/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.interestrate;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.interestrate.definition.StandardDiscountBondModelDataBundle;
import com.opengamma.analytics.financial.model.tree.RecombiningBinomialTree;
import com.opengamma.analytics.financial.model.volatility.curve.VolatilityCurve;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Triple;
/**
*
*/
public class BlackDermanToyYieldOnlyInterestRateModelTest {
@Test(expectedExceptions = IllegalArgumentException.class)
public void testBadNodes() {
new BlackDermanToyYieldOnlyInterestRateModel(-3);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTime() {
new BlackDermanToyYieldOnlyInterestRateModel(3).getTrees(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
new BlackDermanToyYieldOnlyInterestRateModel(5).getTrees(DateUtils.getUTCDate(2010, 8, 1)).evaluate((StandardDiscountBondModelDataBundle) null);
}
@Test
public void test() {
final int steps = 3;
final ZonedDateTime date = DateUtils.getUTCDate(2009, 1, 1);
final ZonedDateTime maturity = DateUtils.getDateOffsetWithYearFraction(date, 3);
final StandardDiscountBondModelDataBundle data = new StandardDiscountBondModelDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.05)), new VolatilityCurve(ConstantDoublesCurve.from(0.1)),
date);
final BlackDermanToyYieldOnlyInterestRateModel model = new BlackDermanToyYieldOnlyInterestRateModel(steps);
final RecombiningBinomialTree<Triple<Double, Double, Double>> tree = model.getTrees(maturity).evaluate(data);
final Triple<Double, Double, Double>[][] result = tree.getNodes();
@SuppressWarnings("unchecked")
final Triple<Double, Double, Double>[][] expected = new Triple[4][4];
expected[0][0] = new Triple<>(0.05, 0.9524, 1.0);
expected[1][0] = new Triple<>(0.045, 0.9569, 0.4762);
expected[1][1] = new Triple<>(0.055, 0.9479, 0.4762);
expected[2][0] = new Triple<>(0.0406, 0.9610, 0.2278);
expected[2][1] = new Triple<>(0.0496, 0.9528, 0.4535);
expected[2][2] = new Triple<>(0.0605, 0.9430, 0.2257);
expected[3][0] = new Triple<>(0.0366, 0.9647, 0.1095);
expected[3][1] = new Triple<>(0.0447, 0.9572, 0.3255);
expected[3][2] = new Triple<>(0.0546, 0.9482, 0.3224);
expected[3][3] = new Triple<>(0.0667, 0.9375, 0.1064);
assertEquals(result.length, expected.length);
assertEquals(result[0].length, expected[0].length);
for (int i = 0; i < expected.length; i++) {
for (int j = 0; j < expected[0].length; j++) {
if (expected[i][j] == null) {
final Triple<Double, Double, Double> triple = result[i][j];
assertEquals(triple.getFirst(), 0, 1e-16);
assertEquals(triple.getSecond(), 0, 1e-16);
assertEquals(triple.getThird(), 0, 1e-16);
} else {
final Triple<Double, Double, Double> triple1 = result[i][j];
final Triple<Double, Double, Double> triple2 = expected[i][j];
assertEquals(triple1.getFirst(), triple2.getFirst(), 1e-4);
assertEquals(triple1.getSecond(), triple2.getSecond(), 1e-4);
assertEquals(triple1.getThird(), triple2.getThird(), 1e-4);
}
}
}
}
}