public RatesMarketData scenario(int scenarioIndex)
{
RatesMarketData current = cache.get(scenarioIndex);
if (current != null)
{
return(current);
}
return(cache.updateAndGet(scenarioIndex, v => v != null ? v : lookup.marketDataView(marketData.scenario(scenarioIndex))));
}
//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
ImmutableMap <Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards = ImmutableMap.of(USD_LIBOR_3M, CURVE_ID_FWD);
RatesMarketDataLookup test = RatesMarketDataLookup.of(discounts, forwards);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
RatesScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
RatesMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, test);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
// 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));
}
// semi-parallel gamma PV01 for one scenario
private CurrencyParameterSensitivities pv01SemiParallelGammaBucketed(ResolvedFraTrade trade, RatesMarketData marketData)
{
// find the curve identifiers and resolve to a single curve
Currency currency = trade.Product.Currency;
ISet <IborIndex> indices = trade.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));
}
