//-------------------------------------------------------------------------
public FunctionRequirements requirements(SecurityId securityId, LegalEntityId issuerId, Currency currency)
{
// repo
RepoGroup repoKey = repoCurveSecurityGroups.get(securityId);
if (repoKey == null)
{
repoKey = repoCurveGroups.get(issuerId);
}
if (repoKey == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
CurveId repoCurveId = repoCurves.get(Pair.of(repoKey, currency));
if (repoCurveId == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
// issuer
LegalEntityGroup issuerKey = issuerCurveGroups.get(issuerId);
if (issuerKey == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
CurveId issuerCurveId = issuerCurves.get(Pair.of(issuerKey, currency));
if (issuerCurveId == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
// result
return(FunctionRequirements.builder().valueRequirements(ImmutableSet.of(repoCurveId, issuerCurveId)).outputCurrencies(currency).observableSource(observableSource).build());
}
public ImmutableLegalEntityDiscountingProvider toImmutableLegalEntityDiscountingProvider()
{
// repo curves
IDictionary <Pair <RepoGroup, Currency>, DiscountFactors> repoCurves = new Dictionary <Pair <RepoGroup, Currency>, DiscountFactors>();
foreach (Pair <RepoGroup, Currency> pair in lookup.RepoCurves.Keys)
{
CurveId curveId = lookup.RepoCurves.get(pair);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
repoCurves[pair] = DiscountFactors.of(pair.Second, ValuationDate, curve);
}
}
// issuer curves
IDictionary <Pair <LegalEntityGroup, Currency>, DiscountFactors> issuerCurves = new Dictionary <Pair <LegalEntityGroup, Currency>, DiscountFactors>();
foreach (Pair <LegalEntityGroup, Currency> pair in lookup.IssuerCurves.Keys)
{
CurveId curveId = lookup.IssuerCurves.get(pair);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
issuerCurves[pair] = DiscountFactors.of(pair.Second, ValuationDate, curve);
}
}
// build result
return(ImmutableLegalEntityDiscountingProvider.builder().valuationDate(ValuationDate).repoCurveSecurityGroups(lookup.RepoCurveSecurityGroups).repoCurveGroups(lookup.RepoCurveGroups).repoCurves(repoCurves).issuerCurveGroups(lookup.IssuerCurveGroups).issuerCurves(issuerCurves).build());
}
private static void CloneAndAddCurve(Animator targetAnimator, Dictionary <Guid, Guid> oldToNewIdDict, CurveId id, Curve curve)
{
Guid newInstanceId = oldToNewIdDict[id.SymbolChildId];
var newCurveId = new CurveId(newInstanceId, id.InputId, id.Index);
var newCurve = curve.TypedClone();
targetAnimator._animatedInputCurves.Add(newCurveId, newCurve);
}
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> getForwardMarketDataIds(com.opengamma.strata.basics.index.Index index)
public ImmutableSet <MarketDataId <object> > getForwardMarketDataIds(Index index)
{
CurveId id = forwardCurves.get(index);
if (id == null)
{
throw new System.ArgumentException(msgIndexNotFound(index));
}
return(ImmutableSet.of(id));
}
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> getDiscountMarketDataIds(com.opengamma.strata.basics.currency.Currency currency)
public ImmutableSet <MarketDataId <object> > getDiscountMarketDataIds(Currency currency)
{
CurveId id = discountCurves.get(currency);
if (id == null)
{
throw new System.ArgumentException(msgCurrencyNotFound(currency));
}
return(ImmutableSet.of(id));
}
public RecoveryRates recoveryRates(StandardId legalEntityId)
{
CurveId curveId = lookup.RecoveryRateCurveIds.get(legalEntityId);
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find recovery rate curve: " + legalEntityId);
}
Curve curve = marketData.getValue(curveId);
return(RecoveryRates.of(legalEntityId, ValuationDate, curve));
}
//-------------------------------------------------------------------------
public DiscountFactors discountFactors(Currency currency)
{
CurveId curveId = lookup.DiscountCurves.get(currency);
if (curveId == null)
{
throw new MarketDataNotFoundException(lookup.msgCurrencyNotFound(currency));
}
Curve curve = marketData.getValue(curveId);
return(DiscountFactors.of(currency, ValuationDate, curve));
}
public CreditDiscountFactors discountFactors(Currency currency)
{
CurveId curveId = lookup.DiscountCurveIds.get(currency);
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find discount curve: " + currency);
}
Curve curve = marketData.getValue(curveId);
return(CreditDiscountFactors.of(currency, ValuationDate, curve));
}
// lookup the discount factors for the legal entity group
private IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityGroup legalEntityGroup, Currency currency)
{
CurveId curveId = lookup.IssuerCurves.get(Pair.of(legalEntityGroup, currency));
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find issuer curve: " + legalEntityGroup + ", " + currency);
}
Curve curve = marketData.getValue(curveId);
DiscountFactors df = DiscountFactors.of(currency, ValuationDate, curve);
return(IssuerCurveDiscountFactors.of(df, legalEntityGroup));
}
// lookup the discount factors for the repo group
private RepoCurveDiscountFactors repoCurveDiscountFactors(RepoGroup repoGroup, Currency currency)
{
CurveId curveId = lookup.RepoCurves.get(Pair.of(repoGroup, currency));
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find repo curve: " + repoGroup + ", " + currency);
}
Curve curve = marketData.getValue(curveId);
DiscountFactors df = DiscountFactors.of(currency, ValuationDate, curve);
return(RepoCurveDiscountFactors.of(df, repoGroup));
}
//-------------------------------------------------------------------------
public LegalEntitySurvivalProbabilities survivalProbabilities(StandardId legalEntityId, Currency currency)
{
CurveId curveId = lookup.CreditCurveIds.get(Pair.of(legalEntityId, currency));
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find credit curve: " + legalEntityId + ", " + currency);
}
Curve curve = marketData.getValue(curveId);
CreditDiscountFactors survivalProbabilities = CreditDiscountFactors.of(currency, ValuationDate, curve);
return(LegalEntitySurvivalProbabilities.of(legalEntityId, survivalProbabilities));
}
/// <summary>
/// Function that allows user to select curve
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void SelectSpline_Click(object sender, RoutedEventArgs e)
{
this.Hide();
ElementId selectedCurve = Helpers.HelpersSelection.PickLine(uidoc);
CurveId = selectedCurve;
if (CurveId != null)
{
this.selectSpline.Content = "ID: " + CurveId.ToString();
this.ShowDialog();
}
}
//-------------------------------------------------------------------------
public ImmutableCreditRatesProvider toImmutableCreditRatesProvider()
{
LocalDate valuationDate = ValuationDate;
// credit curves
IDictionary <Pair <StandardId, Currency>, LegalEntitySurvivalProbabilities> creditCurves = new Dictionary <Pair <StandardId, Currency>, LegalEntitySurvivalProbabilities>();
foreach (Pair <StandardId, Currency> pair in lookup.CreditCurveIds.Keys)
{
CurveId curveId = lookup.CreditCurveIds.get(pair);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
CreditDiscountFactors survivalProbabilities = CreditDiscountFactors.of(pair.Second, valuationDate, curve);
creditCurves[pair] = LegalEntitySurvivalProbabilities.of(pair.First, survivalProbabilities);
}
}
// discount curves
IDictionary <Currency, CreditDiscountFactors> discountCurves = new Dictionary <Currency, CreditDiscountFactors>();
foreach (Currency currency in lookup.DiscountCurveIds.Keys)
{
CurveId curveId = lookup.DiscountCurveIds.get(currency);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
discountCurves[currency] = CreditDiscountFactors.of(currency, valuationDate, curve);
}
}
// recovery rate curves
IDictionary <StandardId, RecoveryRates> recoveryRateCurves = new Dictionary <StandardId, RecoveryRates>();
foreach (StandardId legalEntityId in lookup.RecoveryRateCurveIds.Keys)
{
CurveId curveId = lookup.RecoveryRateCurveIds.get(legalEntityId);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
RecoveryRates recoveryRate = RecoveryRates.of(legalEntityId, valuationDate, curve);
recoveryRateCurves[legalEntityId] = recoveryRate;
}
}
// build result
return(ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).creditCurves(creditCurves).discountCurves(discountCurves).recoveryRateCurves(recoveryRateCurves).build());
}
// semi-parallel gamma PV01 for one scenario
private CurrencyParameterSensitivities pv01SemiParallelGammaBucketed(ResolvedSwapTrade trade, RatesMarketData marketData)
{
// find the curve identifiers and resolve to a single curve
ResolvedSwap product = trade.Product;
if (product.CrossCurrency)
{
throw new System.ArgumentException("Implementation only supports a single curve, but swap is cross-currency");
}
Currency currency = product.Legs.get(0).Currency;
ISet <Index> indices = product.allIndices();
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> discountIds = marketData.getLookup().getDiscountMarketDataIds(currency);
ImmutableSet <MarketDataId <object> > discountIds = marketData.Lookup.getDiscountMarketDataIds(currency);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> forwardIds = indices.stream().flatMap(idx -> marketData.getLookup().getForwardMarketDataIds(idx).stream()).collect(toImmutableSet());
ImmutableSet <MarketDataId <object> > forwardIds = indices.stream().flatMap(idx => marketData.Lookup.getForwardMarketDataIds(idx).stream()).collect(toImmutableSet());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Set<com.opengamma.strata.data.MarketDataId<?>> allIds = com.google.common.collect.Sets.union(discountIds, forwardIds);
ISet <MarketDataId <object> > allIds = Sets.union(discountIds, forwardIds);
if (allIds.Count != 1)
{
throw new System.ArgumentException(Messages.format("Implementation only supports a single curve, but lookup refers to more than one: {}", allIds));
}
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.MarketDataId<?> singleId = allIds.iterator().next();
MarketDataId <object> singleId = allIds.GetEnumerator().next();
if (!(singleId is CurveId))
{
//JAVA TO C# CONVERTER WARNING: The .NET Type.FullName property will not always yield results identical to the Java Class.getName method:
throw new System.ArgumentException(Messages.format("Implementation only supports a single curve, but lookup does not refer to a curve: {} {}", singleId.GetType().FullName, singleId));
}
CurveId curveId = (CurveId)singleId;
Curve curve = marketData.MarketData.getValue(curveId);
// calculate gamma
CurrencyParameterSensitivity gamma = CurveGammaCalculator.DEFAULT.calculateSemiParallelGamma(curve, currency, c => calculateCurveSensitivity(trade, marketData, curveId, c));
return(CurrencyParameterSensitivities.of(gamma).multipliedBy(ONE_BASIS_POINT * ONE_BASIS_POINT));
}
private void loadRatesCurves(ImmutableMarketDataBuilder builder, LocalDate marketDataDate)
{
if (!subdirectoryExists(CURVES_DIR))
{
log.debug("No rates curves directory found");
return;
}
ResourceLocator curveGroupsResource = getResource(CURVES_DIR, CURVES_GROUPS_FILE);
if (curveGroupsResource == null)
{
log.error("Unable to load rates curves: curve groups file not found at {}/{}", CURVES_DIR, CURVES_GROUPS_FILE);
return;
}
ResourceLocator curveSettingsResource = getResource(CURVES_DIR, CURVES_SETTINGS_FILE);
if (curveSettingsResource == null)
{
log.error("Unable to load rates curves: curve settings file not found at {}/{}", CURVES_DIR, CURVES_SETTINGS_FILE);
return;
}
try
{
ICollection <ResourceLocator> curvesResources = RatesCurvesResources;
IList <RatesCurveGroup> ratesCurves = RatesCurvesCsvLoader.load(marketDataDate, curveGroupsResource, curveSettingsResource, curvesResources);
foreach (RatesCurveGroup group in ratesCurves)
{
// add entry for higher level discount curve name
group.DiscountCurves.forEach((ccy, curve) => builder.addValue(CurveId.of(group.Name, curve.Name), curve));
// add entry for higher level forward curve name
group.ForwardCurves.forEach((idx, curve) => builder.addValue(CurveId.of(group.Name, curve.Name), curve));
}
}
catch (Exception e)
{
log.error("Error loading rates curves", e);
}
}
//-------------------------------------------------------------------------
public virtual void presentValueVanillaFixedVsLibor1mSwap()
{
SwapLeg payLeg = fixedLeg(LocalDate.of(2014, 9, 12), LocalDate.of(2016, 9, 12), Frequency.P6M, PayReceive.PAY, NOTIONAL, 0.0125, null);
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(Frequency.P1M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P1M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_1M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
SwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build();
CurveGroupName groupName = CurveGroupName.of("Test");
CurveId idUsdDsc = CurveId.of(groupName, StandardDataSets.GROUP1_USD_DSC.Name);
CurveId idUsdOn = CurveId.of(groupName, StandardDataSets.GROUP1_USD_ON.Name);
CurveId idUsdL1M = CurveId.of(groupName, StandardDataSets.GROUP1_USD_L1M.Name);
CurveId idUsdL3M = CurveId.of(groupName, StandardDataSets.GROUP1_USD_L3M.Name);
CurveId idUsdL6M = CurveId.of(groupName, StandardDataSets.GROUP1_USD_L6M.Name);
MarketData suppliedData = ImmutableMarketData.builder(VAL_DATE).addValue(idUsdDsc, StandardDataSets.GROUP1_USD_DSC).addValue(idUsdOn, StandardDataSets.GROUP1_USD_ON).addValue(idUsdL1M, StandardDataSets.GROUP1_USD_L1M).addValue(idUsdL3M, StandardDataSets.GROUP1_USD_L3M).addValue(idUsdL6M, StandardDataSets.GROUP1_USD_L6M).build();
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(ImmutableMap.of(USD, idUsdDsc), ImmutableMap.of(USD_FED_FUND, idUsdOn, USD_LIBOR_1M, idUsdL1M, USD_LIBOR_3M, idUsdL3M, USD_LIBOR_6M, idUsdL6M));
// create the calculation runner
IList <SwapTrade> trades = ImmutableList.of(trade);
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE));
CalculationRules rules = CalculationRules.of(functions, USD, ratesLookup);
// calculate results using the runner
// using the direct executor means there is no need to close/shutdown the runner
CalculationRunner runner = CalculationRunner.of(MoreExecutors.newDirectExecutorService());
Results results = runner.calculate(rules, trades, columns, suppliedData, REF_DATA);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.collect.result.Result<?> result = results.get(0, 0);
Result <object> result = results.get(0, 0);
assertThat(result).Success;
CurrencyAmount pv = (CurrencyAmount)result.Value;
assertThat(pv.Amount).isCloseTo(-1003684.8402, offset(TOLERANCE_PV));
}
//-------------------------------------------------------------------------
public FunctionRequirements requirements(StandardId legalEntityId, Currency currency)
{
CurveId creditCurveId = creditCurveIds.get(Pair.of(legalEntityId, currency));
if (creditCurveId == null)
{
throw new System.ArgumentException(Messages.format("Credit rates lookup has no credit curve defined for '{}' and '{}'", legalEntityId, currency));
}
CurveId discountCurveId = discountCurveIds.get(currency);
if (discountCurveId == null)
{
throw new System.ArgumentException(Messages.format("Credit rates lookup has no discount curve defined for '{}'", currency));
}
CurveId recoveryRateCurveId = recoveryRateCurveIds.get(legalEntityId);
if (recoveryRateCurveId == null)
{
throw new System.ArgumentException(Messages.format("Credit rates lookup has no recovery rate curve defined for '{}'", legalEntityId));
}
return(FunctionRequirements.builder().valueRequirements(ImmutableSet.of(creditCurveId, discountCurveId, recoveryRateCurveId)).outputCurrencies(currency).observableSource(observableSource).build());
}
// calculates the sensitivity
private CurrencyParameterSensitivity calculateCurveSensitivity(ResolvedFraTrade trade, RatesMarketData marketData, CurveId curveId, Curve bumpedCurve)
{
MarketData bumpedMarketData = marketData.MarketData.withValue(curveId, bumpedCurve);
RatesProvider bumpedRatesProvider = marketData.withMarketData(bumpedMarketData).ratesProvider();
PointSensitivities pointSensitivities = tradePricer.presentValueSensitivity(trade, bumpedRatesProvider);
CurrencyParameterSensitivities paramSensitivities = bumpedRatesProvider.parameterSensitivity(pointSensitivities);
return(Iterables.getOnlyElement(paramSensitivities.Sensitivities));
}
public virtual void roundTripFraAndFixedFloatSwap()
{
CurveGroupName groupName = CurveGroupName.of("Curve Group");
InterpolatedNodalCurveDefinition curveDefn = CurveTestUtils.fraSwapCurveDefinition();
CurveName curveName = curveDefn.Name;
IList <CurveNode> nodes = curveDefn.Nodes;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, IborIndices.USD_LIBOR_3M).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
LocalDate valuationDate = date(2011, 3, 8);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, double> inputData = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, double>().put(CurveTestUtils.key(nodes.get(0)), 0.0037).put(CurveTestUtils.key(nodes.get(1)), 0.0054).put(CurveTestUtils.key(nodes.get(2)), 0.005).put(CurveTestUtils.key(nodes.get(3)), 0.0087).put(CurveTestUtils.key(nodes.get(4)), 0.012).build();
IDictionary <MarketDataId <object>, double> inputData = ImmutableMap.builder <MarketDataId <object>, double>().put(CurveTestUtils.key(nodes[0]), 0.0037).put(CurveTestUtils.key(nodes[1]), 0.0054).put(CurveTestUtils.key(nodes[2]), 0.005).put(CurveTestUtils.key(nodes[3]), 0.0087).put(CurveTestUtils.key(nodes[4]), 0.012).build();
RatesCurveInputs curveInputs = RatesCurveInputs.of(inputData, DefaultCurveMetadata.of(curveName));
ScenarioMarketData inputMarketData = ImmutableScenarioMarketData.builder(valuationDate).addValue(RatesCurveInputsId.of(groupName, curveName, ObservableSource.NONE), curveInputs).build();
MarketDataBox <RatesCurveGroup> curveGroup = function.buildCurveGroup(groupDefn, CALIBRATOR, inputMarketData, REF_DATA, ObservableSource.NONE);
Curve curve = curveGroup.SingleValue.findDiscountCurve(Currency.USD).get();
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, Object>().putAll(inputData).put(com.opengamma.strata.market.curve.CurveId.of(groupName, curveName), curve).build();
IDictionary <MarketDataId <object>, object> marketDataMap = ImmutableMap.builder <MarketDataId <object>, object>().putAll(inputData).put(CurveId.of(groupName, curveName), curve).build();
MarketData marketData = ImmutableMarketData.of(valuationDate, marketDataMap);
TestMarketDataMap scenarioMarketData = new TestMarketDataMap(valuationDate, marketDataMap, ImmutableMap.of());
RatesMarketDataLookup lookup = RatesMarketDataLookup.of(groupDefn);
RatesProvider ratesProvider = lookup.ratesProvider(scenarioMarketData.scenario(0));
checkFraPvIsZero((FraCurveNode)nodes[0], ratesProvider, marketData);
checkFraPvIsZero((FraCurveNode)nodes[1], ratesProvider, marketData);
checkSwapPvIsZero((FixedIborSwapCurveNode)nodes[2], ratesProvider, marketData);
checkSwapPvIsZero((FixedIborSwapCurveNode)nodes[3], ratesProvider, marketData);
checkSwapPvIsZero((FixedIborSwapCurveNode)nodes[4], ratesProvider, marketData);
}
/// <summary>
/// Tests calibration a curve containing FRAs and pricing the curve instruments using the curve.
/// </summary>
public virtual void roundTripFra()
{
InterpolatedNodalCurveDefinition curveDefn = CurveTestUtils.fraCurveDefinition();
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <FraCurveNode> nodes = curveDefn.Nodes.Select(typeof(FraCurveNode).cast).collect(toImmutableList());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.data.MarketDataId<?>> keys = nodes.stream().map(CurveTestUtils::key).collect(toImmutableList());
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <MarketDataId <object> > keys = nodes.Select(CurveTestUtils.key).collect(toImmutableList());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, double> inputData = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, double>().put(keys.get(0), 0.003).put(keys.get(1), 0.0033).put(keys.get(2), 0.0037).put(keys.get(3), 0.0054).put(keys.get(4), 0.007).put(keys.get(5), 0.0091).put(keys.get(6), 0.0134).build();
IDictionary <MarketDataId <object>, double> inputData = ImmutableMap.builder <MarketDataId <object>, double>().put(keys[0], 0.003).put(keys[1], 0.0033).put(keys[2], 0.0037).put(keys[3], 0.0054).put(keys[4], 0.007).put(keys[5], 0.0091).put(keys[6], 0.0134).build();
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA Curve");
RatesCurveInputs curveInputs = RatesCurveInputs.of(inputData, DefaultCurveMetadata.of(curveName));
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, IborIndices.USD_LIBOR_3M).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
LocalDate valuationDate = date(2011, 3, 8);
ScenarioMarketData inputMarketData = ImmutableScenarioMarketData.builder(valuationDate).addValue(RatesCurveInputsId.of(groupName, curveName, ObservableSource.NONE), curveInputs).build();
MarketDataBox <RatesCurveGroup> curveGroup = function.buildCurveGroup(groupDefn, CALIBRATOR, inputMarketData, REF_DATA, ObservableSource.NONE);
Curve curve = curveGroup.SingleValue.findDiscountCurve(Currency.USD).get();
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, Object>().putAll(inputData).put(com.opengamma.strata.market.curve.CurveId.of(groupName, curveName), curve).build();
IDictionary <MarketDataId <object>, object> marketDataMap = ImmutableMap.builder <MarketDataId <object>, object>().putAll(inputData).put(CurveId.of(groupName, curveName), curve).build();
MarketData marketData = ImmutableMarketData.of(valuationDate, marketDataMap);
TestMarketDataMap scenarioMarketData = new TestMarketDataMap(valuationDate, marketDataMap, ImmutableMap.of());
RatesMarketDataLookup lookup = RatesMarketDataLookup.of(groupDefn);
RatesProvider ratesProvider = lookup.ratesProvider(scenarioMarketData.scenario(0));
// The PV should be zero for an instrument used to build the curve
nodes.ForEach(node => checkFraPvIsZero(node, ratesProvider, marketData));
}
