimeSeries<Double> locale = sle.calculate(ts);
final VolatilityCompositor ce = new ConstantEstimator(1);
final TimeSeries<Double> value = ce.calculate(locale);
assertNotNull(value) ;
}
}