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());
}
public virtual void test_of_zeroRatePeriodic()
{
DiscountFactors test = DiscountFactors.of(GBP, DATE_VAL, CURVE_ZERO_PERIODIC);
assertEquals(test is ZeroRatePeriodicDiscountFactors, true);
assertEquals(test.Currency, GBP);
assertEquals(test.ValuationDate, DATE_VAL);
}
//-------------------------------------------------------------------------
public virtual void test_of_discountFactors()
{
DiscountFactors test = DiscountFactors.of(GBP, DATE_VAL, CURVE_DF);
assertEquals(test is SimpleDiscountFactors, true);
assertEquals(test.Currency, GBP);
assertEquals(test.ValuationDate, DATE_VAL);
}
public virtual void test_discountFactorTimeDerivative()
{
DiscountFactors test = DiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double expectedP = test.discountFactor(relativeYearFraction + EPS);
double expectedM = test.discountFactor(relativeYearFraction - EPS);
assertEquals(test.discountFactorTimeDerivative(relativeYearFraction), (expectedP - expectedM) / (2 * EPS), TOL_FD);
}
//-------------------------------------------------------------------------
public DiscountFactors discountFactors(Currency currency)
{
Curve curve = discountCurves.get(currency);
if (curve == null)
{
throw new System.ArgumentException("Unable to find discount curve: " + currency);
}
return(DiscountFactors.of(currency, 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));
}
// 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 virtual void merge_content_2()
{
ImmutableRatesProvider test1 = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).timeSeries(GBP_USD_WM, TS).build();
ImmutableRatesProvider test2 = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(USD, DISCOUNT_CURVE_USD).iborIndexCurve(USD_LIBOR_3M, USD_LIBOR_CURVE).overnightIndexCurve(USD_FED_FUND, FED_FUND_CURVE).priceIndexCurve(GB_RPI, GBPRI_CURVE).timeSeries(GB_RPI, TS).build();
ImmutableRatesProvider merged = ImmutableRatesProvider.combined(FX_MATRIX, test1, test2);
assertEquals(merged.ValuationDate, VAL_DATE);
assertEquals(merged.discountFactors(USD), DiscountFactors.of(USD, VAL_DATE, DISCOUNT_CURVE_USD));
assertEquals(merged.discountFactors(GBP), DiscountFactors.of(GBP, VAL_DATE, DISCOUNT_CURVE_GBP));
assertEquals(merged.iborIndexRates(USD_LIBOR_3M), IborIndexRates.of(USD_LIBOR_3M, VAL_DATE, USD_LIBOR_CURVE));
assertEquals(merged.overnightIndexRates(USD_FED_FUND), OvernightIndexRates.of(USD_FED_FUND, VAL_DATE, FED_FUND_CURVE));
assertEquals(merged.priceIndexValues(GB_RPI), PriceIndexValues.of(GB_RPI, VAL_DATE, GBPRI_CURVE, TS));
assertEquals(merged.timeSeries(GBP_USD_WM), TS);
assertEquals(merged.FxRateProvider, FX_MATRIX);
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes intra-curve cross gamma for bond curves by applying finite difference method to curve delta.
/// <para>
/// This computes the intra-curve cross gamma, i.e., the second order sensitivities to individual curves.
/// Thus the sensitivity of a curve delta to another curve is not produced.
/// </para>
/// <para>
/// The underlying instruments must be single-currency, i.e., the curve currency must be the same as the sensitivity currency.
///
/// </para>
/// </summary>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="sensitivitiesFn"> the sensitivity function </param>
/// <returns> the cross gamma </returns>
public CrossGammaParameterSensitivities calculateCrossGammaIntraCurve(LegalEntityDiscountingProvider ratesProvider, System.Func <ImmutableLegalEntityDiscountingProvider, CurrencyParameterSensitivities> sensitivitiesFn)
{
LocalDate valuationDate = ratesProvider.ValuationDate;
ImmutableLegalEntityDiscountingProvider immProv = ratesProvider.toImmutableLegalEntityDiscountingProvider();
CurrencyParameterSensitivities baseDelta = sensitivitiesFn(immProv); // used to check target sensitivity exits
CrossGammaParameterSensitivities result = CrossGammaParameterSensitivities.empty();
// issuer curve
foreach (KeyValuePair <Pair <LegalEntityGroup, Currency>, DiscountFactors> entry in immProv.IssuerCurves.entrySet())
{
Pair <LegalEntityGroup, Currency> legCcy = entry.Key;
Currency currency = legCcy.Second;
Curve curve = getCurve(entry.Value);
CurveName curveName = curve.Name;
if (baseDelta.findSensitivity(curveName, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(curveName, curve, currency, c => replaceIssuerCurve(immProv, legCcy, DiscountFactors.of(currency, valuationDate, c)), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
else
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
if (nCurves > 1)
{
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
CurveName underlyingCurveName = underlyingCurve.Name;
if (baseDelta.findSensitivity(underlyingCurveName, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(underlyingCurveName, underlyingCurve, currency, c => replaceIssuerCurve(immProv, legCcy, DiscountFactors.of(currency, valuationDate, curve.withUnderlyingCurve(currentIndex, c))), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
}
}
}
}
// repo curve
foreach (KeyValuePair <Pair <RepoGroup, Currency>, DiscountFactors> entry in immProv.RepoCurves.entrySet())
{
Pair <RepoGroup, Currency> rgCcy = entry.Key;
Currency currency = rgCcy.Second;
Curve curve = getCurve(entry.Value);
CurveName curveName = curve.Name;
if (baseDelta.findSensitivity(curveName, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(curveName, curve, currency, c => replaceRepoCurve(immProv, rgCcy, DiscountFactors.of(currency, valuationDate, c)), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
else
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
if (nCurves > 1)
{
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
CurveName underlyingCurveName = underlyingCurve.Name;
if (baseDelta.findSensitivity(underlyingCurveName, rgCcy.Second).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(underlyingCurveName, underlyingCurve, currency, c => replaceRepoCurve(immProv, rgCcy, DiscountFactors.of(currency, valuationDate, curve.withUnderlyingCurve(currentIndex, c))), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
}
}
}
}
return(result);
}
public static ImmutableLegalEntityDiscountingProvider multiBondCombined(LocalDate valDate)
{
ImmutableMap <Pair <RepoGroup, Currency>, DiscountFactors> repoCurves = ImmutableMap.of(Pair.of(US_REPO_GROUP, USD), DiscountFactors.of(USD, valDate, CombinedCurve.of(USD_L3_BASE, US_REPO_CURVE)));
ImmutableMap <Pair <LegalEntityGroup, Currency>, DiscountFactors> issuerCurves = ImmutableMap.of(Pair.of(US_ISSUER_1_GROUP, USD), DiscountFactors.of(USD, valDate, CombinedCurve.of(USD_L3_BASE, US_ISSUER_CURVE_1)), Pair.of(US_ISSUER_2_GROUP, USD), DiscountFactors.of(USD, valDate, CombinedCurve.of(USD_L3_BASE, US_ISSUER_CURVE_2)));
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(US_ISSUER_1_ID, US_REPO_GROUP, US_ISSUER_2_ID, US_REPO_GROUP, US_ISSUER_3_ID, US_REPO_GROUP);
ImmutableMap <LegalEntityId, LegalEntityGroup> legalEntityGroups = ImmutableMap.of(US_ISSUER_1_ID, US_ISSUER_1_GROUP, US_ISSUER_2_ID, US_ISSUER_2_GROUP, US_ISSUER_3_ID, US_ISSUER_2_GROUP);
return(ImmutableLegalEntityDiscountingProvider.builder().valuationDate(valDate).repoCurves(repoCurves).repoCurveGroups(repoGroups).issuerCurves(issuerCurves).issuerCurveGroups(legalEntityGroups).build());
}
public virtual void test_of_prices()
{
assertThrowsIllegalArg(() => DiscountFactors.of(GBP, DATE_VAL, CURVE_PRICES));
}