/**
* 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.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.interestrate.definition.StandardDiscountBondModelDataBundle;
import com.opengamma.analytics.financial.model.volatility.curve.VolatilityCurve;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class HoLeeInterestRateModelTest {
private static final int YEARS = 10;
private static final HoLeeInterestRateModel MODEL = new HoLeeInterestRateModel();
private static final ZonedDateTime TODAY = DateUtils.getUTCDate(2010, 7, 1);
private static final ZonedDateTime START = DateUtils.getUTCDate(2011, 7, 1);
private static final ZonedDateTime MATURITY = DateUtils.getDateOffsetWithYearFraction(START, 10);
private static final double IR = 0.05;
private static final YieldAndDiscountCurve R = YieldCurve.from(ConstantDoublesCurve.from(IR));
private static final double VOL = 0.1;
private static final VolatilityCurve SIGMA = new VolatilityCurve(ConstantDoublesCurve.from(VOL));
private static final StandardDiscountBondModelDataBundle DATA = new StandardDiscountBondModelDataBundle(R, SIGMA, TODAY);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTime() {
MODEL.getDiscountBondFunction(null, MATURITY);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullMaturity() {
MODEL.getDiscountBondFunction(START, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getDiscountBondFunction(START, MATURITY).evaluate((StandardDiscountBondModelDataBundle) null);
}
@Test
public void test() {
final double eps = 1e-9;
assertEquals(MODEL.getDiscountBondFunction(START, START).evaluate(DATA), 1, 0);
StandardDiscountBondModelDataBundle data = new StandardDiscountBondModelDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.)), new VolatilityCurve(ConstantDoublesCurve.from(0)), TODAY);
assertEquals(MODEL.getDiscountBondFunction(START, MATURITY).evaluate(data), 1, 0);
data = new StandardDiscountBondModelDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.)), SIGMA, TODAY);
assertEquals(MODEL.getDiscountBondFunction(START, MATURITY).evaluate(data), Math.exp(-0.5 * VOL * VOL * YEARS * YEARS), 0);
data = new StandardDiscountBondModelDataBundle(R, new VolatilityCurve(ConstantDoublesCurve.from(0)), TODAY);
assertEquals(MODEL.getDiscountBondFunction(START, MATURITY).evaluate(data), Math.exp(-IR * YEARS), eps);
}
}