public virtual void test_quote_secenarioDefinition()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nScenarios = 3;
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
DoubleArray shifts = DoubleArray.of(nScenarios, n => Math.Pow(0.9, n));
ScenarioPerturbation <double> perturb = GenericDoubleShifts.of(ShiftType.SCALED, shifts);
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(entry.Key), perturb));
}
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, MARKET_DATA, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
for (int i = 0; i < nScenarios; ++i)
{
ImmutableMap.Builder <QuoteId, double> builder = ImmutableMap.builder();
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
builder.put(entry.Key, entry.Value * Math.Pow(0.9, i));
}
ImmutableMarketData shiftedMarketData = ImmutableMarketData.builder(VALUATION_DATE).addValueMap(builder.build()).addValueMap(MARKET_FX_QUOTES).build();
MarketData shiftedMarketDataCalibrated = StandardComponents.marketDataFactory().create(REQUIREMENTS, CONFIG, shiftedMarketData, REF_DATA);
Results shiftedResults = CALC_RUNNER.calculate(RULES, TARGETS, COLUMN, shiftedMarketDataCalibrated, REF_DATA);
CurrencyAmount pv = shiftedResults.get(0, 0, typeof(CurrencyAmount)).Value;
assertEquals(pvs.get(i), pv);
}
}
public virtual void test_parameter_secenarioDefinition()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nVolParams = EXP_VOLS.ParameterCount;
int nScenarios = 3;
PointShiftsBuilder builder = PointShifts.builder(ShiftType.SCALED);
for (int i = 0; i < nVolParams; ++i)
{
object id = EXP_VOLS.getParameterMetadata(i).Identifier;
for (int j = 0; j < nScenarios; ++j)
{
builder.addShift(j, id, Math.Pow(0.9, j));
}
}
ScenarioPerturbation <ParameterizedData> perturb = builder.build();
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(VOL_ID), perturb));
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, MARKET_DATA, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
for (int i = 0; i < nScenarios; ++i)
{
int index = i;
BlackFxOptionSmileVolatilities shiftedSmile = EXP_VOLS.withPerturbation((j, v, m) => Math.Pow(0.9, index) * v);
CurrencyAmount pv = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, shiftedSmile).convertedTo(USD, EXP_RATES);
assertEquals(pvs.get(i), pv);
}
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trade that will have measures calculated
IList <Trade> trades = ImmutableList.of(createVanillaFixedVsLibor3mSwap());
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM));
// use the built-in example market data
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
// the complete set of rules for calculating measures
LocalDate valuationDate = LocalDate.of(2014, 1, 22);
CalculationFunctions functions = StandardComponents.calculationFunctions();
CalculationRules rules = CalculationRules.of(functions, Currency.USD, marketDataBuilder.ratesLookup(valuationDate));
// mappings that select which market data to apply perturbations to
// this applies the perturbations above to all curves
PerturbationMapping <Curve> mapping = PerturbationMapping.of(MarketDataFilter.ofIdType(typeof(CurveId)), CurveParallelShifts.absolute(0, ONE_BP));
// create a scenario definition containing the single mapping above
// this creates two scenarios - one for each perturbation in the mapping
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping);
// build a market data snapshot for the valuation date
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
ScenarioMarketData scenarioMarketData = marketDataFactory().createMultiScenario(reqs, MarketDataConfig.empty(), marketData, refData, scenarioDefinition);
Results results = runner.calculateMultiScenario(rules, trades, columns, scenarioMarketData, refData);
// TODO Replace the results processing below with a report once the reporting framework supports scenarios
// The results are lists of currency amounts containing one value for each scenario
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.scenario.ScenarioArray<?> pvList = (com.opengamma.strata.data.scenario.ScenarioArray<?>) results.get(0, 0).getValue();
ScenarioArray <object> pvList = (ScenarioArray <object>)results.get(0, 0).Value;
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.scenario.ScenarioArray<?> pv01List = (com.opengamma.strata.data.scenario.ScenarioArray<?>) results.get(0, 1).getValue();
ScenarioArray <object> pv01List = (ScenarioArray <object>)results.get(0, 1).Value;
double pvBase = ((CurrencyAmount)pvList.get(0)).Amount;
double pvShifted = ((CurrencyAmount)pvList.get(1)).Amount;
double pv01Base = ((CurrencyAmount)pv01List.get(0)).Amount;
NumberFormat numberFormat = new DecimalFormat("###,##0.00", new DecimalFormatSymbols(Locale.ENGLISH));
Console.WriteLine(" PV (base) = " + numberFormat.format(pvBase));
Console.WriteLine(" PV (1 bp curve shift) = " + numberFormat.format(pvShifted));
Console.WriteLine("PV01 (algorithmic differentiation) = " + numberFormat.format(pv01Base));
Console.WriteLine(" PV01 (finite difference) = " + numberFormat.format(pvShifted - pvBase));
}
private static ScenarioDefinition buildHistoricalScenarios(IDictionary <LocalDate, RatesCurveGroup> historicalCurves, IList <LocalDate> scenarioDates)
{
// extract the curves to perturb
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <Curve> usdDiscountCurves = scenarioDates.Select(date => historicalCurves[date]).Select(group => group.findDiscountCurve(Currency.USD).get()).collect(toImmutableList());
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <Curve> libor3mCurves = scenarioDates.Select(date => historicalCurves[date]).Select(group => group.findForwardCurve(IborIndices.USD_LIBOR_3M).get()).collect(toImmutableList());
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <Curve> libor6mCurves = scenarioDates.Select(date => historicalCurves[date]).Select(group => group.findForwardCurve(IborIndices.USD_LIBOR_6M).get()).collect(toImmutableList());
// create mappings which will cause the point shift perturbations generated above
// to be applied to the correct curves
PerturbationMapping <ParameterizedData> discountCurveMappings = PerturbationMapping.of(MarketDataFilter.ofName(CurveName.of("USD-Disc")), buildShifts(usdDiscountCurves));
PerturbationMapping <ParameterizedData> libor3mMappings = PerturbationMapping.of(MarketDataFilter.ofName(CurveName.of("USD-3ML")), buildShifts(libor3mCurves));
PerturbationMapping <ParameterizedData> libor6mMappings = PerturbationMapping.of(MarketDataFilter.ofName(CurveName.of("USD-6ML")), buildShifts(libor6mCurves));
// create a scenario definition from these mappings
return(ScenarioDefinition.ofMappings(discountCurveMappings, libor3mMappings, libor6mMappings));
}
public virtual void test_builtData()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nScenarios = 3;
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
DoubleArray shifts = DoubleArray.of(nScenarios, n => Math.Pow(0.9, n));
ScenarioPerturbation <double> perturb = GenericDoubleShifts.of(ShiftType.SCALED, shifts);
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(entry.Key), perturb));
}
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ImmutableMarketData dataWithSurface = ImmutableMarketData.builder(VALUATION_DATE).addValueMap(MARKET_QUOTES).addValueMap(MARKET_FX_QUOTES).addValue(VOL_ID, EXP_VOLS).addValue(RatesCurveGroupId.of(CURVE_GROUP_NAME), RatesCurveGroup.ofCurves(CURVE_GROUP_DEFINITION, EXP_RATES.toImmutableRatesProvider().DiscountCurves.values())).build();
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, dataWithSurface, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray computed = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
CurrencyAmount expected = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, EXP_VOLS).convertedTo(USD, EXP_RATES);
// dependency graph is absent, thus scenarios are not created
assertTrue(computed.ScenarioCount == 1);
assertEquals(computed.get(0), expected);
}
