public virtual void test_singleMarketData()
{
MarketData marketDataCalibrated = StandardComponents.marketDataFactory().create(REQUIREMENTS, CONFIG, MARKET_DATA, REF_DATA);
Results results = CALC_RUNNER.calculate(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyAmount computed = results.get(0, 0, typeof(CurrencyAmount)).Value;
CurrencyAmount expected = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, EXP_VOLS).convertedTo(USD, EXP_RATES);
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public virtual void calculate()
{
ImmutableList <CalculationTarget> targets = ImmutableList.of(TARGET);
Column column1 = Column.of(TestingMeasures.PRESENT_VALUE);
Column column2 = Column.of(TestingMeasures.BUCKETED_PV01);
ImmutableList <Column> columns = ImmutableList.of(column1, column2);
CalculationRules rules = CalculationRules.of(CalculationFunctions.empty());
MarketData md = MarketData.empty(date(2016, 6, 30));
ScenarioMarketData smd = ScenarioMarketData.empty();
// use of try-with-resources checks class is AutoCloseable
using (CalculationRunner test = CalculationRunner.of(MoreExecutors.newDirectExecutorService()))
{
assertThat(test.calculate(rules, targets, columns, md, REF_DATA).get(0, 0).Failure).True;
assertThat(test.calculateMultiScenario(rules, targets, columns, smd, REF_DATA).get(0, 0).Failure).True;
}
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trades that will have measures calculated
IList <Trade> trades = createSwapTrades();
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.LEG_INITIAL_NOTIONAL), Column.of(Measures.PRESENT_VALUE), Column.of(Measures.LEG_PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM), Column.of(Measures.PAR_RATE), Column.of(Measures.ACCRUED_INTEREST), Column.of(Measures.PV01_CALIBRATED_BUCKETED), Column.of(AdvancedMeasures.PV01_SEMI_PARALLEL_GAMMA_BUCKETED));
// load quotes
ImmutableMap <QuoteId, double> quotes = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE);
// load fixings
ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXINGS_RESOURCE);
// create the market data
MarketData marketData = MarketData.of(VAL_DATE, quotes, fixings);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defns = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE, SETTINGS_RESOURCE, CALIBRATION_RESOURCE);
RatesCurveGroupDefinition curveGroupDefinition = defns[CURVE_GROUP_NAME].filtered(VAL_DATE, refData);
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME, curveGroupDefinition).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(curveGroupDefinition);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
// calibrate the curves and calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData);
Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults = ReportCalculationResults.of(VAL_DATE, trades, columns, results, functions, refData);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}