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));
}
/// <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));
}
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);
}
