public virtual void specifySource()
{
ObservableSource testSource = ObservableSource.of("test");
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(FxRateId.of(Currency.GBP, Currency.USD), FxRate.of(Currency.GBP, Currency.USD, 1.4d)).addValue(FxRateId.of(Currency.GBP, Currency.USD, testSource), FxRate.of(Currency.GBP, Currency.USD, 1.41d)).build();
ScenarioFxRateProvider defaultRateProvider = ScenarioFxRateProvider.of(marketData);
ScenarioFxRateProvider sourceRateProvider = ScenarioFxRateProvider.of(marketData, testSource);
assertThat(defaultRateProvider.fxRate(Currency.GBP, Currency.USD, 0)).isEqualTo(1.4d);
assertThat(sourceRateProvider.fxRate(Currency.GBP, Currency.USD, 0)).isEqualTo(1.41d);
}
/// <summary>
/// Tests that par rates and ibor index are required for curves.
/// </summary>
public virtual void requirements()
{
FraCurveNode node1x4 = CurveTestUtils.fraNode(1, "foo");
FraCurveNode node2x5 = CurveTestUtils.fraNode(2, "foo");
IList <CurveNode> nodes = ImmutableList.of(node1x4, node2x5);
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA Curve");
ObservableSource obsSource = ObservableSource.of("Vendor");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(curveName).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
RateIndex ibor = IborIndices.USD_LIBOR_3M;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, ibor).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupName, groupDefn).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
RatesCurveGroupId curveGroupId = RatesCurveGroupId.of(groupName, obsSource);
MarketDataRequirements requirements = function.requirements(curveGroupId, marketDataConfig);
assertThat(requirements.NonObservables).contains(RatesCurveInputsId.of(groupName, curveName, obsSource));
assertThat(requirements.TimeSeries.contains(IndexQuoteId.of(ibor)));
}
